Surprise! Taa Can Work in Quiet Markets

Journal of Investing, Fall 1997

Posted: 27 Apr 1998

See all articles by Robert D. Arnott

Robert D. Arnott

Research Affiliates, LLC

Todd Miller

First Quadrant, L.P.

Abstract

A tactical asset allocation process most typically adds value during the volatile periods of the market cycle, when there is substantial divergence in asset class returns. A tactical options program will add value during the trendless periods of the market cycle. Two such programs together are highly complementary, providing a mechanism to add value during the inevitable quiet - hence unprofitable - periods for TAA. The authors discuss simulated results.

JEL Classification: G11, G12

Suggested Citation

Arnott, Robert D. and Miller, Todd, Surprise! Taa Can Work in Quiet Markets. Journal of Investing, Fall 1997, Available at SSRN: https://ssrn.com/abstract=77349

Robert D. Arnott (Contact Author)

Research Affiliates, LLC ( email )

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Todd Miller

First Quadrant, L.P. ( email )

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Suite 900
Pasadena, CA 91102
United States
626-795-8220 (Phone)

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