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Tactic Asset Allocation and Conditional Return Expectations

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  • Marcus Davidsson

Abstract

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average significantly increases our returns when it comes to index investments but it also helps us to avoid large drawdowns.

Suggested Citation

  • Marcus Davidsson, 2014. "Tactic Asset Allocation and Conditional Return Expectations," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 3(2), pages 1-1.
    • Handle: RePEc:spt:stecon:v:3:y:2014:i:2:f:3_2_1
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