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

J. Fletcher, J. Hillier

Research output: Contribution to journalArticle

3 Citations (Scopus)

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
Pages (from-to)808-823
Number of pages15
JournalQuarterly Review of Economics and Finance
Volume45
Issue number4-5
DOIs
Publication statusPublished - Sep 2005

Keywords

  • factor models
  • asset allocation

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