Market conditions change over the course of the business cycle. When are investors
compensated to take risk? And what type of risk? This article proposes a practical regime …

Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to
adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies …

The authors measure the aggregate state of the economy using variables motivated by the
macro-finance literature. In particular, they focus on three specific measures: macro-growth …

This article explores the relationship between asset class returns and risk factors. The author
discusses traditional equity and fixed income factors. Risk factors, often less constrained …

The use of quantitative methods constitutes a standard component of the institutional
investors' portfolio management toolkit. In the last decade, several empirical studies have …

The use of quantitative methods constitutes a standard component of the institutional
investors' portfolio management toolkit. In the last decade, several empirical studies have …

The management of central bank foreign exchange reserves is a topic in which best
practices do not remain constant but evolve. For a number of countries, the international …

Tactical asset allocation (TAA) is a dynamic investment strategy which seeks to actively
adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies …

本文研究美國股票與公債市場戰略式投資輪轉策略. 首先, 本文修改Pagan and Sossounov
(2003) 提出的規則, 將股票與公債認定成三種不同的週期, 分別為[月報酬方向],[短週期趨勢],[長 …