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Orientador(es)
Resumo(s)
We propose a new methodology for tactical asset allocation. We allocate by maximizing a power utility function, while switching between the S&P500 and a safe haven asset, the US dollar-euro exchange rate. Also, we use information flows’ correlation as a signal to restrict the opportunity set accordingly. In an out-of-sample exercise, between 1985 and 2013, our signaling methodology is able to yield an annualized Sharpe ratio of 0.91 and an annualized Certainty Equivalent of 17.42%. We are able to the S&P500 which yields an annualized Sharpe Ratio of 0 and annualized Certainty Equivalent of 0.68%.
Descrição
Palavras-chave
Management Finance Correlation flow