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Top-Down Asset Allocation for Latin America

Top-Down Asset Allocation for Latin America. Clairvoyant Investment Advisors Sonia Kopp Chris Lyford Peter O’Hara Denis Rappaport Michelle Todd February 24, 2000. Investment Mandate.

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Top-Down Asset Allocation for Latin America

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  1. Top-Down Asset Allocation for Latin America Clairvoyant Investment Advisors Sonia Kopp Chris Lyford Peter O’Hara Denis Rappaport Michelle Todd February 24, 2000

  2. Investment Mandate To use a top-down asset allocation model to dynamically allocate amongst five Latin American Countries with the objective of outperforming established dollar-priced Latin American indices.

  3. Markets and Indices • Argentina • Brazil • Chile • Mexico • Venezuela • IFC Latin America U$ Index • MSCI Latin America U$ Index

  4. In-Sample Model Summary

  5. 1999 Out-of-Sample Results

  6. Currency Comment • A Critical Issue • Overlays Expensive • Predicting Returns: Avoiding De-valuations

  7. Final Insights and Remarks • Implementation • Time Horizon • Model Deterioration • Improving Top-Down Latin American Strategies in the Future

  8. Raw Direction Count Data

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