PT - JOURNAL ARTICLE AU - Steven M. Fox TI - Assessing TAA Manager Performance AID - 10.3905/jpm.1999.319772 DP - 1999 Oct 31 TA - The Journal of Portfolio Management PG - 40--49 VI - 26 IP - 1 4099 - https://pm-research.com/content/26/1/40.short 4100 - https://pm-research.com/content/26/1/40.full AB - For U.S. two-way tactical asset allocation (TAA) managers, performance is a function of at least two factors: forecasting ability and tilt size. Assessing the relative performance across a universe of managers is made difficult because of small peer group and relative short return histories. Simulated performance universes are used to decompose the source of relative performance and to overcome the small sample problems. Surprising, little forecasting ability is required, on average, to provide positive excess returns. Portfolio risk, measured as the probability of underperforming the benchmark, decreases with forecasting skill of U.S. TAA managers and demonstrates that after accounting for equity tilt, size, sample period, and length, seemingly equivalent managers possess vastly different levels of forecasting ability.