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To Time or Not to Time? Tactical Allocation Across Strategies

  • Adam Zaremba
  • Jacob “Koby” Shemer
Chapter

Abstract

In this final chapter, the authors presented how to build an efficient portfolio of price-based strategies. The chapter not only presents the benefits of extensive diversification but also uncovers the possibilities of timing and tactical asset allocation. Momentum, cross-sectional seasonality, and value investing are still powerful, robust, and pervasive investment techniques working across multiple asset classes. Interestingly, the recent academic studies have shown them to work also at the meta-level: across investment strategies. In other words, it is possible to time price-based strategies based on their various characteristics stemming from the past returns. In the chapter, the authors reviewed these methods and showed how they could be efficiently used to form portfolios of strategies.

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Adam Zaremba
    • 1
  • Jacob “Koby” Shemer
    • 2
  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

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