Tactical Asset Allocations of Large Asset Managers

Abstract

Collecting market outlooks of asset managers, I study short-term expectations that summarize the relative risk and return attractiveness across asset classes.  These tactical asset allocation views are reflected in positioning data from a survey of fund managers, in the time-series asset allocations of mutual funds, and in futures positioning. Allocation mutual funds' equity portfolio weights are two to three percentage points lower when managers' are ``underweight'' rather than ``overweight'' equities relative to their strategic asset allocations. Prompting a large-language model to infer expectations about macroeconomic fundamentals from the text-based outlooks, such a repositioning happens whenever the perceived growth outlook deteriorates.