Publication: How Good Is Tactical Asset Allocation Using Standard Indicators?
How Good Is Tactical Asset Allocation Using Standard Indicators?
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Schnetzer, M. (2020). How Good Is Tactical Asset Allocation Using Standard Indicators? Journal of Portfolio Management, 46(6), 120–134. https://doi.org/10.3905/jpm.2020.1.145
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Tactical asset allocation decisions are often based on (and justified by) macroeconomic developments and valuation ratios. However, why should using such publicly available information provide an investment edge? This article investigates whether a simple combination approach based on popular indicators can improve a multi-asset portfolio’s performance. The author developed a method to assess each asset class’s attractiveness using standard and economically motivated indicators from four scientifically valid areas (valuation, trend, r
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- Schnetzer, Michael
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Citations
Schnetzer, M. (2020). How Good Is Tactical Asset Allocation Using Standard Indicators? Journal of Portfolio Management, 46(6), 120–134. https://doi.org/10.3905/jpm.2020.1.145
