International Dynamic Asset Allocation and Return Predictability
基于日度数据构建实时动态国际资产配置策略，利用市场整合带来的收益可预测性，策略在下跌市场中优于主要国家指数，捕捉了可预测性的经济价值。
Abstract: The presence of time varying investment opportunity sets has been documented in the context of international asset allocation, and the economic value associated with these is a topic of lively debate in the academic literature. This paper constructs simple, real‐time dynamic international asset allocation strategies based on daily data that exploit the return predictability arising from time varying market integration. Our timing strategies outperform the major (US, UK, Japanese and German) country indices and related portfolios, particularly in down markets. The strategies appear to capture much of the economic value of the return predictability implied by market integration and have many of the characteristics of successful timing strategies.