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Journal articles on the topic 'Tactical Asset Allocation (TAA)'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Brown, Robert A. "TAA Properly Defined." Finance and Market 4, no. 1 (2019): 1. http://dx.doi.org/10.18686/fm.v4i1.1097.

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<p>Tactical Asset Allocation (TAA) has generally been misspecified, oversold, and subsequently underdelivered. Nevertheless, TAA offers a series of highly attractive investment attributes when adviser/client expectations are properly set and the strategy is appropriately positioned as a portion of a comprehensive investor solution. This article’s objective is three-fold. First, to identify the attractive investment attributes of TAA relative to passive buy &amp; hold. Second, to quantify or parameterize these relative advantages so that users can better assess the relevance of TAA fo

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2

Kim Hin, David HO, and Justin WONG Chia Chern. "Introducing REITs (Real Estate Investment Trusts) to Enhance the Risk Adjusted Returns of the Risky Direct Real Estate Portfolio." Journal of Economics and Public Finance 2, no. 2 (2016): 323. http://dx.doi.org/10.22158/jepf.v2n2p323.

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<p><strong><em>Purpose</em></strong><strong><em>:</em></strong><em> </em><em>The paper has several objectives in mind: to examine whether or not </em><em>a dynamic, ex ante AHP-SAA model and a dynamic Markowitz QP TAA model that utilizes de-smoothed data, produces an investment strategy, which further optimizes the risk-adjusted return of the pan-Asian real estate portfolio. It examines the required de-smoothing and Modern Portfolio Theory (MPT) for the TAA. </em><em></em></p><p>&l

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3

Philips, Thomas K., Greg T. Rogers, and Robert E. Capaldi. "Tactical Asset Allocation." Journal of Portfolio Management 23, no. 1 (1996): 57–64. http://dx.doi.org/10.3905/jpm.1996.409576.

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4

Goodsall, William A. R. "Tactical Asset Allocation." AIMR Conference Proceedings 1998, no. 6 (1998): 102–10. http://dx.doi.org/10.2469/cp.v1998.n6.10.

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5

de Silva, Harindra. "Modern Tactical Asset Allocation." CFA Institute Conference Proceedings Quarterly 23, no. 4 (2006): 1–10. http://dx.doi.org/10.2469/cp.v23.n4.4365.

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6

Thompson, Brad. "Why Tactical Asset Allocation?" Journal of Index Investing 7, no. 3 (2016): 96–100. http://dx.doi.org/10.3905/jii.2016.7.3.096.

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7

Trent, William A. "Strategic versus Tactical Asset Allocation." CFA Digest 34, no. 3 (2004): 72–74. http://dx.doi.org/10.2469/dig.v34.n3.1530.

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8

Anson, Mark J. P. "Strategic versus Tactical Asset Allocation." Journal of Portfolio Management 30, no. 2 (2004): 8–22. http://dx.doi.org/10.3905/jpm.2004.319926.

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9

Mangiero, Susan M. "Tactical Asset Allocation: 1977–1994." CFA Digest 27, no. 3 (1997): 40–41. http://dx.doi.org/10.2469/dig.v27.n3.115.

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10

Faff, Robert, David R. Gallagher, and Eliza Wu. "Tactical Asset Allocation: Australian Evidence." Australian Journal of Management 30, no. 2 (2005): 261–82. http://dx.doi.org/10.1177/031289620503000205.

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11

Peake, Charles F. "Tactical Asset Allocation and Commodity Futures." CFA Digest 33, no. 1 (2003): 61–63. http://dx.doi.org/10.2469/dig.v33.n1.1227.

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12

Jensen, Gerald R., Robert R. Johnson, and Jeffrey M. Mercer. "Tactical Asset Allocation and Commodity Futures." Journal of Portfolio Management 28, no. 4 (2002): 100–111. http://dx.doi.org/10.3905/jpm.2002.319859.

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13

Qian, Edward. "Tactical Asset Allocation with Pairwise Strategies." Journal of Portfolio Management 30, no. 1 (2003): 39–48. http://dx.doi.org/10.3905/jpm.2003.319918.

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14

Weigel, Eric J. "The Performance of Tactical Asset Allocation." Financial Analysts Journal 47, no. 5 (1991): 63–70. http://dx.doi.org/10.2469/faj.v47.n5.63.

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15

MacBeth, James D., and David C. Emanuel. "Tactical Asset Allocation: Pros and Cons." Financial Analysts Journal 49, no. 6 (1993): 30–43. http://dx.doi.org/10.2469/faj.v49.n6.30.

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16

Ammann, Manuel, and Heinz Zimmermann. "Tracking Error and Tactical Asset Allocation." Financial Analysts Journal 57, no. 2 (2001): 32–43. http://dx.doi.org/10.2469/faj.v57.n2.2431.

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17

Herold, Ulf, and Raimond Maurer. "Tactical asset allocation and estimation risk." Financial Markets and Portfolio Management 18, no. 1 (2004): 39–57. http://dx.doi.org/10.1007/s11408-004-0104-2.

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18

Nam, Joong-soo, and Ben Branch. "TACTICAL ASSET ALLOCATION: CAN IT WORK?" Journal of Financial Research 17, no. 4 (1994): 465–79. http://dx.doi.org/10.1111/j.1475-6803.1994.tb00159.x.

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19

Clewell, David, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page, and Charles Shriver. "Macroeconomic Dashboards for Tactical Asset Allocation." Journal of Portfolio Management 44, no. 2 (2017): 50–61. http://dx.doi.org/10.3905/jpm.2018.44.2.050.

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20

Chong, James, and G. Michael Phillips. "Tactical Asset Allocation with Macroeconomic Factors." Journal of Wealth Management 17, no. 1 (2014): 58–69. http://dx.doi.org/10.3905/jwm.2014.17.1.058.

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21

McCarthy, Joseph E., and Edward Tower. "Static Indexing Beats Tactical Asset Allocation." Journal of Index Investing 11-12, no. 4-1 (2021): 41–52. http://dx.doi.org/10.3905/jii.2021.1.100.

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22

Clarke, Roger G., Scott Krase, and Meir Statman. "Tracking Errors, Regret, and Tactical Asset Allocation." Journal of Portfolio Management 20, no. 3 (1994): 16–24. http://dx.doi.org/10.3905/jpm.1994.16.

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23

Ranson, R. David. "Some Empirical Foundations for Tactical Asset Allocation." Journal of Wealth Management 19, no. 3 (2016): 62–74. http://dx.doi.org/10.3905/jwm.2016.19.3.062.

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24

Faber, Mebane T. "A Quantitative Approach to Tactical Asset Allocation." Journal of Wealth Management 9, no. 4 (2007): 69–79. http://dx.doi.org/10.3905/jwm.2007.674809.

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25

Horan, Stephen M. "A Multivariate Dichotomic Approach for Tactical Asset Allocation." CFA Digest 36, no. 2 (2006): 99–100. http://dx.doi.org/10.2469/dig.v36.n2.4131.

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26

Tokat, Yesim, Nelson W. Wicas, and Kimberly Stockton. "Practical Guidelines for Tactical Asset Allocation Strategy Evaluation." Journal of Investing 16, no. 3 (2007): 33–41. http://dx.doi.org/10.3905/joi.2007.694760.

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27

Marmi, Stefano, Claudio Pacati, Roberto Renò, and Wiston Adrián Risso. "A quantitative approach to Faber's tactical asset allocation." International Journal of Computational Economics and Econometrics 3, no. 1/2 (2013): 91. http://dx.doi.org/10.1504/ijcee.2013.056268.

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28

Lundin, Mark. "On the information ratio of tactical asset allocation." Journal of Asset Management 4, no. 5 (2003): 326–33. http://dx.doi.org/10.1057/palgrave.jam.2240113.

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29

Roberge, Mathieu, and Cécile Le Moigne. "A multivariate dichotomic approach for tactical asset allocation." Journal of Asset Management 6, no. 3 (2005): 206–18. http://dx.doi.org/10.1057/palgrave.jam.2240176.

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30

Chakraborty, Atreya, James L. Grant, and Emery A. Trahan. "The EVA Style Approach to Tactical Asset Allocation." Journal of Wealth Management 20, no. 2 (2017): 41–53. http://dx.doi.org/10.3905/jwm.2017.20.2.041.

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31

Jarvis, S., A. Lawrence, and S. Miao. "Dynamic Asset Allocation Techniques." British Actuarial Journal 15, no. 3 (2009): 573–655. http://dx.doi.org/10.1017/s1357321700005742.

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ABSTRACTInvestment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems — in order to derive potential dynamic strategies. Along the way, we show how static investment strategies can fail to deliver an investor's long-term objectives and describe the relationship of our work to other areas of the finance literature. This paper does not

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32

Portokalis, Georgeann. "Global Tactical Cross-Asset Allocation: Applying Value and Momentum across Asset Classes." CFA Digest 39, no. 2 (2009): 80–82. http://dx.doi.org/10.2469/dig.v39.n2.25.

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33

Cloutier, Richard, Arsen Djatej, and Dean Kiefer. "A tactical asset allocation strategy that exploits variations in VIX." Investment Management and Financial Innovations 14, no. 1 (2017): 27–34. http://dx.doi.org/10.21511/imfi.14(1).2017.03.

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Buy and hold strategies make staying disciplined difficult for investors, especially given the variability of returns for different asset classes/strategies during divergent market conditions. Market timing strategies, on the other hand, present significant theoretical benefits, but in reality these benefits are difficult to obtain. Tactical asset allocation, where limited deviations from the strategic allocation are allowed permits the portfolio manager to take advantage of market conditions fits between these two extremes. The authors correlate daily returns for each of eighteen separate ass

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34

Darnell, Max. "The Changing Nature and Role of Tactical Asset Allocation." CFA Institute Conference Proceedings Quarterly 24, no. 4 (2007): 74–82. http://dx.doi.org/10.2469/cp.v24.n4.4943.

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35

Rastogi, Vivek Raj, Niraj Kumar Vishvakarma, and Joydip Dhar. "An empirical study on tactical asset allocation and forecasting." International Journal of Economics and Business Research 4, no. 4 (2012): 393. http://dx.doi.org/10.1504/ijebr.2012.047419.

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36

Schnetzer, Michael. "How Good Is Tactical Asset Allocation Using Standard Indicators?" Journal of Portfolio Management 46, no. 6 (2020): 120–34. http://dx.doi.org/10.3905/jpm.2020.1.145.

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37

Peláez, Rolando F. "Tactical Asset Allocation with the Relative Total Return CAPE." Journal of Portfolio Management 47, no. 4 (2021): 180–91. http://dx.doi.org/10.3905/jpm.2021.1.206.

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38

Louton, David, Joseph McCarthy, Stephen Rush, Hakan Saraoglu, and Ognjen Sosa. "Tactical asset allocation for US pension investors: How tactical should the plan be?" Journal of Asset Management 16, no. 7 (2015): 427–36. http://dx.doi.org/10.1057/jam.2015.26.

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39

Saville, Adrian. "Using an inflation-augmented price-earnings ratio to guide tactical asset allocation." South African Journal of Economic and Management Sciences 12, no. 2 (2011): 211–27. http://dx.doi.org/10.4102/sajems.v12i2.277.

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Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation. This study reviews these arguments as they apply to South Africa, and finds that an inflation-augmented price-earnings

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40

Saville, Adrian. "Using an inflation-augmented price-earnings ratio to guide tactical asset allocation." South African Journal of Economic and Management Sciences 12, no. 4 (2011): 412–28. http://dx.doi.org/10.4102/sajems.v12i4.186.

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Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation. This study reviews these arguments as they apply to South Africa, and finds that an inflation-augmented price-earnings

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41

Chevallier, Eric, and Heinz H. Müller. "Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies." ASTIN Bulletin 24, no. 1 (1994): 5–18. http://dx.doi.org/10.2143/ast.24.1.2005077.

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AbstractThe theory of risk exchange is applied on the allocation of financial risk in capital markets. It is shown how the shape of individual payoff functions depends on risk tolerance and cautiousness. For the special case where the Neumann-Morgenstern utility functions of all individual investors belong to the HARA class and have non decreasing risk tolerance it is proved that generalized versions of “portfolio insurance”, “tactical asset allocation” and “collars” are the only strategies occurring in price equilibrium.

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42

Wrighton, Joanna. "Practical Applications ofRisk-versus Trend-Driven Global Tactical Asset Allocation." Practical Applications 2, no. 2 (2014): 1.13–4. http://dx.doi.org/10.3905/pa.2014.2.2.081.

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43

Yang, Junmin, Zhiguang Cao, Qiheng Han, and Qiyu Wang. "Tactical asset allocation on technical trading rules and data snooping." Pacific-Basin Finance Journal 57 (October 2019): 101049. http://dx.doi.org/10.1016/j.pacfin.2018.08.003.

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44

French, N., J. W. Kay, and C. W. R. Ward. "Timing and diversification: Required information coefficients for tactical asset allocation." Journal of Asset Management 1, no. 1 (2000): 60–71. http://dx.doi.org/10.1057/palgrave.jam.2240005.

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45

Lee, Wai. "Return and Risk Characteristics of Tactical Asset Allocation Under Imperfect Information." Journal of Portfolio Management 25, no. 1 (1998): 61–70. http://dx.doi.org/10.3905/jpm.1998.409661.

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46

Eom, Chanyoung, Hyoung-Goo Kang, and Soo-Hyun Kim. "Tactical Asset Allocation and Stock Issuance in the Korean Stock Market." Emerging Markets Finance and Trade 49, sup4 (2013): 93–103. http://dx.doi.org/10.2753/ree1540-496x4905s407.

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47

Lewis, Nigel D., John Okunev, and Derek White. "Using a Value at Risk Approach to Enhance Tactical Asset Allocation." Journal of Investing 16, no. 4 (2007): 100–107. http://dx.doi.org/10.3905/joi.2007.698968.

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48

Faber, Meb. "A Quantitative Approach to Tactical Asset Allocation Revisited 10 Years Later." Journal of Portfolio Management 44, no. 2 (2017): 156–67. http://dx.doi.org/10.3905/jpm.2018.44.2.156.

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49

Uhl, Matthias W., Mads Pedersen, and Oliver Malitius. "What’s in the News? Using News Sentiment Momentum for Tactical Asset Allocation." Journal of Portfolio Management 41, no. 2 (2015): 100–112. http://dx.doi.org/10.3905/jpm.2015.41.2.100.

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50

Reddy, Wejendra. "Evaluation of Australian industry superannuation fund performance; asset allocation to property." Journal of Property Investment & Finance 34, no. 4 (2016): 301–20. http://dx.doi.org/10.1108/jpif-12-2015-0084.

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Purpose – Property is a key investment asset class that offers considerable benefits in a mixed-asset portfolio. Previous studies have concluded that property allocation should be within the 10-30 per cent range. However, there seems to be wide variation in theory and practice. Historical Australian superannuation data shows that the level of allocation to property asset class in institutional portfolios has remained constant in recent decades, restricted at 10 per cent or lower. This is seen by many in the property profession as a subjective measure and needs further investigation. The purpos

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