Blitz, D.C.; Vliet, P. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2008
In this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes … little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across … examine global tactical asset allocation (GTAA) strategies across a broad range
of asset classes. Contrary to market timing …
