Journal Articles
Abstract:
How do tactical asset allocation funds compare with a portfolio of index ETFs having the same investment style and bond-A nd foreign-market-augmented same-style Fama-French benchmarks? The authors find that portfolios of equally weighted TAA funds under-returned corresponding portfolios of index ETFs by gaps ranging from 1.77% to 5.15% per year, and corresponding Fama-French benchmarks by gaps ranging from 1.92% per year to 5.08% per year.