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.
2
votes
2answers
292 views
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 ...
4
votes
3answers
729 views
What are some of the major quantitative approaches to tactical asset allocation?
Note: This question was written for the weekly topic challenge.
Many of you who deal with asset allocation will probably already be familiar with Mebane Faber's Timing Model, based on one of SSRN's ...
4
votes
2answers
152 views
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 ...
7
votes
2answers
339 views
How to shift amongst asset classes in response to relative value views?
I am designing an asset allocation strategy/fund which invests in four asset classes (via four independent sub-funds):
Domestic equity
International equity
Domestic fixed income
Foreign currencies
...
6
votes
1answer
259 views
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 ...
4
votes
2answers
350 views
Should I use currency hedged or unhedged returns for a global equity allocation model?
I am building a global tactical equity allocation model. The model will help determine an optimal allocation amongst a number of major developed and emerging stock markets (represented for my purposes ...
