An examination of linear factor models in country equity asset allocation strategies

Jonathan Fletcher, Joe Hillier

Research output: Contribution to journalArticle

Abstract

We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.

Original languageEnglish
JournalQuarterly Review of Economics and Finance
DOIs
Publication statusPublished - 1 Sep 2002

Fingerprint

Asset allocation
Equity
Asset pricing models
Expected returns
International asset pricing
Conditional asset pricing
Lending
Upper bound
Risk aversion

Keywords

  • asset allocation
  • factor models

Cite this

@article{46a0fd5b973f4ba896504e0319ca3e8d,
title = "An examination of linear factor models in country equity asset allocation strategies",
abstract = "We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.",
keywords = "asset allocation, factor models",
author = "Jonathan Fletcher and Joe Hillier",
note = "Originally published in: Quarterly Review of Economics and Finance (2002), 45 (4-5), pp.808-823.",
year = "2002",
month = "9",
day = "1",
doi = "10.1016/S1062-9769(02)00192-8",
language = "English",
journal = "Quarterly Review of Economics and Finance",
issn = "1062-9769",
publisher = "Elsevier B.V.",

}

An examination of linear factor models in country equity asset allocation strategies. / Fletcher, Jonathan; Hillier, Joe.

In: Quarterly Review of Economics and Finance, 01.09.2002.

Research output: Contribution to journalArticle

TY - JOUR

T1 - An examination of linear factor models in country equity asset allocation strategies

AU - Fletcher, Jonathan

AU - Hillier, Joe

N1 - Originally published in: Quarterly Review of Economics and Finance (2002), 45 (4-5), pp.808-823.

PY - 2002/9/1

Y1 - 2002/9/1

N2 - We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.

AB - We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.

KW - asset allocation

KW - factor models

U2 - 10.1016/S1062-9769(02)00192-8

DO - 10.1016/S1062-9769(02)00192-8

M3 - Article

JO - Quarterly Review of Economics and Finance

JF - Quarterly Review of Economics and Finance

SN - 1062-9769

ER -