Tactical Asset Allocation to Gold
Daly (2005) studies market timing and tactical asset allocation in commodities. The abstract mentions alpha and t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The degree of accuracy, including the month gold peaked in 1980, can be an extremely valuable asset for portfolio managers looking for positive alphas.”
AssetCommodities
StrategyMarket timing
ClaimAlphat-statistic
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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|---|---|---|---|---|---|
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| Beyond Binary: A Ternary Regime Framework for Tactical Asset Allocation by Richman | 2026 |