Tactical asset allocation is always a hot topic in the blogosphere. A few fun concepts that hit the wires in 2014:
- GestaltU had an interesting series on Dynamic asset allocation.
- Gary Antonacci released his book on Dual Momentum Investing.
- Meb launched a “free” ETF!
- Barry Ritholtz and Ben Carlson put Tony Robbins in his place.
We had a bunch of thoughts on asset allocation this year and we highlight our top-viewed posts below. There was a lot of discussion earlier in the year revolving around risk parity. We then moved on to reviewing a variety of ideas posed in the academic literature and through our own internal review. Finally, we ended with what we call “Robust Asset Allocation,” which is our imperfect, but robust approach to the asset allocation problem.
Risk Parity
- Risk Parity Across Time? A Simulation Education…
- My Morningstar ETF Conference Slides: Beware of Geeks Bearing Formulas
- Risk Parity for Dummies (older post)
Tactical Asset Allocation Offshoots
- Harry Markowitz: An Equal-Weight Investor?
- Diworsification: Trade-off between portfolio size and expected alpha
- Are Uber-Simple Asset Allocation Systems Robust?
- Flexible Asset Allocation: Dethroning Moving Average Rules?
- Tactical Asset Allocation During Cheap Markets
- Interesting Tactical Asset Allocation Tool: Value portfolios
- A Simulation Study on Simple Moving Average Rules
Robust Asset Allocation (RAA)
