{"id":"https://openalex.org/W1923959219","doi":"https://doi.org/10.2469/faj.v60.n2.2612","title":"How Regimes Affect Asset Allocation","display_name":"How Regimes Affect Asset Allocation","publication_year":2004,"publication_date":"2004-03-01","ids":{"openalex":"https://openalex.org/W1923959219","doi":"https://doi.org/10.2469/faj.v60.n2.2612","mag":"1923959219"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v60.n2.2612","doi":"https://doi.org/10.2469/faj.v60.n2.2612","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n2.2612","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078960449","display_name":"Andrew Ang","orcid":"https://orcid.org/0000-0002-9722-1648","observed_orcids":["https://orcid.org/0000-0002-9722-1648"]},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Andrew Ang","raw_affiliation_strings":["Andrew Ang is associate professor of finance and economics at Columbia Business School, New York City"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Andrew Ang is associate professor of finance and economics at Columbia Business School, New York City","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086723146","display_name":"Geert Bekaert A","orcid":"https://orcid.org/0000-0002-6835-5612","observed_orcids":["https://orcid.org/0000-0002-6835-5612"]},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Geert Bekaert","raw_affiliation_strings":["Geert Bekaert is Leon G. Cooperman Professor of Finance and Economics at Columbia Business School, New York City"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Geert Bekaert is Leon G. Cooperman Professor of Finance and Economics at Columbia Business School, New York City","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I78577930"],"apc_list":null,"apc_paid":null,"fwci":8.6866,"has_fulltext":false,"cited_by_count":204,"citation_normalized_percentile":{"value":0.97226568,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":100},"biblio":{"volume":"60","issue":"2","first_page":"86","last_page":"99"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.711899995803833,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.711899995803833,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.22269999980926514,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.018200000748038292,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.7580000162124634},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.9800000190734863},{"id":"https://openalex.org/keywords/international-equity-returns","display_name":"international equity returns","score":0.8619999885559082},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.4099999964237213},{"id":"https://openalex.org/keywords/correlation","display_name":"correlation","score":0.3409999907016754},{"id":"https://openalex.org/keywords/bear-market","display_name":"bear market","score":0.9319999814033508},{"id":"https://openalex.org/keywords/market-timing","display_name":"market timing","score":0.656000018119812},{"id":"https://openalex.org/keywords/cash-allocation","display_name":"cash allocation","score":0.5580000281333923},{"id":"https://openalex.org/keywords/bond-allocation","display_name":"bond allocation","score":0.8820000290870667},{"id":"https://openalex.org/keywords/interest-rates","display_name":"interest rates","score":0.7350000143051147},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.8140000104904175}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7497498393058777},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.7399290800094604},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6393515467643738},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5788492560386658},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5453412532806396},{"id":"https://openalex.org/C118315980","wikidata":"https://www.wikidata.org/wiki/Q375350","display_name":"Market timing","level":3,"score":0.5380228757858276},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.479302316904068},{"id":"https://openalex.org/C2778083465","wikidata":"https://www.wikidata.org/wiki/Q693464","display_name":"Cash","level":2,"score":0.44656872749328613},{"id":"https://openalex.org/C163428354","wikidata":"https://www.wikidata.org/wiki/Q1047513","display_name":"Cash flow","level":2,"score":0.4427461624145508},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.43524715304374695},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41414040327072144},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19969165325164795},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.1465207040309906},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2469/faj.v60.n2.2612","doi":"https://doi.org/10.2469/faj.v60.n2.2612","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n2.2612","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:ufajxx:v:60:y:2004:i:2:p:86-99","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2469/faj.v60.n2.2612","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W2000448522","https://openalex.org/W2005432509","https://openalex.org/W2007785900","https://openalex.org/W2012242451","https://openalex.org/W2074812030","https://openalex.org/W2077364430","https://openalex.org/W2084050624","https://openalex.org/W2086160471","https://openalex.org/W2095736676","https://openalex.org/W2120813208","https://openalex.org/W2138490239","https://openalex.org/W2165145231","https://openalex.org/W2165714389","https://openalex.org/W2312560584","https://openalex.org/W3122366856","https://openalex.org/W3122420083","https://openalex.org/W3123262494","https://openalex.org/W4241115065"],"related_works":["https://openalex.org/W3023039381","https://openalex.org/W2005432509","https://openalex.org/W3126049980","https://openalex.org/W1571956580","https://openalex.org/W7096614955","https://openalex.org/W1992769876","https://openalex.org/W3121516081","https://openalex.org/W2127362377","https://openalex.org/W7054548679","https://openalex.org/W2982104181"],"abstract_inverted_index":{"International":[0],"equity":[1,87],"returns":[2,24,45],"are":[3,107],"characterized":[4],"by":[5],"episodes":[6],"of":[7,22,38,117],"high":[8,12,119],"volatility":[9],"and":[10,29,43,86],"unusually":[11],"correlations":[13,42],"coinciding":[14],"with":[15,40,115],"bear":[16],"markets.":[17],"This":[18],"article":[19],"provides":[20],"models":[21],"asset":[23,34],"that":[25],"match":[26],"these":[27],"patterns":[28],"illustrates":[30],"their":[31],"use":[32],"in":[33,68],"allocation.":[35],"The":[36],"presence":[37],"regimes":[39,111],"different":[41],"expected":[44],"is":[46],"difficult":[47],"to":[48,99,102,113],"exploit":[49],"within":[50],"a":[51,90],"framework":[52],"focused":[53],"on":[54],"global":[55,59],"equities.":[56],"Nevertheless,":[57],"for":[58],"all-equity":[60],"portfolios,":[61],"the":[62,94,97],"regime-switching":[63],"strategy":[64],"dominated":[65],"static":[66],"strategies":[67],"an":[69,79],"out-of-sample":[70],"test.":[71],"In":[72,89],"addition,":[73],"substantial":[74],"value":[75],"was":[76],"added":[77],"when":[78],"investor":[80,98],"switched":[81],"between":[82],"domestic":[83],"cash,":[84],"bonds,":[85],"investments.":[88],"persistent":[91],"high-volatility":[92,110],"market,":[93],"model":[95],"told":[96],"switch":[100],"primarily":[101],"cash.":[103],"Large":[104],"market-timing":[105],"benefits":[106],"possible":[108],"because":[109],"tend":[112],"coincide":[114],"periods":[116],"relatively":[118],"interest":[120],"rates.":[121]},"counts_by_year":[{"year":2026,"cited_by_count":8},{"year":2025,"cited_by_count":10},{"year":2024,"cited_by_count":12},{"year":2023,"cited_by_count":9},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":15},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":12},{"year":2017,"cited_by_count":10},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":16},{"year":2014,"cited_by_count":9},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":12}],"updated_date":"2026-10-17T09:40:24.721904","created_date":"2016-06-24T00:00:00"}
