References (22)



Tactical Asset Allocation Using Relative Strength

John Lewis

Dorsey Wright Money Management

March 1, 2012

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: https://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
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References:  22