In this note we set out to show how incorporating macro forecasting into the process of building an asset portfolio can be a profitable endeavour. Macro insights are useful mainly in managing risks, rather than in timing the market (or simply providing a nice narrative with the benefit of hindsight). One useful macro tool for portfolio building is the Fathom Risk-Off Gauge (FROG), an indicator which provides a probabilistic assessment of whether the market is in a risk-on or -off…