Tactical Asset Allocation Using Relative Strength

Lewis, John

doi:10.2139/ssrn.2025699

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Tactical Asset Allocation Using Relative Strength

16 Pages Posted: 19 Mar 2012 Last revised: 22 Mar 2012

See all articles by John Lewis

John Lewis

Dorsey Wright Money Management

Date Written: 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.

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

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

Suggested Citation: 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