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

31 Pages Posted: 7 Aug 2008 Last revised: 21 Jun 2013

David Blitz

Robeco Asset Management - Quantitative Strategies

Pim van Vliet

Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

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

JEL Classification: C31, E30, G12, G15

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: https://ssrn.com/abstract=1079975

David Blitz (Contact Author)

Robeco Asset Management - Quantitative Strategies ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Pim Van Vliet

Robeco Asset Management - Quantitative Strategies ( email )

Rotterdam, 3011 AG
Netherlands

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