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Article

The EVA Style Approach to Tactical Asset Allocation

Atreya Chakraborty, James L. Grant and Emery A. Trahan
The Journal of Wealth Management Fall 2017, 20 (2) 41-53; DOI: https://doi.org/10.3905/jwm.2017.20.2.041
Atreya Chakraborty
is a professor of finance in the College of Management at the University of Massachusetts in Boston, MA
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James L. Grant
is associate dean of graduate programs and an associate professor of finance in the College of Management at the University of Massachusetts in Boston, MA
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Emery A. Trahan
is senior associate dean of faculty and research and a professor of finance at the D’Amore McKim School of Business at Northeastern University in Boston, MA
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Abstract

We refine tactical asset allocation (TAA) by arguing that the equity style component of a TAA strategy should distinguish between—and rotate among—predefined value creators and value destroyers in the marketplace. We assess equity style in the context of an economic profit approach to securities analysis and active portfolio management. We illustrate TAA in the context of an economic value added style analysis, and we demonstrate both the macroeconomic aspects and cyclicality of economic profit and its equity rotational implications for TAA. We conclude with a look at some well-known value creators and value destroyers, as well as known market anomalies that can also drive an economic profit approach to TAA and active portfolio management.

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The Journal of Wealth Management: 20 (2)
The Journal of Wealth Management
Vol. 20, Issue 2
Fall 2017
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The EVA Style Approach to Tactical Asset Allocation
Atreya Chakraborty, James L. Grant, Emery A. Trahan
The Journal of Wealth Management Jul 2017, 20 (2) 41-53; DOI: 10.3905/jwm.2017.20.2.041

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The EVA Style Approach to Tactical Asset Allocation
Atreya Chakraborty, James L. Grant, Emery A. Trahan
The Journal of Wealth Management Jul 2017, 20 (2) 41-53; DOI: 10.3905/jwm.2017.20.2.041
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  • Article
    • Abstract
    • MOTIVATION: ECONOMIC EARNINGS AND VALUE CREATION
    • DEFINING VALUE CREATORS AND DESTROYERS
    • ECONOMIC VERSUS ACCOUNTING EARNINGS
    • VALUE CREATORS (AND DESTROYERS) IN PRACTICE
    • EVA STYLE ANALYSIS
    • CYCLICALITY IN EVA STYLE
    • MICRO EVA STYLE ANALYSIS: A LOOK UNDER THE HOOD
    • A WORD ON THE POLITICAL ECONOMY
    • EVA STYLE AND EVENT STUDY ANALYSIS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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