Some Empirical Foundations for Tactical Asset Allocation

Certain price "signals" produced by financial markets appear to contain substantial information about future asset returns and macroeconomic behavior. Recognizing and exploring this opportunity, the article proposes and illustrates a simple model for anticipating the absolute and relative...

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Bibliographic Details
Published in:The journal of wealth management 2016-12, Vol.19 (3), p.62-74
Main Author: Ranson, R. David
Format: Article
Language:English
Subjects:
Analysis
Anxiety
Asset allocation
Calendars
Capital movement
Commodities
Corporate bonds
Economic growth
Economic indicators
GDP
Gold
Gross Domestic Product
Investments
Macroeconomics
Predictions
Prices
Securities markets
Stock exchanges
Stocks
Studies
Treasury bonds
Uncertainty
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Description
Summary:Certain price "signals" produced by financial markets appear to contain substantial information about future asset returns and macroeconomic behavior. Recognizing and exploring this opportunity, the article proposes and illustrates a simple model for anticipating the absolute and relative performance of the major asset classes. It reviews evidence for the broad predictive power of two particular market signals: credit spreads and the price of gold. The reader should bear in mind that the model is one that is derived from the evidence, rather than a model that the evidence is used to test.
ISSN:1534-7524
2374-1368
DOI:10.3905/jwm.2016.19.3.062