Pragmatic Asset Allocation Model for Semi-Active Investors
A 2024 paper by Vojtko and Javorská on market timing and tactical asset allocation across several asset classes: the abstract mentions a Sharpe ratio and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Backtested from December 1927 to August 2023, the strategy yields an annual return of 10.73% and a Sharpe ratio 0.93.”
AssetMulti-asset
StrategyMarket timingmomentum
GeographyGlobal
FrequencyQuarterly
Also stated: Sharpe ratio, Macro
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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