The Journal Round-Up of November 11, 2013 from Nomura Quantitative Strategy has a section that focuses on academic papers on cross-asset tactical allocation.
The subject has assumed importance given the rapid growth seen in the AUM of multi-asset funds. The academic papers are grouped under the heads Value, Technical/momentum, Value and momentum, and Regime-switching and asset allocation.
Tactical asset allocation: value and momentum
Nomura mentions ‘Value and Momentum Everywhere,’ a study authored by Clifford S. Asness, Tobias J. Moskowitz, and Lasse Heje Pedersen, and published in the Journal of Finance in June 2013, under the heading ‘Value and momentum.’
The study is notable for its examination of value and momentum across various asset classes jointly with...
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