TY  - JOUR
AU  - Harvey,Campbell R.
TI  - Conditional Asset Allocation in Emerging Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4623
PY  - 1994
Y2  - January 1994
UR  - http://www.nber.org/papers/w4623
L1  - http://www.nber.org/papers/w4623.pdf
N1  - Author contact info:
Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
M2  - featured in NBER digest on 1994-08-01
AB  - Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low correlations improve investment opportunities and my research provides out-of-sample validation of the improved performance.  However, the most dramatic enhancement is generated by the use of conditioning information.  Portfolio strategies that use conditioning information to predict emerging market returns produce impressive out-of-sample performance over the 1980-1992 period.
ER  -