Portfolio Construction

Asset Allocation Strategy

Name: RoboMacro
Author: RoboMacro

10-year capital market assumptions across 7 asset classes, 8 portfolio models, Monte Carlo simulation, and macro regime analysis. Toggle scenarios to see how allocations shift.

Scenario

US EquityIntl DevelopedEM EquityUS TreasuriesUS CreditCommoditiesPrivate Equity

Last generated: 17 Sept 2026, 05:31 GMT-5 · 10Y horizon

Live CMA build · generated 0h ago (17/09/2026, 05:31:14)

Portfolio Return

11.7%

Max-Sharpe (MVO)

Portfolio Vol

13.6%

Annualised

Sharpe Ratio

0.55

Risk-adjusted

Risk-Free Rate

4.2%

US 2Y proxy

Forecast Horizon

10Y

Capital market assumptions

Strategic vs Tactical

SAA Neutral vs TAA Recommended

Strategic Asset Allocation (SAA) = the neutral long-term target from the selected model. Tactical Asset Allocation (TAA) = SAA plus tilts driven by live Momentum / Value / Carry Z-scores. Adjust the tilt cap to explore how aggressively you want tactical signals to deviate from neutral. Signals refresh daily.

SAA Source

Tilt Cap±5.0%

SAA (Neutral) vs TAA (Tactical) Weights — %

Tactical Deviations (TAA − SAA) — %

Positive tilt (over-weight) driven by composite Z > 0 (momentum / value / carry favourable). Negative tilt (under-weight) on Z < 0.

Adjust building-block assumptions per asset class. Changes update the return decomposition and CMA table in real time.

Real GDP Growth2.1%

-2%8%

Inflation3.7%

0%10%

Margin Adjustment0.5%

-2%3%

Buyback Yield1.5%

0%5%

Dividend Yield1.4%

0%8%

Current P/E22.0x

5x40x

Fair P/E20.0x

5x40x

Capital Market Assumptions

Return Decomposition

Building-block decomposition following GS 10-Year CMAs, BCA 7-Year SAA, and JPMorgan LTCMA methodology. Live inputs from FRED and IMF WEO.

Earnings Growth
Dividend Yield
Valuation Change
Roll/Other
Defaults Adj

CMA Summary

Asset Class Forecasts

Click column headers to sort. Expected returns and volatilities shift with the selected scenario.

Asset	Exp Return (%) ▼	Volatility (%)	Sharpe
EM Equity	12.84	20.83	0.414
Private Equity	11.92	22.45	0.343
US Equity	8.25	17.94	0.225
Intl Developed	8.13	17.00	0.230
US Treasuries	5.03	14.81	0.054
US Credit	4.90	8.68	0.079
Commodities	2.00	22.11	-0.100

Risk-Return Space

Risk vs. Return

Each asset plotted by volatility (x) and expected return (y). Dot size reflects Sharpe ratio. Dashed line is the Capital Market Line.

Risk Attribution

% Risk Contribution vs Weight

Portfolio volatility decomposed to each asset's marginal contribution. Reveals the gap between how much an asset is owned (weight) and how much risk it actually drives (% contribution).

Model

Portfolio σ = 10.24%

Weight vs % Risk Contribution

Factor Exposure

Style Factor Radar

Portfolio loadings on 5 style factors — Value, Momentum, Quality, Low-Vol, Size — built from synthetic long/short factor returns (IWD−IWF, MTUM−SPY, QUAL−SPY, SPLV−SPY, IJR−SPY). Each asset's daily excess return (vs SPY) is regressed on the factor set; portfolio loadings are the weighted sum.

Portfolio Factor Loadings (β, style-residual)

MVO
Risk Parity

Asset-Level Factor Loadings (raw β)

Asset	Value	Momentum	Quality	LowVol	Size
US Equity	+0.000	+0.000	+0.000	+0.000	+0.000
Intl Developed	+0.279	+0.058	+0.002	+0.011	+0.016
EM Equity	+0.246	+0.266	-0.205	-0.180	+0.001
US Treasuries	-0.278	-0.078	-0.043	+1.196	-0.086
US Credit	-0.068	-0.067	-0.048	+0.832	-0.072
Commodities	+0.764	+0.029	-0.496	-0.035	-0.285
Private Equity	+0.109	-0.044	+0.144	-0.195	+0.274

Stress Tests

Historical Regime Scenarios

Realised per-asset and per-model total returns across five canonical crisis windows: GFC 2008, Euro Debt 2011, COVID 2020, 2022 Inflation Shock, 2023 Banking Stress. ETF-proxied, no fabrication.

Per-asset total return across each window (realised, ETF-proxied)

GFC 2008

2007-10-09 → 2009-03-09 · 356d

Euro Debt 2011

2011-05-02 → 2011-10-03 · 108d

COVID Crash 2020

2020-02-19 → 2020-03-23 · 24d

2022 Inflation Shock

2022-01-03 → 2022-10-14 · 198d

2023 Banking Stress

2023-03-01 → 2023-05-31 · 64d

Model Returns — every model across every window (Σ wᵢ·rᵢ)

GFC 2008
Euro Debt 2011
COVID Crash 2020
2022 Inflation Shock
2023 Banking Stress

Negative bars = crisis losses. Positive bars = the model held up. Min-Var and All-Weather typically survive best; MVO and CVaR take the biggest hits in GFC because those optimisers concentrate in the recent best-Sharpe assets.

Macro Sensitivity

Tornado Chart — Shocks to CMAs

Impact of ±1pp shocks to macro drivers on asset-class expected returns. Computed live through the same building-block formulas used above. All values are deterministic — no placeholder scaling.

Δ Asset Expected Return (avg across applicable assets)

Regime-Dependent Correlations

Correlation Matrix by Regime

Daily ETF returns classified into macro regimes using VIX (<20 vs ≥20) and the 10Y−3M Treasury slope (steep vs inverted). Correlations recomputed on each regime's subset of trading days — shows how diversification breaks down in risk-off periods.

3000 trading days classified as Risk-On

	Equity	Developed	Equity	Treasuries	Credit	Commodities	Equity
US Equity	1.00	0.79	0.72	-0.21	0.05	0.23	0.76
Intl Developed	0.79	1.00	0.78	-0.18	0.09	0.29	0.80
EM Equity	0.72	0.78	1.00	-0.11	0.10	0.29	0.66
US Treasuries	-0.21	-0.18	-0.11	1.00	0.83	-0.20	-0.17
US Credit	0.05	0.09	0.10	0.83	1.00	-0.09	0.09
Commodities	0.23	0.29	0.29	-0.20	-0.09	1.00	0.21
Private Equity	0.76	0.80	0.66	-0.17	0.09	0.21	1.00

Scenario Analysis

Bull / Base / Bear Comparison

Expected returns across all three scenarios side by side.

Bull
Base
Bear

Peer Benchmarks

Allocation vs Institutional Peers

RoboMacro's allocation compared against published industry reference allocations: classic 60/40, Yale Endowment (FY24), US Public Pension average (NASRA FY23), UBS Global Family Office 2025. Private alternative sub-classes are consolidated into 'Private Equity' to match our 7-asset universe.

RoboMacro Model

Deviation vs

Allocation Comparison — % Weight

RoboMacro
60/40 Benchmark
Yale Endowment (FY24)
US Public Pension (avg)
UBS Global Family Office 2025

Deviation vs 60/40 Benchmark

Historical Context

Annual Asset-Class Return Ranking

Calendar heatmap of best-to-worst asset class by year, 2001 onwards (ETF-proxied). Green = best-performing that year, red = worst. The classic 'callan chart' view asset allocators use to see leadership rotation.

Asset	01	02	03	04	05	06	07	08	09	10	11	12	13	14	15	16	17	18	19	20	21	22	23	24	25	26
US Equity	-12	-22	28	11	5	16	5	-37	26	15	2	16	32	13	1	12	22	-5	31	18	29	-18	26	25	18	11
Intl Developed	—	-15	40	19	13	26	10	-41	27	8	-12	19	21	-6	-1	1	25	-14	22	8	11	-14	18	3	32	11
EM Equity	—	—	—	25	33	31	33	-49	69	17	-19	19	-4	-4	-16	11	37	-15	18	17	-4	-21	9	6	34	21
US Treasuries	—	—	2	9	9	1	10	34	-22	9	34	2	-13	27	-2	1	9	-2	14	18	-5	-31	3	-8	4	-4
US Credit	—	—	9	6	1	4	4	2	8	9	10	10	-2	8	-1	6	7	-4	17	11	-2	-18	9	1	8	-2
Commodities	—	—	—	—	—	—	32	-46	11	7	-3	-1	-2	-33	-34	10	4	-14	16	-24	39	24	-6	9	6	59
Private Equity	—	—	—	—	—	—	-14	-65	30	26	-21	30	38	-5	1	10	24	-15	36	12	24	-37	38	17	6	-11

Columns: calendar years (2001–2026). Cell value: annual total return in %. Colour: rank within year (green = best).

Portfolio Optimisation

Efficient Frontier

Efficient Frontier computed via Markowitz mean-variance optimisation (SLSQP). 40-point trace. Portfolio markers update with the selected scenario.

Model Comparison

Portfolio Allocations by Model

Asset weights for 8 models: MVO, Min-Var, Resampled MVO, CVaR, Black-Litterman, Risk Parity, All-Weather, HRP.

US Equity
Intl Developed
EM Equity
US Treasuries
US Credit
Commodities
Private Equity

Model Scorecards

Side-by-Side Metrics

Every model's historical performance, diversification (HHI), and top-3 concentration in one sortable table. Click any column header to sort. Export CSV for client reports.

Side-by-side model metrics (10y historical, static weights)

Model	CAGR	Sharpe ↓	Max DD	Calmar	HHI	Top-3 %	Top-3 Holdings
Risk Parity	6.03%	0.64	-23.98%	0.25	0.170	61%	Private Equity 24%, US Treasuries 23%, EM Equity 14%
All-Weather	5.32%	0.60	-25.14%	0.21	0.232	69%	US Treasuries 40%, Private Equity 18%, Commodities 11%
Black-Litterman	8.29%	0.49	-39.82%	0.21	0.336	92%	US Equity 40%, US Credit 40%, Intl Developed 12%
HRP	8.29%	0.49	-39.82%	0.21	0.316	80%	US Treasuries 50%, Private Equity 21%, EM Equity 9%
Min-Var	3.64%	0.48	-22.05%	0.17	0.725	98%	US Treasuries 84%, EM Equity 12%, Intl Developed 2%
Resampled MVO	4.09%	0.45	-24.04%	0.17	0.374	91%	Private Equity 53%, EM Equity 28%, Intl Developed 11%
CVaR	3.67%	0.44	-22.72%	0.16	0.293	83%	Private Equity 43%, US Treasuries 20%, EM Equity 20%
MVO	3.54%	0.39	-25.05%	0.14	0.437	100%	Private Equity 58%, EM Equity 29%, Intl Developed 13%

Black-Litterman

Equilibrium vs. Posterior Returns

Black-Litterman (He-Litterman 1999, Idzorek 2005). Edit views below to see the posterior update in real time.

Equilibrium
Posterior
Market Cap

Simulation

Monte Carlo Wealth Projection

5,000 Cholesky-decomposed multivariate-normal paths over the 10-year horizon, conditioned on the current macro regime for years 1–5 (fades to unconditional by year 5). Percentiles are computed path-wise. Shortfall probability = fraction of paths ending below each threshold.

Portfolio Wealth Fan — 5,000 simulations, per $1 invested

5–95%
10–90%
25–75%
Median

Shortfall probability — P(terminal < $X)

< $0.8

5.0%

< $0.9

5.0%

< $1.0

5.0%

< $1.2

5.0%

< $1.5

5.0%

< $2.0

11.4%

Max drawdown distribution across 5,000 paths

Worst 5%

-16.3%

25th

-9.0%

Median

-4.4%

75th

-0.3%

Best 5%

0.0%

Historical Analysis

Retroactive Backtest

How would today's optimised weights have performed over the past 10 years? CAGR, max drawdown, realised Sharpe, and Calmar ratio.

Model	CAGR	Max DD	Sharpe	Calmar
MVO	3.5%	-25.1%	0.39	0.14
Min-Var	3.6%	-22.1%	0.48	0.17
Black-Litterman	8.3%	-39.8%	0.49	0.21
Risk Parity	6.0%	-24.0%	0.64	0.25
All-Weather	5.3%	-25.1%	0.60	0.21
HRP	8.3%	-39.8%	0.49	0.21
CVaR	3.7%	-22.7%	0.44	0.16
Resampled MVO	4.1%	-24.0%	0.45	0.17

MVO
Min-Var
Black-Litterman
Risk Parity

Retroactive analysis using today's optimised weights applied to historical prices. This is not a live track record.

Macro Regime

Regime Radar & Indicators

Six-axis regime score (0–100) from FRED. Live VIX, 10Y yield, and S&P 500 overlay refreshed every 5 minutes. Market weather (HMM) → complements this macro lens with SPY latent-state posteriors and a suggested TAA risk scale.

Regime Scores (0–100)

Current Macro Indicators

Live 05:32 UTC

Unemployment Rate

4.10

Fed Funds Rate

3.63

US 10Y Yield

LIVE

5.01

HY Spread

276bps

VIX

LIVE

16.01

Industrial Production YoY

1.1%

Tactical Signals

Signal Heatmap

Z-scores computed daily from cached market data. Momentum / Value / Carry.

Tactical Signal Heatmap (z-scores)

Momentum

Value

Carry

US Equity

+0.02

-0.93

+3.00

Intl Developed

+0.39

-0.01

+1.42

EM Equity

+0.97

+1.10

-0.43

US Treasuries

+0.05

+0.32

+0.55

US Credit

-0.33

-2.58

Commodities

+1.74

+3.00

+0.80

Diversification

Correlation Matrix

Pairwise correlations from realised daily returns (Ledoit-Wolf shrinkage).

Lookback

Instability33.1%US Equity / EM Equity (-38pp), US Equity / US Credit (-33pp), US Equity / Private Equity (+40pp), Intl Developed / EM Equity (-54pp), Intl Developed / US Treasuries (+24pp), Intl Developed / Private Equity (+53pp), EM Equity / US Treasuries (-61pp), EM Equity / US Credit (-63pp), EM Equity / Commodities (-56pp), EM Equity / Private Equity (-42pp), US Treasuries / US Credit (+21pp), US Treasuries / Commodities (+23pp), US Treasuries / Private Equity (+22pp), US Credit / Private Equity (+48pp), Commodities / Private Equity (+53pp)

Equity

Int'l Developed

EM Equity

Treasuries

Credit

Commodities

Priv. Equity

Equity

1.00

Int'l Developed

0.82

1.00

EM Equity

0.27

1.00

Treasuries

0.28

0.35

0.02

1.00

Credit

0.71

0.85

0.25

0.37

1.00

Commodities

0.74

0.85

0.28

0.32

0.82

1.00

Priv. Equity

-0.07

-0.08

-0.18

0.69

-0.03

-0.14

1.00

Institutional allocation command center. 8 portfolio models · 7 asset classes · 10-year horizon. Generated 17 Sept 2026. For informational purposes only. Not investment advice.