Factors in Tactical Asset Allocation

I spend a lot of time thinking about tactical asset allocation.  One of the biggest difficulties I have is how to compare asset classes on a value basis across different asset classes.  ie, what is a better value, US equities, italian bonds, or oil?  It is easy to compare them based on momentum, vol adjusted momentum, trend, and economic factors.

It is fairly easy to do it within asset classes (ie sort US equities on P/Cash Flow) or across countries within an asset class (ie compare US equities vs. Russian equities based on P/B, P/E, PEG etc), but difficult to conceptualize across assets.  Some of the papers and approaches below touch on the subject but none get it completely right in my opinion.

Would love to hear your thoughts on how you think it best to compare asset classes for value?

Enough links and reading below to keep one occupied for quite awhile:

Goldman GTAA (great link that has resurfaced)

Applying Value and Momentum Across Asset Classes in a Quant TAA Framework – Wang (new paper)

Value and Momentum Everywhere – Asness, Moskowitz, and Pedersen

Modern Tactical Asset Allocation – de Silva

A Factor Approach to Asset Allocaiton – de Silva

Global Tactical Asset Allocation: Exploiting the opportunity of relative movements across asset classes and financial markets – Potjer & Gould

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes by David Blitz and Pim Van Vliet

Advanced Theory and Methodology of TAA – Lee

Some products below:

Cambria GTAA

JP Morgan Alt Index Multi-Strat 5

PIMCO All Asset Fund (Arnott Advised) Also here, and here, and here, and here.

Leuthold Core Investment (LCORX)

Ivy Asset Strategy (WASAX)

Loomis Sayles Global Markets (LGMAX)

BlackRock Global Allocation A (MDLOX)

First Eagle Global (SGENX)

T. Rowe Price Balanced (RPBAX)

Morningstar Moderate Allocation category

Morgan Stanley offering

Invesco GTAA Overlay

Blackrock GTAA offering

Mellon offering