Date of Award
2023
Document Type
Dissertation
Degree Name
Ph.D.
Organizational Unit
Daniels College of Business
First Advisor
Jack Strauss
Second Advisor
Alex Petkevich
Third Advisor
Chris Hughen
Keywords
Portfolio optimization, Stock-bond correlation, Tactical asset allocation, Time-varying Granger-causality, Wavelet coherence
Abstract
We investigate correlations among six primary asset classes from January 1982 to December 2022. Our analysis extends existing literature, on the well-researched stock-bond correlation (SBC), by encompassing 14 supplementary asset class dyads and four correlational regimes. We challenge the archetype of correlational time-invariance that underlies buy-and-hold asset allocation strategies by implementing structural break tests and an innovative Wavelet Coherence (WC) methodology, where our findings reveal temporal instability. Through a multi-method statistical approach, we present robust and persuasive evidence of macroeconomic factors as determinants of temporal change. Leveraging time-varying Granger causality, we unearth elusive yet significant relationships. Our research pivots to practice, illustrating outperformance in portfolios constructed upon the principles of time-varying change, macro drivers, and correlational regimes, thus enabling investors to make more informed decisions, leading to superior risk-adjusted returns amid a dynamically evolving economic landscape.
Publication Statement
Copyright is held by the author. User is responsible for all copyright compliance.
Rights Holder
T.H. Williams
Provenance
Received from ProQuest
File Format
application/pdf
Language
en
File Size
135 pgs
Recommended Citation
Williams, T.H., "Tactical Allocation Through the Lens of Correlational Time-Variance, Determinants, and Regimes" (2023). Electronic Theses and Dissertations. 2235.
https://digitalcommons.du.edu/etd/2235
Copyright date
2023
Discipline
Finance