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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 classes and their respective information ratios?

I am aware of the following approaches:

  1. The approach laid out in Portfolio Construction and Risk Budgeting, Chapter 15, by Bernd Scherer. It takes an initial set of tactical asset allocation weights, the correlation structure derived from a trade matrix and the underlying asset class correlation structure and the information ratios of the asset classes and determines aggressiveness factors which are multiplied with initial tactical asset allocation weights to determine the corresponding ranges.

  2. The approach laid out in Advanced Theory and Methodology of Tactical Asset Allocation, Chapter 6, by Wai Lee. It takes an initial set of signals, the correlation structure of the asset classes and the alphas to determine aggressiveness factor which are applied to the initial set of signals to determine the corresponding ranges.

Are there approaches which are independent of an initial set of tactical weights/signals, but take the correlation structure between the asset classes and their information ratios into account?

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An approach which satisfies the requirements I listed above is the one laid out in Tracking Error and the Setting of Tactical Ranges, David E. Kuenzi, The Journal of Investing Spring 2004, 13 (1) 35-44.

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