Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments Decemebr 01, 2017 erstellt
Description:
The common 60%/40% (equity/fixed-income) weighting of portfolios is at risk of failing in the future due to the low interest rate environment. In this paper, the authors test the hypothesis that successful asset allocation amongst equity sectors and high quality fixed income sectors is impacted by not only “Price Momentum” but also “Flow of Funds.” Ranking performance in equity sectors and high quality fixed income sectors via the ever more liquid Exchange Traded Fund (ETF) market, provides a vehicle for a different asset allocation process. Market positioning data from liquid ETFs — something not available at the single stock/bond level — lends insight that improves market timing and risk-adjusted returns. Calculating the “force” in a sector as a function of price momentum and positioning factors al-lows a checklist methodology to achieve higher risk-adjusted returns in a systematic way