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Fund Manager Beta in Tactical Asset Allocation

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  • Lee, Woongki

    (Yonsei University)

Abstract

We show that realized returns are shaped by two opposing intertemporal forces. They rise with expected short-term returns but fall when risk subsequently increases. Successful timing therefore requires attention not only to favorable return expectations but also to future risk. This logic leads to a two-component specification of manager beta. One raises exposure when near-term opportunities are favorable, while the other lowers exposure when future risk is expected to rise. Market timing is thus represented as a tactical adjustment of portfolio exposure that seeks gains while limiting losses from subsequent risk increases.

Suggested Citation

  • Lee, Woongki, 2026. "Fund Manager Beta in Tactical Asset Allocation," SocArXiv u8kps_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:u8kps_v1
    DOI: 10.31235/osf.io/u8kps_v1
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