Alternative Investments. Black Keith H.

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call spreads and put spreads rather than selling strangles. While the purchase of further out-of-the-money options reduces risk and opportunity costs, the net premium earned from the sale of spreads will be less than that earned for selling strangles. Of course, there can be significant fear or euphoria after such a move, and some managers may hesitate to rebalance due to the foibles understood by students of behavioral finance.

      Some endowments may employ internal tactical asset allocation (TAA) models or external asset managers offering TAA strategies. As opposed to strategic asset allocation, which regularly rebalances back to the long-term target weights, tactical asset allocation intentionally deviates from target weights in an attempt to earn excess returns or reduce portfolio risk. TAA models take a shorter-term view on asset classes, overweighting undervalued assets and underweighting overvalued assets. While the risk and return estimates underlying the strategic asset allocation are typically calculated for a 10- to 20-year period, the risk and return estimates used by tactical asset allocation are typically much shorter, often between one quarter and one year. Tactical models are most useful when markets are far from equilibrium, such as when stocks are expensive at 40 times earnings or when high-yield bond spreads are cheap at 8 % over sovereign debt. TAA models can employ valuation data, fundamental and macroeconomic data, price momentum data, or any combination of the three.

      A number of alternative investment styles employ TAA analysis. Managed futures funds focus on price momentum, while global macro funds more commonly analyze governmental actions to predict moves in fixed-income and currency markets. TAA funds may employ both methodologies but are different from managed futures and macro funds. First, managed futures and macro funds take both long and short positions and often employ leverage; TAA funds are typically long-only, unlevered funds. Second, TAA funds may reallocate assets across a small number of macro markets, whereas managed futures and global macro funds may have a much larger universe of potential investments.

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      1

      Hundreds of studies have attempted to determine if active managers outperform passive strategies. S&P Dow Jones Indices publishes SPIVA^® U.S. Scorecard on a regular basis. It reports on the relative performance of U.S. mutual funds.

      2

      More detailed discussions of asset allocation processes can be found in Maginn et al. (2007) and Ang (2014).

      3

      For further details, see Maginn et al. (2007).

      4

      For a detailed discussion of strategic asset allocation, see Eychenne, Martinetti, and Roncalli (2011) and Eychenne and Roncalli (2011).

      5

      In a simple equilibrium model, the short-term real riskless rate is shown to equal the real growth in the economy minus a premium that depends on the volatility of the economy's real growth rate and the degree of

1

Hundreds of studies have attempted to determine if active managers outperform passive strategies. S&P Dow Jones Indices publishes SPIVA^® U.S. Scorecard on a regular basis. It reports on the relative performance of U.S. mutual funds.

2

More detailed discussions of asset allocation processes can be found in Maginn et al. (2007) and Ang (2014).

3

For further details, see Maginn et al. (2007).

4

For a detailed discussion of strategic asset allocation, see Eychenne, Martinetti, and Roncalli (2011) and Eychenne and Roncalli (2011).

5

In a simple equilibrium model, the short-term real riskless rate is shown to equal the real growth in the economy minus a premium that depends on the volatility of the economy's real growth rate and the degree of risk aversion. See Cox, Ingersoll, and Ross (1985).

6

The problem is still a rather standard optimization program and can be solved using Solver from Excel or similar packages.

7

From linear regression and the CAPM we know that β_New = Cov[R_P, R_New]/Var[R_p].

8

For the history and theory of TAA, see Lee (2000).

9

See Tokat, Wicas, and Stockton (2007).

10

It is related to the correlation between the recommended weight and the actual weights.

11

See Dahlquist and Harvey (2001); Silva (2006); Tokat, Wicas, and Stockton (2007); Van Vielt and Blitz (2009); Faber (2013); and Hamilton and de Longis (2015).

12

This section is partly based on Tokat, Wicas, and Stockton (2007).

13

The following model is based on Lo, Petrov, and Wierzbicki (2003) and Hayes, Primbs, and Chiquoine (2015).

14

For further discussion, see Fabozzi et al. (2007).

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For further discussion, see Fabozzi et al. (2007).

16

See Baker, Bradley, and Wurgler (2011) and Asness, Frazzini, and Pedersen (2012).

17

See Frazzini and Pedersen (2014) and Schneider, Wagner, and Zechner (2016).

18

A recent paper by Harvey, Liu, and Zhu (2016) documents the reported discovery of 316 factors. The authors demonstrate that most of these are not reliable sources of risk premium.

19

See Zhang (2005) and Santos and Veronesi (2005).

20

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