Fund Manager Beta in Tactical Asset Allocation

Woongki Lee
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Woongki Lee: Yonsei University

No u8kps_v1, SocArXiv from Center for Open Science

Abstract: We show that realized returns are shaped by two opposing intertemporal forces. They rise with expected short-term returns but fall when risk subsequently increases. Successful timing therefore requires attention not only to favorable return expectations but also to future risk. This logic leads to a two-component specification of manager beta. One raises exposure when near-term opportunities are favorable, while the other lowers exposure when future risk is expected to rise. Market timing is thus represented as a tactical adjustment of portfolio exposure that seeks gains while limiting losses from subsequent risk increases.

Date: 2026-08-08
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:u8kps_v1

DOI: 10.31235/osf.io/u8kps_v1

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