Tactical Asset Allocation Research

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DIY Asset Allocation Weights: July 2020

By |2020-07-02T10:04:17-04:00July 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 [...]

Do Interest Rates Explain Value’s Underperformance?

By |2020-06-02T10:55:56-04:00June 4th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Tactical Asset Allocation Research, Macroeconomics Research|

From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]

DIY Asset Allocation Weights: June 2020

By |2020-06-02T10:16:59-04:00June 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 [...]

Tactically Adjusting Everything in a Financial Crisis? Bad Idea.

By |2020-05-26T09:12:49-04:00May 26th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here or here.Want to read our summaries of academic finance papers? [...]

DIY Asset Allocation Weights: May 2020

By |2020-05-04T09:23:10-04:00May 4th, 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 [...]

How Cheap (or Expensive) Are Value Stocks?

By |2020-04-14T09:34:57-04:00April 14th, 2020|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

What are the two most annoying words in forecasting? IT DEPENDS. In this piece we look at the "value" of value, which has been beaten down recently. A few questions arise in this scenario: How [...]

The Economic Consequences of Pandemics: A Guide from History

By |2020-04-10T12:46:23-04:00April 10th, 2020|Research Insights, Factor Investing, Academic Research Insight, Tactical Asset Allocation Research, Macroeconomics Research|

Pandemics: Long-Run Effects Òscar Jordà, Sanjay R. Singh, Alan M. TaylorCEPR PressA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

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 Jong The Journal of Portfolio Management, Fall 2018 A 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: 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 Ang Journal of Wealth Management, Spring 2019 A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

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 [...]