Tactical Allocation by Credit Quality
研究了战术性资产配置中按信用质量分类的效果，发现约30%的情况下预期关系失效，并探讨了基于市场风险溢价而非评级机构评级的改进方法。
Tactical asset allocators operate on the assumption that if risk premiums increase, higher-rated bonds will outperform lower-rated bonds, and that if risk premiums decrease, the reverse will happen. Empirical testing shows, however, that about 30% of the time, these expected relationships break down. Drawing on a classic debate among corporate bond market participants, investors might hypothesize that tactical asset allocators can improve their results by classifying bonds according to market-based risk premiums rather than by agency-generated ratings. In the context of tactical asset allocation, however, Fridson and Mcleod-Salmon do not find the market to be a shrewder judge of credit risk than the rating agencies. The solution to the problem of perverse outcomes in credit-oriented tactical asset allocation may be to combine top-down sector selection techniques with bottom-up security selection. <bold>TOPICS:</bold> <ext-link>Portfolio theory</ext-link>, <ext-link>fixed-income portfolio management</ext-link>, <ext-link>analysis of individual risk factors/risk premia</ext-link>