In the Goldman Sachs GTAA primer linked below, they describe some empirical evidence of GTAA using valuation and momentum factors. They form equal weighted portfolios withing each asset class (equities, fixed income, and currencies) based on 1 – Valuation based on Price to Book (P/B) for equities, yield curve for fixed income, and purchasing power parity for currencies, and 2 – Momentum as measured by 12-month returns.
They form long/short portfolios with equally-weighted long positions in the one third of countries with the lowest valuation (or highest momentum) and short positions in the third with the highest valuation (lowest momentum).
They find that the momentum and valuation effect are robust across all three asset classes.
