publication . Article . 2017

A tactical asset allocation strategy that exploits variations in VIX

Richard Cloutier; Arsen Djatej; Dean Kiefer;
Open Access
  • Published: 01 Mar 2017 Journal: Investment Management and Financial Innovations, volume 14, pages 27-34 (issn: 1810-4967, eissn: 1812-9358, Copyright policy)
  • Publisher: LLC CPC Business Perspectives
Abstract
<jats:p>Buy and hold strategies make staying disciplined difficult for investors, especially given the variability of returns for different asset classes/strategies during divergent market conditions. Market timing strategies, on the other hand, present significant theoretical benefits, but in reality these benefits are difficult to obtain. Tactical asset allocation, where limited deviations from the strategic allocation are allowed permits the portfolio manager to take advantage of market conditions fits between these two extremes. The authors correlate daily returns for each of eighteen separate asset classes typically used in diversified institutional portfol...
Persistent Identifiers
Subjects
free text keywords: Strategy and Management, Economics and Econometrics, Business and International Management, Finance, tactical overlay, portfolio strategy, VIX, Scopus, Information retrieval, Publication, business.industry, business, Tactical asset allocation, Exploit, Computer science, lcsh:Finance, lcsh:HG1-9999
Any information missing or wrong?Report an Issue