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On the information ratio of tactical asset allocation

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  • Mark Lundin

    (Fortis Investment Management)

Abstract

The information ratio for tactical asset allocation strategies is derived under the assumption of dependence only on the information ratios for asset classes actively managed as sub-portfolios. If information ratios for security selection within asset classes are positive, then that for tactical asset allocation must also be positive. If information ratios for active management of the asset classes are equal, then they are also equal to the information ratio for tactical asset allocation. The overall information ratio for the global investment process comprising security selection and tactical asset allocation is greater than that of any single constituent.

Suggested Citation

  • Mark Lundin, 2003. "On the information ratio of tactical asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 4(5), pages 326-333, October.
    • Handle: RePEc:pal:assmgt:v:4:y:2003:i:5:d:10.1057_palgrave.jam.2240113
    DOI: 10.1057/palgrave.jam.2240113
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