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2018 | OriginalPaper | Chapter

8. To Time or Not to Time? Tactical Allocation Across Strategies

Authors : Adam Zaremba, Jacob “Koby” Shemer

Published in: Price-Based Investment Strategies

Publisher: Springer International Publishing

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Abstract

In this final chapter, the authors presented how to build an efficient portfolio of price-based strategies. The chapter not only presents the benefits of extensive diversification but also uncovers the possibilities of timing and tactical asset allocation. Momentum, cross-sectional seasonality, and value investing are still powerful, robust, and pervasive investment techniques working across multiple asset classes. Interestingly, the recent academic studies have shown them to work also at the meta-level: across investment strategies. In other words, it is possible to time price-based strategies based on their various characteristics stemming from the past returns. In the chapter, the authors reviewed these methods and showed how they could be efficiently used to form portfolios of strategies.

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previous chapter Predicting Prices Based on… Prices? The Role of Nominal Prices

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For examinations of the value spread, see Asness et al. (2000), Cohen et al. (2003), Liu and Zhang (2008a, b), Michou (2009), Ilmanen et al. (2015), and Zaremba and Umutlu (2018).

The effect was also tested and confirmed in factor portfolios by Zaremba (2017b).

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Zaremba, A., & Umutlu, M. (2018, in press). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics.

Title: To Time or Not to Time? Tactical Allocation Across Strategies
Authors: Adam Zaremba
Jacob “Koby” Shemer
Publisher: Springer International Publishing
Book: Price-Based Investment Strategies
Print ISBN: 978-3-319-91529-6

Electronic ISBN: 978-3-319-91530-2

Copyright Year: 2018
DOI: https://doi.org/10.1007/978-3-319-91530-2_8