We propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk. We find that modifying asset allocation according to our market risk barometer offers investors the promising opportunity...

We present several active strategies for combining value and momentum strategies in a tactical asset allocation (TAA) framework. We refine the basic yield approach to valuation by standardizing the value signal using the Z-score. Such standardization not only enables us to directly compare...