?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=Can+Return+Forecasts+enhance+International+Asset+Allocation%3F+Evidence+from+the+Sum-of-Parts+Approach&rft.creator=Chondrogiannis%2C+Ilias&rft.creator=Vivian%2C+Andrew&rft.creator=Wohar%2C+Mark+E&rft.description=We+examine+whether+real-time+return+forecasts+are+valuable+to+an+investor%0D%0Alooking+to+allocate+their+portfolio+across+a+wide+selection+of+countries.+We%0D%0Aexpand+the+Sum-of-Parts+(SoP)+method+for+forecasting+stock+returns+to+an%0D%0Ainternational+setup+by+adding+foreign+exchange+returns+as+an+additional+component.+We+use+two+different+methods+to+calculate+the+forecasts.+The+first%0D%0Amethod+(Empirical+Mode+Decomposition)+uses+wavelets+to+frequency+decompose+each+part+into+locally+independent+sub-signals%2C+while+the+second+method%0D%0Acombines+historical+averages+and+predictive+regressions.+We+then+compare%0D%0Athe+performance+of+various+types+of+portfolia+under+the+SoP+and+historical%0D%0Aaverage+forecasts%2C+with+rebalancing+taking+place+every+period.+We+find+that%0D%0ASoP+forecasts+deliver+economic+gains+to+an+international+investor+over+the%0D%0Ahistorical+average%2C+especially+when+the+EMD+method+is+implemented.+We%0D%0Afurther+demonstrate+that+substantial+economic+gains+can+be+generated+for%0D%0Aan+international+investor+based+in+different+home+countries.+Our+results+are+driven+by+an+increase+in+the+forecast+performance+of+each+part%2C+most+notably%0D%0Athe+foreign+exchange+growth+rate.&rft.subject=Return+forecasting%2C+Sum+of+Parts%2C+Global+asset+allocation%2C+EMD%2C+International+portfolio+optimisation&rft.publisher=UCL+School+of+Slavonic+and+East+European+Studies+(SSEES)&rft.date=2022-07-28&rft.type=Working+%2F+discussion+paper&rft.language=eng&rft.source=++++UCL+School+of+Slavonic+and+East+European+Studies+(SSEES)%3A+London%2C+UK.+(2022)+++++&rft.format=text&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F10152947%2F7%2FChondrogiannis_CVW%252028-6.pdf&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F10152947%2F&rft.rights=open