DIY Trend-Following Allocations: July 2024
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Full exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: June 2024
The following factor performance modules have been updated on our Index website.
DIY Trend-Following Allocations: June 2024
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Global Factor Performance: May 2024
The following factor performance modules have been updated on our Index website.
DIY Trend-Following Allocations: May 2024
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index
Global Factor Performance: April 2024
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Factor Performance Factor Premiums Factor Data Downloads
DIY Trend-Following Allocations: April 2024
Full exposure to domestic equities. Full exposure to international equities. Full exposure to REITs. Partial exposure to commodities. Partial exposure to intermediate-term bonds.
Betting on a Short Squeeze as Investment Strategy
Short squeezes are often associated with a large positive jump in the price of a stock. Filippou, Garcia-Ares, and Zapatero demonstrated that skewness-seeking investors try to identify securities that could experience a short squeeze in the near future and are willing to pay a premium for them. That results in an overvaluation of the options and, on average, negative returns. Investors are best served to avoid investments with lottery-like distributions. One way to do that is to turn a blind eye to social media sites like Robinhood and Reddit so you don’t get caught up in the hype and excitement. That’s another example of why retail investors are called “dumb money.” Forewarned is forearmed.
DIY Trend-Following Allocations: March 2024
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: February 2024
The following factor performance modules have been updated on our Index website.
DIY Trend-Following Allocations: February 2024
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: January 2024
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: January 2024
Full exposure to domestic equities. Full exposure to international equities. Full exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
The Temptation of Factor Timing
The timing of equity factor premiums has a strong allure for investors because academic research has found that factor premiums are both time-varying and dependent on the economic cycle.
Global Factor Performance: December 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: December 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: November 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: November 2023
Full exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: October 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: October 2023
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index are posted.