Tactical Asset Allocation Using Relative Strength

Lewis, John

doi:10.2139/ssrn.2025699

Abstract

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Tactical Asset Allocation Using Relative Strength

John Lewis

Dorsey Wright Money Management

March 1, 2012

Abstract:
This paper presents the results of several relative strength (momentum) tactical asset allocation strategies tested in a real world portfolio management setting. Monte Carlo simulations are used to determine the possible range of outcomes if a portfolio manager selects a subset of high relative strength (momentum) asset classes over time. A testing protocol that rebalances the portfolio on a continuous basis is also used to simulate real world portfolio management practices.

Number of Pages in PDF File: 16

Keywords: Momentum, Quantitative, Tactical Asset Allocation, Asset Class

JEL Classification: G11, C10, C15, C52, E00

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Date posted: March 19, 2012 ; Last revised: March 22, 2012

Suggested Citation

Lewis, John, Tactical Asset Allocation Using Relative Strength (March 1, 2012). Available at SSRN: http://ssrn.com/abstract=2025699 or http://dx.doi.org/10.2139/ssrn.2025699

Contact Information

John Lewis (Contact Author)

Dorsey Wright Money Management ( email )

595 East Colorado Blvd.
Pasadena, CA 91101
United States