Improving Risk-Adjusted Returns Using Market-Valuation-Based Tactical Asset Allocation Strategies

Solow, Kenneth R.; Kitces, Michael E.; Locatelli, Sauro
December 2011
Journal of Financial Planning;Dec2011, Vol. 24 Issue 12, p48
Academic Journal
The article presents a study which examines how incorporated simple factors such as market valuation can improve risk-adjusted returns of client portfolios. The study involved a sample of monthly data gathered from 1926-2010 on U.S. large-capital stocks and government bonds. It states the application of Standard & Poor (S&P) Composite time series from Yale University economics teacher Robert J. Shiller and Ibbotson Intermediate Government Bond Total Return Index for bond returns. It offers analysis on the sharing of stock market gains between financial service industry and mutual fund investors. Results show that simple factors are essential in considering the development of risk-adjusted returns.


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