RT Journal Article
SR Electronic
T1 Some Empirical Foundations for Tactical Asset Allocation
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 62
OP 74
DO 10.3905/jwm.2016.19.3.062
VO 19
IS 3
A1 R. David Ranson
YR 2016
UL https://pm-research.com/content/19/3/62.abstract
AB Certain price “signals” produced by financial markets appear to contain substantial information about future asset returns and macroeconomic behavior. Recognizing and exploring this opportunity, the article proposes and illustrates a simple model for anticipating the absolute and relative performance of the major asset classes. It reviews evidence for the broad predictive power of two particular market signals: credit spreads and the price of gold. The reader should bear in mind that the model is one that is derived from the evidence, rather than a model that the evidence is used to test.TOPICS: Portfolio construction, statistical methods, performance measurement