Tactical Asset Allocation Research Archives

Unlocking Cross-Asset Potential: A New Approach to Portfolio Construction

Christian Goulding and Campbell Harvey, authors of the study "Investment Base Pairs," proposed a groundbreaking framework for portfolio construction that challenges traditional approaches in modern finance. Their research focused on leveraging cross-asset information to optimize investment strategies and improve returns across diverse asset classes. Here's an overview of their investigation, key findings, and takeaways for investors and advisors.

A New Approach to Regime Detection and Factor Timing

The financial research literature has found that the performance of assets (and factors) can vary substantially across regimes - factor premiums can be regime dependent. Unfortunately, the real-time identification of the current economic regime is one of the biggest challenges in finance.

Understanding What Drives Momentum in Global Stock Markets

When information about a company comes out gradually, investors might not react strongly, leading to momentum. Other factors, like how a company's value is perceived, also play a role, but to a lesser extent.

Do Women Receive Worse Financial Advice?

A study based in Hong Kong by using undercover auditors found that female clients were more likely to be advised to invest in individual or local securities instead of getting a mix of different investments.

How Bond ETFs Make Trading Easier and Cheaper

Bond ETFs have attracted new investors who previously never owned bonds or bond funds. Bond ETFs have made it easier for more people and institutions to start investing in bonds.

What is Trend Following? A Painful Journey to Smarter Investing

Trend following, at its core, is a strategy where investors buy an asset when it's going up and sell when it’s going down. But unlike panic-driven investors who sell at the worst possible moment, trend followers adhere to a rules-based approach in an attempt to remove emotion from the equation.

Understanding the Stock–Bond Correlation

With over nearly 150 years of data, the study finds that when inflation and interest rates rise, stocks and bonds tend to move together, reducing diversification benefits. This has critical implications for portfolio construction and risk management.

Is It Time to Ditch International Stocks?

Since 2010, the S&P 500 has beaten the International Developed market in all but three years. This led the U.S. market to outperform International Developed by an astounding 8.14% compounded per year. Wowza! Talk about pain if you’re a global investor.

DIY Trend-Following Allocations: February 2025

International equity moving from full hedge to no hedge. Commodities moving from full hedge to partial hedge. Real estate moving from partial hedge to no hedge. Intermediate bonds moving from full hedge to partial hedge.

Global Factor Performance: January 2025

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

Stocks aren’t always the best in the long-run

Advisors and managers will have to adopt a more nuanced view of risk as recognition of the frequency of equity underperformance becomes widespread.

DIY Trend-Following Allocations: January 2025

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: December 2024

The following factor performance modules have been updated on our Index website.

DIY Trend-Following Allocations: December 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 [...]

DIY Trend-Following Allocations: November 2024

Full exposure to domestic equities. Full exposure to international equities. Full exposure to REITs. No exposure to commodities. Full exposure to intermediate-term bonds.

Global Factor Performance: October 2024

The following factor performance modules have been updated on our Index website.

DIY Trend-Following Allocations: October 2024

Current Exposures: Full exposure to domestic equities. Full exposure to international equities. Full exposure to REITs. No exposure to commodities. Full exposure to intermediate-term bonds.

Global Factor Performance: September 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: September 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: August 2024

The following factor performance modules have been updated on our Index website.

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