RT Journal Article SR Electronic T1 Assessing TAA Manager Performance JF The Journal of Portfolio Management FD Institutional Investor Journals SP 40 OP 49 DO 10.3905/jpm.1999.319772 VO 26 IS 1 A1 Steven M. Fox YR 1999 UL https://pm-research.com/content/26/1/40.abstract AB For U.S. two-way tactical asset allocation (TAA) managers, performance is a function of at least two factors: forecasting ability and tilt size. Assessing the relative performance across a universe of managers is made difficult because of small peer group and relative short return histories. Simulated performance universes are used to decompose the source of relative performance and to overcome the small sample problems. Surprising, little forecasting ability is required, on average, to provide positive excess returns. Portfolio risk, measured as the probability of underperforming the benchmark, decreases with forecasting skill of U.S. TAA managers and demonstrates that after accounting for equity tilt, size, sample period, and length, seemingly equivalent managers possess vastly different levels of forecasting ability.