A Risk Based Approach to Tactical Asset Allocation
A 2011 paper by Colucci and Brandolini on market timing and tactical asset allocation across several asset classes: the abstract mentions excess returns, drawdowns and transaction costs and leaves out a benchmark, an out-of-sample test, multiple testing and the size of the universe.
“The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management that improves the risk-adjusted portfolio returns across various asset classes.”
AssetMulti-assetbonds
StrategyMarket timing
GeographyUSEurope
ClaimExcess returndrawdown
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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