DIY Asset Allocation Weights: February 2018

////DIY Asset Allocation Weights: February 2018

DIY Asset Allocation Weights: February 2018

By |2018-02-06T12:17:05+00:00February 6th, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.(1)

Exposure Highlights:(3)

  • Full exposure to domestic equities.
  • Full exposure to international equities.
  • Half exposure to REITs.
  • Full exposure to commodities
  • No exposure to long-term bonds.

The chart below reflects the most recent weights for the Robust Asset Allocation Index.

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We also provide tactical weights for common asset allocation techniques (e.g., risk parity). Details on each model is available in the appendix.(2)


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References   [ + ]

1.

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2.

Models:

  • We impose short sell constraints so no position can go below 0, even if a particular model suggests otherwise. Because of this constraint, the total weights may not add up to 1.
    • dual_momentum = 1) apply relative strength across US/Developed equity, 2) apply 12-month absolute momentum rule. Own relative strength with a positive trend.
    • risk_parity=unlevered risk parity for IVY 5.
    • risk_parity_ma=unlevered risk parity for IVY 5 with 12-month moving average trading rule.
    • mom=equal-weight IVY 5 shifted by relative 12-month momentum.
    • mom_ma=mom strategy with 12-month moving average trading rule.
    • risk_parity_mom=unlevered risk parity weights for IVY 5, adjusted by relative 12-month momentum.
    • risk_parity_mom_ma=unlevered risk parity weights for IVY 5, adjusted by relative 12-month momentum, with a 12-month moving average trading rule.
    • ew_index=equal-weight IVY 5.
    • ew_index_ma=equal-weight IVY 5 with 12-month moving average trading rule.
3.The information contained herein is only as current as of the date indicated and may be superseded by subsequent market events or for other reasons. Neither the author nor Alpha Architect undertakes to advise you of any changes in the views expressed herein. This information is not intended and does not relate specifically to any investment strategy or product that Alpha Architect offers.

About the Author:

Wesley Gray, PhD
Wes Gray has published multiple academic papers and four books, including Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016).After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm that delivers affordable active exposures for tax-sensitive investors. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes currently resides in the suburbs of Philadelphia with his wife and three children.
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