Investing through Fed regime changes in the post-crisis period

How would a multi-asset investor, following a conventional portfolio construction approach, have best navigated through the post-crisis period of Fed unconventional monetary policy? This chapter constructs and simulates backtests of portfolios conditioning upon the current state of Fed policy and finds that such portfolios offer good positive risk-adjusted returns. It then create portfolios without conditioning on the current state of Fed policy, but treating the entire post-crisis period as one long, integrated regime, and finds that performance is better than the former portfolios. It appears that a multi-asset investor employing a standard optimization process to construct portfolios could have usefully treated the entire post-crisis period as one integrated regime.