文档介绍：Alberto Vivanti
MONEY MANAGEMENT
TECHNIQUES IN GLOBAL ASSET
ALLOCATION
IFTA Conference, Rome, October 1998
THE NEED OF A DYNAMIC APPROACH
WITHIN INTERNATIONAL ALLOCATION
INTERNATIONAL DIVERSIFICATION CANNOT BE
IGNORED BY EQUITY STRATEGISTS IN TODAY’S
GLOBAL MARKETS
DIVERSIFICATION BY ITSELF IS A GOOD WAY TO
IMPROVE THE QUALITY OF AN INVESTMENT
BUT A STRATEGY NEEDS MORE IN ORDER TO BE
ESSFUL.
RECENT EMERGING MARKETS CRISIS SHOWS
THE NEED TO DETECT CHANGES IN RELATIVE
STRENGTHS AND APPLY THEM TO A GLOBAL
EQUITY INVESTMENT.
TECHNICAL ANALYSIS PROVIDES THE TOOLS TO
ENHANCE A DYNAMIC INTERNATIONAL
ALLOCATION.
THE SYSTEMATIC USE OF RELATIVE STRENGTH
IMPROVES THE RESULTS OF A MERE PASSIVE
DIVERSIFICATION
CURRENCY FLUCTUATIONS CANNOT BE
IGNORED. THE INFLUENCE OF THEIR
PERSISTENT TRENDS IS DRAMATIC
Money Management Techniques in Globa1 Asset Allocation - Page 2
Alberto Vivanti 1998 - All rights reserved.
CREATING A TACTICAL ALLOCATION
1) PASSIVE DIVERSIFICATION
Table 1 - 25 Years of Equity Returns in Local Currencies for USA, Europe
and Japan
USA EUROPE JAPAN EQUAL
W.
1973 -% -% -% -%
1974 -% -% -% -%
1975 % % % %
1976 % -% % %
1977 -% % -% -%
1978 % % % %
1979 % -% % %
1980 % -% % %
1981 -% % % -%
1982 % % % %
1983 % % % %
1984 -% % % %
1985 % % % %
1986 % % % %
1987 % -% % -%
1988 % % % %
1989 % % % %
1990 -% -% -% -%
1991 % % -% %
1992 % % -% -%
1993 % % -% %
1994 -% -% % %
1995 % % % %
1996 % % -% %
1997 % % -% %
TOTAL RETURN 713% 595% 185% 557%
YEARLY CROR % % % %
DEV OF RETURNS 17% 23% 19% 15%
RIS