On the information ratio of tactical asset allocation

Mark Lundin ()
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Mark Lundin: Fortis Investment Management

Journal of Asset Management, 2003, vol. 4, issue 5, No 5, 326-333

Abstract: Abstract The information ratio for tactical asset allocation strategies is derived under the assumption of dependence only on the information ratios for asset classes actively managed as sub-portfolios. If information ratios for security selection within asset classes are positive, then that for tactical asset allocation must also be positive. If information ratios for active management of the asset classes are equal, then they are also equal to the information ratio for tactical asset allocation. The overall information ratio for the global investment process comprising security selection and tactical asset allocation is greater than that of any single constituent.

Keywords: tactical asset allocation; information ratio; active management (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1057/palgrave.jam.2240113

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