<> <http://www.w3.org/2000/01/rdf-schema#comment> "The repository administrator has not yet configured an RDF license."^^<http://www.w3.org/2001/XMLSchema#string> . <> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/10152947> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Article> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/title> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/ontology/bibo/abstract> "We examine whether real-time return forecasts are valuable to an investor\r\nlooking to allocate their portfolio across a wide selection of countries. We\r\nexpand the Sum-of-Parts (SoP) method for forecasting stock returns to an\r\ninternational setup by adding foreign exchange returns as an additional component. We use two different methods to calculate the forecasts. The first\r\nmethod (Empirical Mode Decomposition) uses wavelets to frequency decompose each part into locally independent sub-signals, while the second method\r\ncombines historical averages and predictive regressions. We then compare\r\nthe performance of various types of portfolia under the SoP and historical\r\naverage forecasts, with rebalancing taking place every period. We find that\r\nSoP forecasts deliver economic gains to an international investor over the\r\nhistorical average, especially when the EMD method is implemented. We\r\nfurther demonstrate that substantial economic gains can be generated for\r\nan international investor based in different home countries. Our results are driven by an increase in the forecast performance of each part, most notably\r\nthe foreign exchange growth rate."^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/date> "2022-07-28" . <https://discovery.ucl.ac.uk/id/document/1619163> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Document> . <https://discovery.ucl.ac.uk/id/org/ext-c46be0bd06a7a4640bfd232195fc402e> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Organization> . <https://discovery.ucl.ac.uk/id/org/ext-c46be0bd06a7a4640bfd232195fc402e> <http://xmlns.com/foaf/0.1/name> "UCL School of Slavonic and East European Studies (SSEES)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/publisher> <https://discovery.ucl.ac.uk/id/org/ext-c46be0bd06a7a4640bfd232195fc402e> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/ontology/bibo/status> <http://purl.org/ontology/bibo/status/published> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> . <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_1> <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> . <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_2> <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> . <https://discovery.ucl.ac.uk/id/eprint/10152947#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_3> <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> . <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> . <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> <http://xmlns.com/foaf/0.1/givenName> "Ilias"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> <http://xmlns.com/foaf/0.1/familyName> "Chondrogiannis"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-3cd7aeb712b0ad77eef1e82e28d92183> <http://xmlns.com/foaf/0.1/name> "Ilias Chondrogiannis"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> . <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> <http://xmlns.com/foaf/0.1/givenName> "Mark E"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> <http://xmlns.com/foaf/0.1/familyName> "Wohar"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-397b5c54d7b65808ecde0ee92b72e218> <http://xmlns.com/foaf/0.1/name> "Mark E Wohar"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> . <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> <http://xmlns.com/foaf/0.1/givenName> "Andrew"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> <http://xmlns.com/foaf/0.1/familyName> "Vivian"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/person/ext-960b5113aad28d3105d8a7e924e7687e> <http://xmlns.com/foaf/0.1/name> "Andrew Vivian"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/EPrint> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/WorkingPaperEPrint> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://purl.org/dc/terms/isPartOf> <https://discovery.ucl.ac.uk/id/repository> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1619163> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1619163> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach (Text)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/document/1619163> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10152947/7/Chondrogiannis_CVW%2028-6.pdf> . <https://discovery.ucl.ac.uk/id/document/1619163> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10152947/7/Chondrogiannis_CVW%2028-6.pdf> . <https://discovery.ucl.ac.uk/id/eprint/10152947/7/Chondrogiannis_CVW%2028-6.pdf> <http://www.w3.org/2000/01/rdf-schema#label> "Chondrogiannis_CVW 28-6.pdf"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1654933> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach (Other)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://eprints.org/relation/islightboxThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10152947/8/lightbox.jpg> . <https://discovery.ucl.ac.uk/id/document/1654933> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10152947/8/lightbox.jpg> . <https://discovery.ucl.ac.uk/id/eprint/10152947/8/lightbox.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "lightbox.jpg"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1654934> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach (Other)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://eprints.org/relation/ispreviewThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10152947/9/preview.jpg> . <https://discovery.ucl.ac.uk/id/document/1654934> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10152947/9/preview.jpg> . <https://discovery.ucl.ac.uk/id/eprint/10152947/9/preview.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "preview.jpg"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1654935> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach (Other)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://eprints.org/relation/ismediumThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10152947/10/medium.jpg> . <https://discovery.ucl.ac.uk/id/document/1654935> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10152947/10/medium.jpg> . <https://discovery.ucl.ac.uk/id/eprint/10152947/10/medium.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "medium.jpg"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1654936> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach (Other)"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://eprints.org/relation/issmallThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1619163> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10152947/11/small.jpg> . <https://discovery.ucl.ac.uk/id/document/1654936> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10152947/11/small.jpg> . <https://discovery.ucl.ac.uk/id/eprint/10152947/11/small.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "small.jpg"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10152947> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1654937> . <https://discovery.ucl.ac.uk/id/document/1654937> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> . <https://discovery.ucl.ac.uk/id/document/1654937> <http://www.w3.org/2000/01/rdf-schema#label> "Can Return Forecasts enhance International Asset Allocation? 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