Economics, Econometrics and Finance
8 years ago

New asset allocation model slashes market volatility, boosts returns significantly!

Journal of Asset Management
Markov-switching asset allocation: Do profitable strategies exist?
Jan Bulla, Sascha Mergner, Ingo Bulla, Andre Sesboüé, Christophe Chesneau

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The article presents a new way to invest in assets that adjusts to market changes, reducing risk during volatile times. By analyzing stock market data from the US, Japan, and Germany over 40 years, the model was found to be profitable even after accounting for transaction costs. On average, volatility decreased by 41%, and annual returns increased by 18.5 to 201.6 basis points.