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An examination of linear factor models in country equity asset allocation strategies

Fletcher, J. and Hillier, J. (2005) An examination of linear factor models in country equity asset allocation strategies. Quarterly Review of Economics and Finance, 45 (4-5). pp. 808-823. ISSN 1062-9769

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Abstract

We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.