Strategic and Tactical Asset Allocation

1. Front Matter

   Pages i-xx

   PDF

2. Foundations

   1. Front Matter

      Pages 1-1

      PDF

   2. Introduction to Asset Allocation

      • Henrik Lumholdt

      Pages 3-19

   3. Performance Evaluation

      • Henrik Lumholdt

      Pages 21-46

   4. Strategic Versus Tactical Asset Allocation

      • Henrik Lumholdt

      Pages 47-59

3. Strategic Asset Allocation

   1. Front Matter

      Pages 61-61

      PDF

   2. Long-Term Return Expectations

      • Henrik Lumholdt

      Pages 63-97

   3. Optimizing the Strategic Asset Allocation

      • Henrik Lumholdt

      Pages 99-114

   4. Factor Investing I

      • Henrik Lumholdt

      Pages 115-147

   5. Factor Investing II

      • Henrik Lumholdt

      Pages 149-171

4. Tactical Asset Allocation

   1. Front Matter

      Pages 173-173

      PDF

   2. Tactical Macro-Drivers

      • Henrik Lumholdt

      Pages 175-195

   3. The Four Phases Framework

      • Henrik Lumholdt

      Pages 197-210

5. Back Matter

   Pages 211-251

   PDF

This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? 


The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.

• Investment management
• Performance evaluation
• Asset class valuation
• Asset class correlations
• Investment portfolio performance
• Active investment management
• Passive investment management
• investments and securities
• household finance

“This book provides a lucid description of asset allocation techniques and factor investing based on a broad range of academic research and practical experience.” (Lasse Heje Pedersen, Professor at Copenhagen Business School and New York University and Principal at AQR Capital Management)

“An excellent assessment of the latest thinking on asset allocation.  It combines useful insights with hard evidence within an engaging story-telling style.” (Amin Rajan, CEO of CREATE-Research)

“Henrik credibly represents an archetypical translator between the world of academia and practice. His numerous teaching awards count as reference. So does his latest book on asset allocation. Disruptive forces are challenging traditional concepts and beliefs in the asset management industry. Henrik undertakes a careful, caring and understandable reflection on which established best practices are still to be considered and which to be ignored. Overall,his book offers applicable orientation for asset allocation practitioners.” (Markus Schuller, Managing Partner, Panthera Solutions and Adjunct Professor, International University of Monaco) 

“As the price of money starts going up, asset allocation decisions will be pivotal in determining who will be able to obtain positive real returns across asset classes.  It is easy to make money when interest rates go down, not that easy when they go up.  That is why this book is so critical precisely at these times.” (Ignacio de la Torre, Chief Economist, Arcanopartners and Academic Director, I.E. Business School)

• Instituto de Empresa Business School, Madrid, Spain

  Henrik Lumholdt

Henrik Lumholdt is a seasoned finance professional with more than 30 years of capital markets experience. He is the founding partner of Inside Economics, a consultancy, which advises international investors and multinational corporations. Henrik was until recently the Chief Investment Strategist for Spain's largest asset management company, BBVA AM. Previous positions include Chief Economist for Bank of America, Spain, Head of Fixed Income Research at FG/Merrill Lynch, and Senior Economist at Nordea Bank. A member of the work group for international economics at Spain's think tank, El Real Instituto Elcano, he spends a considerable part of his professional time focused on international economies and markets. Henrik has been an adjunct professor of finance and economics at IE Business School since 2001 and has won numerous prizes for outstanding teaching

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