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- Title
Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation.
- Authors
Wang, Peng; Kochard, Larry
- Abstract
The authors examine whether value and momentum deliver abnormal positive expected returns that can be observed across a variety of markets and asset classes at the security level. An overview of the strategic asset allocation as a mix of seven diversified asset classes is provided as well as the indices for the value and momentum signals. A discussion on a major challenge to apply a value strategy across asset classes is given.
- Subjects
MOMENTUM investing; EXPECTED returns; MARKETS; ASSETS (Accounting); ASSET allocation
- Publication
Journal of Wealth Management, 2012, Vol 15, Issue 1, p52
- ISSN
1534-7524
- Publication type
Article
- DOI
10.3905/jwm.2012.15.1.052