investment strategy

This statement discloses a state-of-the-art support system for Tactical Asset Allocation. Asset allocation describes over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation tunes a strategic portfolio based on short term market outlooks. The technique features a forecast model that predicts quarterly excess returns on the ...

Show that the value stock premium is the key determinant of the fundamental index premium observed in Swedish empirical data and why fundamental indices tend to display superior performance metrics such as high Sharpe ratios. In sharp contrast with the pioneering research by Robert Arnott and all past Swedish research, ...

This thesis investigates the profitability of the momentum strategy in the Swedish stock market. The momentum strategy is an investment strategy where past winners are bought and past losers are sold short. In this paper Swedish stocks are analyzed during the period 1999 – 2007 with the approach first used ...