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Roman Chuyan
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Roman Chuyan, President Model Capital Management LLC is a tactical investment manager. As opposed to buy-and-hold strategies that follow the market's ups and downs, tactical management adjusts the asset mix in order to reduce the market downside, but to participate in the upside. Model Capital... More
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Model Capital Management LLC
  • Forbes: Tactical Asset Allocation Can Improve Risk-Adjusted Returns 0 comments
    Apr 13, 2012 11:17 AM | about stocks: SPY, DIA, QQQ, IWM, HYG, JNK, SHY, TLT

    This article was published on Forbes.com: Tactical Asset Allocation Can Improve Risk-Adjusted Returns. "...there is merit to tactical asset allocation strategies versus buy and hold", Forbes says.

    We strongly agree that tactical asset allocation strategies can improve risk/return. In general, these strategies adjust portfolio asset class allocations periodically, to take advantage of differences in their expected performance. For example, if equities are expected to outperform, we would allocate more to equities and less to fixed income and other asset classes (very general, of course, details need to be defined). The key to the success of such strategies is estimating the expected returns for broad asset classes - not an easy feat!

    To do this, one needs a robust model that can estimate expected returns with reasonable probability. We go well beyond using any single variable, such as the one that Forbes highlights, the 50 day/200 day Moving Average Crossover - we use a sub-set of 15 variables that proved to be statistically significant in predicting the expected equity return as part of our PAR model (we also don't use any MA crossovers, because they have a long lag).

    To find out more about how we help investment managers achieve better risk-adjusted returns, visit our site.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

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