Questions tagged [tactical-asset-allocation]
An active management portfolio strategy that rebalances the percentage of assets held in various categories in order to take advantage of market pricing anomalies or strong market sectors.
26 questions
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Bonds in a zero interest rate environment
I've been looking at Pension Fund asset allocations. Why would they have any allocation to bonds in an zero interest rate environment?
To make the point, let's assume the interest paid on these bonds ...
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"Better" forecasts lead to worse asset allocation performance
Short version
If you're trying to produce an asset allocation system, it feels pretty natural to split it into an estimation component that forecasts asset means and covariance, and a weighting ...
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Fama French regression with dummy variable
I am looking to run Fama-French regression on a portfolio of stocks.
I am looking to specify a regime using a dummy variable.
This dummy variable could be a low volatility/ high volatility marker.
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Trading Ranges for Tactical Asset Allocation
Do methods exist to determine trading ranges around benchmark weights/strategic asset allocation weights for a tactical asset allocation from the correlation structure between the individual asset ...
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Country allocation -optimization 3 countries
I have the following problem: an equity portfolio allocated to 3 countries. Each country has an independent indicator (signal) which takes values from -4 to 4. The allocation for each country at ...
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Optimal portfolio construction for tactical asset allocation
This is the first time I post question here so if there is anything that does not follow the rule, please bear with me and let me know.
I am trying to solve this optimization question but I don't ...
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Questions on Kelly criterion
I am new to asset allocation problems and have some concerns regarding the derivation of the continuous-time Kelly criterion (i.e. not the original version destined to discrete sports betting/Casino).
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What is smart beta, alternative index, factor investing?
What is smart beta, alternative index, factor investing? Are they basically the same thing? Construct a benchmark index using schema other than market cap?
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Asset allocation and GARCH models
I am trying to solve an asset allocation problem and I am having some troubles grasping the concept. I am working with excess returns on 4 stock indices and I am obtaining the excess returns forecasts ...
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Quantitative method to select tactical bands for asset allocation
Do you know a study with a methodology for selecting tactical bands (or the allowed deviation from a strategic asset allocation)? Thanks
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performance attribution
I am trying to do some performance attribution for a few portfolios we manage. What I am trying to examine are three different sources of returns:
The general asset allocation
Security Selection
The ...
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How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
Sell-side analysts' earnings estimates for individual companies, typically reported by I/B/E/S, are a key ingredient to many quantitative models. However, revisions to analyst estimates tend to lag ...
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Which valuation measures are most useful for equity market timing?
Competing academic studies, such as Asness's Fight the Fed Model and Lee, Myers, and Swaminathan's What is the Intrinsic Value of the Dow, offer differing answers to the question of whether equity ...
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