Fund Manager Alpha in Tactical Asset Allocation
Lee (2026) studies market timing and tactical asset allocation in equities. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“To reflect the fact that each manager’s opportunity set is constrained by the fund’s style, we construct a style-matching portfolio and use it to define manager alpha as a time-varying measure of stock picking ability.”
AssetEquities
StrategyMarket timing
GeographyEmerging markets
ClaimAlpha
Missing from abstract: benchmark, out-of-sample test, costs, 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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