Out-of-Sample Performance of Asset Allocation Strategies

2008 ◽  
Author(s):  
Daniela Kolusheva
Keyword(s):  
Asset Allocation ◽  
Out Of Sample ◽  
Allocation Strategies

scholarly journals MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS

1997 ◽  
Vol 1 (1) ◽  
pp. 102-134 ◽  
Author(s):  
ANDREW W. LO ◽  
A. CRAIG MACKINLAY
Keyword(s):  
Asset Allocation ◽  
Market Timing ◽  
Forecast Errors ◽  
Bond Markets ◽  
Data Snooping ◽  
Market Capitalization ◽  
Ex Ante ◽  
Out Of Sample ◽  
Asset Classes ◽  
Allocation Strategies

We construct portfolios of stocks and bonds that are maximally predictable with respect to a set of ex-ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources of predictability by using several asset groups — sector portfolios, market-capitalization portfolios, and stock/bond/utility portfolios — and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return horizon changes. Using three out-of-sample measures of predictability — forecast errors, Merton's market-timing measure, and the profitability of asset-allocation strategies based on maximizing predictability — we show that the predictability of the maximally predictable portfolio is genuine and economically significant.

Asset Allocation Strategies: Enhanced by Micro-Blog

2019 ◽  
Author(s):  
Zryan Sadik ◽  
Gautam Mitra ◽  
Shradha Berry
Keyword(s):  
Asset Allocation ◽  
Allocation Strategies

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

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