Investment Research Series

Empirical Research

The Decision Value of Price and Macro Information

Benchmark-Relative Evidence in Multi-Asset Allocation Using Historical-Vintage FRED-MD Data

Sungkyu LeeGraduate School of Computing, Yonsei UniversityPublic Working PaperSSRN 7340100August 2026

Overview

This study asks whether macroeconomic information adds portfolio decision value beyond information already contained in market prices. The comparison is built around a matched multi-asset forecasting, ranking, and Top-4 allocation process rather than comparing unrelated strategies.

Historical-vintage FRED-MD data are used to evaluate macro information under a documented information clock. The paper then measures the incremental contribution of Macro+Price relative to a price-only process, with benchmark-relative evidence and robustness checks designed to separate predictive inputs from portfolio mechanics.

Research Question

Does historical-vintage macro information add decision value beyond price information in benchmark-relative multi-asset allocation when the forecasting, ranking, portfolio, and timing rules are held as comparable as possible?

Key Findings

The primary comparison uses 112 monthly out-of-sample allocation decisions from March 2017 through June 2026 across 11 U.S.-listed ETFs, with price-only and Macro+Price portfolios evaluated under matched ranking and portfolio rules.

Historical-vintage macro information does not deliver a robust incremental improvement over the price-based process in the main benchmark-relative evidence and robustness checks.

A prespecified conservative information-timing check leaves the incremental-macro conclusion unchanged even though the realized Macro+Price Top-4 selection changes in about 52.7% of months.

Later-snapshot comparisons can change both revision state and historical series membership, so they are treated as a broader information-set robustness exercise rather than as a pure numerical-revision test.

Selected Evidence

The central empirical distinction is between value already present in price-based decisions and the incremental value obtained after macro information is added to the same decision architecture.

0.71

Price-only information ratio vs. EW11

0.69

Macro+Price information ratio vs. EW11

−0.192

Conservative-timing ΔSharpe: Macro+Price − Price-only

52.7%

Months with a changed Macro+Price Top-4 under conservative timing

Under the conservative information-timing specification, the Macro+Price minus Price-only Sharpe difference is −0.192 with a 95% 12-month moving-block bootstrap interval of [−0.659, 0.175]. The realized Macro+Price Top-4 differs from the primary timing design in 52.7% of months, so the timing check materially changes decisions without reversing the incremental-macro conclusion.

Benchmark-Relative Results

Primary one-month-ahead results relative to the same-universe EW11 benchmark.

Strategy	Active return	TE	IR	Sharpe	Max drawdown	Turnover
Price-only ML	5.0%	7.1%	0.71	0.821	−17.7%	3.06
12M momentum	2.4%	9.1%	0.27	0.750	−18.4%	2.18
12-1M momentum	3.1%	8.3%	0.37	0.750	−19.1%	2.22
6M momentum	1.7%	7.9%	0.21	0.676	−22.5%	2.81
Macro+Price ML	5.4%	7.9%	0.69	0.798	−25.6%	3.07
Macro-only ML	2.6%	7.7%	0.34	0.680	−27.1%	2.71

Public replication · Table 2

Selected Exhibits

Selected figures summarize price-based active value, incremental macro evidence, and timing robustness.

Cumulative wealth relative to EW11 and benchmark-relative information ratios for the price-only ML portfolio and momentum variants. — Public replication · Figure 2
Price Signals Generate Benchmark-Relative Active Value
Relative to the same-universe EW11 benchmark, the price-only ML portfolio records an information ratio of 0.71 and 5.0% annualized active return. The exhibit also places that result beside standard momentum variants under the same benchmark-relative lens.
Open full-size figure ↗

Incremental Sharpe differences for macro-augmented versus price-only portfolio comparisons across the main robustness specifications. — Public replication · Figure 3
The Incremental Macro Contribution Is Not Robustly Positive
The matched Macro+Price versus Price-only comparisons do not show a stable positive Sharpe increment across the main robustness checks. The exhibit focuses on the incremental contribution of macro information rather than on standalone portfolio returns.
Open full-size figure ↗

Information-timing robustness exhibit comparing the primary and conservative macro timing specifications and their portfolio implications. — Public replication · Figure 4
Timing Changes Portfolio Choices Without Reversing the Result
Under the conservative prior-month macro information clock, the Macro+Price minus Price-only Sharpe difference is −0.192 with a 95% moving-block bootstrap interval of [−0.659, 0.175]. The Macro+Price Top-4 selection changes in 52.7% of months relative to the primary timing design.
Open full-size figure ↗

Research Design

The public replication package documents the paper-level evidence for the matched price and macro comparison. The primary analysis covers monthly out-of-sample allocation decisions from March 2017 through June 2026 across an 11-ETF U.S.-listed multi-asset universe.

112

Monthly out-of-sample allocation decisions

U.S.-listed ETFs in the multi-asset universe

2017–2026

Primary out-of-sample decision period

v1.1

Public replication release

The dashboard reports public paper and replication information. It does not expose internal manuscript-development version labels as reader-facing metadata.

Information Timing

A monthly FRED-MD vintage label is not treated as proof of exact within-month availability. The paper therefore includes a prespecified conservative timing check using the prior monthly vintage and an older macro reference month, while keeping the market-price information clock separate. The incremental-macro conclusion is unchanged under that convention.

Reproducibility

Public code, the tagged replication release, and the archived Zenodo record are presented here as reproducibility artifacts, separate from the primary paper-access actions at the top of the page.

Public code

Replication Repository

Paper-level code, derived evidence, and reproducibility checks.

Open GitHub ↗

Replication

GitHub Release v1.1

Versioned public replication release for the paper.

Open release ↗

Archival record

Zenodo DOI

Persistent archive for the public replication release.

10.5281/zenodo.22069742 ↗

Citation

Lee, Sungkyu. “The Decision Value of Price and Macro Information: Benchmark-Relative Evidence in Multi-Asset Allocation Using Historical-Vintage FRED-MD Data.” SSRN 7340100, August 2026.