Tactical Asset Allocation Using Relative Strength
16 Pages Posted: 19 Mar 2012 Last revised: 22 Mar 2012
Date Written: 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.
Keywords: Momentum, Quantitative, Tactical Asset Allocation, Asset Class
JEL Classification: G11, C10, C15, C52, E00
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