Résumé (EN)

Asset allocation contribution to ex-post performance is of primary importance. Nobody denies its role, yet the subject of allocating assets remains controversial. To some contenders, the added value stems only from strategic asset allocation which aims at providing the long-term average exposure to the selected asset classes. On the other hand, proponents of active management have introduced several forms of tactical asset allocation. In this paper, we will go a step further by distinguishing between long-term strategic asset allocation, medium-term strategic or fundamental-driven asset allocation and, finally, tactical asset allocation. “Fundamental-driven” refers to the inclusion of slow business cycle components and structural changes in the economies. “Tactical”, by contrast, exploits short term transitory mispricings in the markets. When one takes into account various types of information, it leads to various conditioning processes and thus to the three levels of asset allocation mentioned above. As an example, we illustrate how models can be used for computing the asset expected returns related with different asset allocation levels. We show that error correction models are particularly useful in this context. Finally, using these concepts, we present simulations of two actively managed balanced portfolios – equity and bonds – in the US and Europe. The simulation results show the added value of allocation either Fundamental-driven or Tactical on the portfolios’ return.