Tactical Asset Allocation Research

Home/Posts/Research Insights/Tactical Asset Allocation Research

DIY Asset Allocation Weights: April 2020

By |2020-04-01T09:53:44-04:00April 1st, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

An Empirical Challenge for Trend-Following

By |2020-03-30T10:40:00-04:00March 30th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Tactical Asset Allocation Research|

Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Time Series Momentum: Is it There? Dashan Huang [...]

What to Do When Alpha Becomes Beta

By |2020-03-11T12:39:02-04:00March 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

DIY Asset Allocation Weights: March 2020

By |2020-03-02T14:09:15-05:00March 2nd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Smart Money Indicator Rebuttal

By |2020-02-28T12:19:55-05:00February 28th, 2020|Research Insights, Trend Following, Tactical Asset Allocation Research|

In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the subject that summarized the results of a paper introducing my [...]

DIY Asset Allocation Weights: February 2020

By |2020-02-03T14:02:02-05:00February 3rd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Forecasting US Equity Market Returns with Machine Learning

By |2020-01-06T14:09:24-05:00January 7th, 2020|Research Insights, Machine Learning, Tactical Asset Allocation Research|

Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz, and Joseph H. [...]

Quant Tools for Private Equity and Real Assets

By |2020-01-06T12:14:02-05:00January 6th, 2020|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

DIY Asset Allocation Weights: December 2019

By |2019-12-02T14:37:45-05:00December 2nd, 2019|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

DIY Asset Allocation Weights: November 2019

By |2019-11-04T16:58:31-05:00November 4th, 2019|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

A Framework for Creating Model Portfolios

By |2019-10-07T10:07:25-04:00October 7th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

The Perils (and Inevitability) of Forecasting

By |2019-07-22T12:28:16-04:00August 1st, 2019|Research Insights, Guest Posts, Tactical Asset Allocation Research, Macroeconomics Research|

I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong).  I better realize now [...]

Market Sell-off Analysis: Baseline Historical Facts

By |2019-07-10T11:12:01-04:00July 10th, 2019|Research Insights, Trend Following, Tactical Asset Allocation Research|

We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone does not tell us much. The questions I want to [...]

Volatility Targeting Improves Risk-Adjusted Returns

By |2019-05-21T13:18:18-04:00May 22nd, 2019|Research Insights, Larry Swedroe, Other Insights, Low Volatility Investing, Tactical Asset Allocation Research|

There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates that, while past returns do not predict future returns, past [...]

Buyer Beware: The Reality of Tax-Loss Harvesting Benefits

By |2019-04-29T10:06:57-04:00April 26th, 2019|Research Insights, Guest Posts, Tactical Asset Allocation Research, Tax Efficient Investing|

Executive Summary • Tax loss harvesting is widely promoted, but we think the benefits are generally misunderstood and often overstated.a recent paper highlighted by Wes on twitter comes to a similar conclusion. Here is a [...]

Investment Strategy in an Uncertain World

By |2019-04-02T08:28:43-04:00April 11th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Tactical Asset Allocation Research|

In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]

Sector Business Cycle Analysis

By |2019-03-04T10:34:50-05:00March 7th, 2019|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

There are different investment approaches to identify sector winners and losers, such as price momentum strategies, top down approach based on specific macroeconomic indicators or bottom-up approaches to identify sectors with improving fundamentals. One widely [...]

Using Flexible Spending to Achieve Financial Goals

By |2019-03-04T08:04:31-05:00March 5th, 2019|Financial Planning, Guest Posts, Tactical Asset Allocation Research|

Financial planning and specifically portfolio "safe" withdrawal rates are often viewed and analyzed from the perspective of rigid rules that can't be broken - i.e., you will take an inflation adjusted 4% of starting portfolio [...]

The Smart Money Indicator: A New Risk Management Tool

By |2019-02-08T09:25:33-05:00February 8th, 2019|Research Insights, Trend Following, Guest Posts, Tactical Asset Allocation Research|

We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants [...]