Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

摘要

We have provided several arguments against risk-based explanations for our findings. We argue instead that financial markets may be macro inefficient due to insufficient smart money available to arbitrage away mispricing effects that may arise due to behavioral effects. Certain types of hedge funds might be expected to represent this smart money and thus be likely candidates to take advantage of the cross-asset allocation alphas in practice. Although we find some evidence which seems to be consistent with this, other evidence points to behavior which is contrary to our GTCAA strategies.