Abstract

http://ssrn.com/abstract=1965423
 
 

References (11)



 
 

Citations (1)



 


 



A Risk Based Approach to Tactical Asset Allocation


Stefano Colucci


Symphonia Sgr

Dario Brandolini


University of Turin

November 28, 2011


Abstract:     
Faber’s 'A Quantitative Approach to Tactical Asset Allocation' (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management that improves the risk-adjusted portfolio returns across various asset classes. This approach, based on the conclusions of Brandolini D. – Colucci S. 'Backtesting Value-at-Risk: A comparison between Filtered Bootstrap and Historical Simulation', has been tested since 1974 for calibration and since 2000 in a real backtest. The asset allocation framework is using a combination of indices, including the Standard&Poors 500, Topix, Dax, MSCI United Kingdom, MSCI France, Italy Comit Globale, MSCI Canada, MSCI Emerging Markets , RJ/CRB, Merril Lynch U.S. Treasuries, 7-10 Yrs , and all indices are expressed in US Dollar. Since 2000 the empirical results present equity-like returns with lower volatility and drawdown and only one negative year both in gross and net of costs returns.

Number of Pages in PDF File: 27

Keywords: asset allocation, expected shortfall, filtered bootstrap, VaR, GDP

JEL Classification: G11, G23, C15

working papers series





Download This Paper

Date posted: November 28, 2011 ; Last revised: December 8, 2011

Suggested Citation

Colucci, Stefano and Brandolini, Dario, A Risk Based Approach to Tactical Asset Allocation (November 28, 2011). Available at SSRN: http://ssrn.com/abstract=1965423 or http://dx.doi.org/10.2139/ssrn.1965423

Contact Information

Stefano Colucci (Contact Author)
Symphonia Sgr ( email )
Corso Matteotti 5
Milano, Milano 20121
Italy
Dario Brandolini
University of Turin ( email )
Via Po 53
Torino, Turin - Piedmont 10100
Italy
Feedback to SSRN


Paper statistics
Abstract Views: 7,611
Downloads: 1,571
Download Rank: 5,574
References:  11
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.391 seconds