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TACTICAL ASSET ALLOCATION: CAN IT WORK?
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 17, Heft 4, S. 465-479
ISSN: 1475-6803
AbstractMarket events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logit analysis is employed to determine which of the various timely and readily available data significantly affect these probabilities. These estimated probabilities are used to suggest the optimal allocations of funds over time between the risk‐free asset and the market portfolio. Then, several timing strategies are compared with a buy‐and‐hold portfolio. An asset allocation strategy based on the probabilities assigned by the logit model appears to achieve greater terminal wealth with less variability of returns. Similar results are obtained for both an initial sample (1962–76 in our model) and a holdout sample (1977–88).
Credit-Informed Tactical Asset Allocation - 10 Years On
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Relative Sentiment and Machine Learning for Tactical Asset Allocation
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Working paper
Tactical Asset Allocation and Stock Issuance in the Korean Stock Market
In: Emerging markets, finance and trade: EMFT, Band 49, Heft sup4, S. 93-103
ISSN: 1558-0938
On the Relevance of Strategic and Tactical Asset Allocation for Portfolio Insurance
In: Risk & Reward, Band 2020, Heft issue
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Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation
In: International Review of Financial Analysis, Band 81
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Applied financial macroeconomics & investment strategy: a practitioner's guide to tactical asset allocation
In: Global financial markets series
The Cross-section of Industry Equity Returns and Global Tactical Asset Allocation across Regions and Industries
In: International Review of Financial Analysis, Band 72
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Strategic Asset Allocation
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Working paper
Mass Customization of Asset Allocation
In: The Journal of Investing, April 2022, 31 (3) 73 - 97 DOI: 10.3905/joi.2021.1.217
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