Tactic Asset Allocation and Conditional Return Expectations

Marcus Davidsson

Journal of Statistical and Econometric Methods, 2014, vol. 3, issue 2, 1

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.

Date: 2014
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