Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
复制标题
全球战术性跨资产配置：跨资产类别应用价值和动力
DOI：
10.3905/jpm.2008.35.1.23
复制
发表时间：
2008
期刊：
影响因子：
--
通讯作者：
Pim van Vliet
中科院分区：
文献类型：
--
作者：
David Blitz;Pim van Vliet
本文探讨了广泛资产类别的全球战术资产配置 (GTAA) 策略。与单一资产类别的市场时机和类似资产的战术配置相比，该主题在现有文献中很少受到关注。本文记录的主要发现是，应用于 12 个资产类别的 GTAA 的动量和价值策略带来了统计上和经济上显着的异常回报。对于基于动量和价值信号组合的多头顶部四分之一和空头底部四分位投资组合，作者报告在 1986 年至 2007 年期间的年回报率为 12%。性能随着时间的推移保持稳定，在样本外期间也存在，并且足够高以克服实践中的交易成本。这种回报不能用对高风险溢价资产类别的潜在结构性偏差来解释，也不能用 Fama-French 和 Carhart 对冲因子来解释。作者认为，由于没有足够的“聪明资金”来套利错误定价效应，金融市场可能在宏观上效率低下。
Global tactical asset allocation (GTAA) strategies across a broad range of asset classes are explored in this article. In contrast to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. The main finding documented in this article is that momentum and value strategies applied to GTAA across 12 asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short bottom-quartile portfolio based on a combination of momentum and value signals, the authors report a return of 12% per annum over the 1986–2007 period. Performance is stable over time, is also present in an out-of-sample period, and is sufficiently high to overcome transaction costs in practice. The return cannot be explained by potential structural biases toward asset classes with high risk premiums, nor by the Fama–French and Carhart hedge factors. The authors argue that financial markets may be macroinefficient due to insufficient “smart money” being available to arbitrage away mispricing effects.
影响因子：
8
作者：
Narasimhan Jegadeesh
通讯作者：
Narasimhan Jegadeesh