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Predictable Asset Allocation: Fundamental Valuation and Tactical Forecasting

Explore the predictability of asset returns, influence on allocation strategies, and sources of predictability in rational markets through fundamental valuation methods and tactical asset allocation forecasting. Analyze stock returns, U.S. yield curve, expected cash flows, and growth for informed investment decisions.

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Predictable Asset Allocation: Fundamental Valuation and Tactical Forecasting

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  1. Tactical Asset AllocationForecasting Asset Returns Campbell R. Harvey

  2. Forecasting Asset Returns • Is predictability possible in rational markets? • How does predictability influence asset allocation?

  3. Forecasting Asset Returns • What are the fundamental sources of predictability?

  4. Forecasting Asset Returns • Fundamental Valuation: Expected Cash Flows Value = -------------------------------- Expected return - Expected growth

  5. Stock Returns and U.S. Yield Curve Average Monthly Returns in % Data through December 2001

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