Abstract

http://ssrn.com/abstract=1079975
 
 

References (19)



 
 

Citations (7)



 


 



Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes


David Blitz


Robeco Asset Management - Quantitative Strategies

Pim Van Vliet


Robeco Asset Management - Quantitative Strategies

2008

Journal of Portfolio Management, pp. 23-28, Fall 2008

Abstract:     
In this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short bottom-quartile portfolio based on a combination of momentum and value signals we find a return exceeding 9% per annum over the 1986-2007 period. Performance is stable over time, also present in an out-of-sample period and sufficiently high to overcome transaction costs in practice. The return cannot be explained by implicit beta exposures or the Fama French and Carhart hedge factors. We argue that financial markets may be macro inefficient due to insufficient 'smart money' being available to arbitrage mispricing effects away.

Number of Pages in PDF File: 31

Keywords: GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha

JEL Classification: C31, E30, G12, G15

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Date posted: August 7, 2008 ; Last revised: June 21, 2013

Suggested Citation

Blitz, David and van Vliet, Pim, Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes (2008). Journal of Portfolio Management, pp. 23-28, Fall 2008 . Available at SSRN: http://ssrn.com/abstract=1079975

Contact Information

David Blitz (Contact Author)
Robeco Asset Management - Quantitative Strategies ( email )
Coolsingel 120
Rotterdam, 3011 AG
Netherlands
Pim Van Vliet
Robeco Asset Management - Quantitative Strategies ( email )
Rotterdam, 3011 AG
Netherlands
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