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El tamaño de las empresas sí importa: selección de variables y cartera óptima
Ricardo Laborda Herrero |
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We analyze the Tactical Asset Allocation problem focused on the size style in a
long/short context. We uncover that the level of interest rates, the credit spreads, the G7 equity
momentum and the appreciation/depreciation of USD/EUR are the key drivers in order to
achieve a successful market timing, when considering the universe of US large caps and small
caps.
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