Publication: Carry-Based Expected Returns for Strategic Asset Allocation
Carry-Based Expected Returns for Strategic Asset Allocation
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Schnetzer, M. (2019). Carry-Based Expected Returns for Strategic Asset Allocation. Journal of Portfolio Management, 45(2), 68–81. https://doi.org/10.3905/jpm.2018.45.2.068
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In this article, the author investigates expected return forecasting methodologies and their application in an asset allocation context. Although present value model–related methods are popular in practice, little is known about their performance when used for asset allocation. An intuitive and traceable carry-based method is developed by the author and tested and benchmarked against competing alternatives. The results are evaluated from different perspectives, and the obtained returns are regressed on well-known risk factors. The pro
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- Schnetzer, Michael
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Citations
Schnetzer, M. (2019). Carry-Based Expected Returns for Strategic Asset Allocation. Journal of Portfolio Management, 45(2), 68–81. https://doi.org/10.3905/jpm.2018.45.2.068