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GCC Asset Allocation & Volatility: See-Saw Pattern to Returns Observed
by Markaz Research [More Info]
Asset Allocators should be going nuts. GCC markets have started strangely exhibiting a see-saw pattern to returns. One month positive followed by another month negative. Look at the pattern of returns for the Strategic Asset Allocation model: Jan (-7%), Feb (+5.5%), March (-7%), April (+9.5%)…While this is a classic situation for someone that bets on mean reversion, it may be a nightmare for others who bet on the momentum characteristics of GCC markets.
Access : For Public
Pages : 17
Category : Asset Management
Cost :
Free
Date Published : 2008-05-10
