Golden rule and macro investing

Golden rule of investing: “no asset (or strategy) is so good that it can it be purchased irrespective of the price paid.” This is the rule that is every value investor employs when picking stocks. But how about macro investing? The same golden rule applies to asset classes as well as individual assets. If fact, since the asset class decision is bigger than a choice of purchasing an individual asset, it is even more important. 

Get the asset allocation right and you will be rewarded handsomely. Decrease exposure to stocks when they are rich. Buy bonds when they are cheap. Stay away from expensive emerging markets. Buy risky assets when the economy is growing. The only problem is that value investing acres asset classes is harder than a comparison across two stocks. Stock picking is "easy", discount the cash flows. Now, how do you compare cash flows across asset classes in aggregate? 

This is not impossible but difficult. Still, the cost of being right or wrong is much higher with respect to asset allocation. In fact, academic research suggests that even if the R-squared of a simple macro factor regression is low the positive impact on portfolio management of using the model is significant. 

You have to generate a lot of alpha from small positions to make up for the fact that you have the wrong stock allocation. There is value with macro investing and good asset allocation.