Tactical Asset Allocation Research

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A Q&A Discussion with Vanguard Researchers on the “Fair Value CAPE Ratio”

By |2018-07-31T13:13:38+00:00August 3rd, 2018|Research Insights, Interviews, Tactical Asset Allocation Research|

As everyone who's been invested for the last ten years knows, post-financial crisis stock returns have been incredible. The chart below highlights the total returns for the S&P 500 Index, the MSCI EAFE Index, the [...]

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A Smarter CAPE Ratio to Better Forecast Expected Stock Returns

By |2018-06-18T08:33:22+00:00June 18th, 2018|Basilico, Academic Research Insight, Research Insights, Tactical Asset Allocation Research|

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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Market Volatility? Hang On and Enjoy the Ride

By |2018-05-04T13:29:44+00:00May 4th, 2018|Research Insights, Tactical Asset Allocation Research|

As you are no doubt experiencing, stock market volatility has spiked this year with the S&P 500 dropping or rising 2% or more on eight different days. Jolts of this size didn't happen at all in [...]

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Are Trend-Following and Time-Series Momentum Research Results Robust?

By |2018-06-04T07:51:29+00:00April 27th, 2018|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

When it comes to trend following and/or time-series momentum research, we got ya covered! A few places to dig in: Evidence for Long-Term Trend-Following by Alpha Architect World's Longest Trend-Following backtest by Alpha Architect Diversification Benefits of [...]

The World’s Longest Multi-Asset Momentum Investing Backtest!

By |2018-04-18T14:11:37+00:00April 24th, 2018|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)" [...]

Quantifying the Value of Retirement Accounts

By |2018-04-17T10:40:34+00:00April 19th, 2018|Guest Posts, Tactical Asset Allocation Research, Tax Efficient Investing|

Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when the topic is addressed, many of the discussions rely on [...]

What the CFOs Think About the Equity Premium in 2018

By |2018-04-12T14:09:12+00:00April 11th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered this research here, here, and here, if interested). In their [...]

Is The US Stock Market Overvalued? Depends on which Model You ask

By |2018-03-16T07:48:23+00:00March 15th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock [...]

The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)

By |2017-12-20T21:43:21+00:00December 21st, 2017|Larry Swedroe, Research Insights, Value Investing Research, Tactical Asset Allocation Research|

The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value in terms of future returns. The higher the earnings yield, [...]

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Tactical Asset Allocation: Does the Day of the Month Matter?

By |2017-08-18T16:56:14+00:00June 29th, 2017|Guest Posts, Tactical Asset Allocation Research|

Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces [...]

Tactical Asset Allocation and the US 60/40 Benchmark

By |2017-08-18T16:56:26+00:00April 27th, 2017|Guest Posts, Tactical Asset Allocation Research|

Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase [...]

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Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider

By |2017-08-18T16:58:05+00:00March 23rd, 2017|Research Insights, Guest Posts, Tactical Asset Allocation Research, Active and Passive Investing|

In this piece I examine various way in which an investor can think about their active market timing decisions, often labeled with the innocuous term "rebalancing." Rebalancing a portfolio is the finance version of "eat [...]

Warning: The US Stock Market is an Anomaly

By |2017-08-18T16:52:49+00:00March 21st, 2017|Research Insights, Tactical Asset Allocation Research|

U.S. stocks have delivered incredible stock market returns for a long time: the average compounded total return on the U.S. stock market has been nearly 10 percent per year from 1927 through 2016 (Using data from Ken [...]

The Dirtiest Word In Finance: Market Timing

By |2017-08-18T16:55:39+00:00March 20th, 2017|Trend Following, Research Insights, Guest Posts, Tactical Asset Allocation Research|

In 2015, Cliff Asness made the case that to earn attractive returns with proper risk-based diversification and low correlation to traditional markets, investors need to embrace ‘the three dirty words in finance,’ which he defined [...]

Dual Momentum with Stock Selection

By |2017-10-27T18:10:46+00:00March 14th, 2017|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks.This paper sounds similar to the paper Jack reviewed, but there is a key difference: the researchers are looking at the momentum of the fundamentals, not the absolute value of the fundamentals. The authors compile a fundamental momentum variable by calculating the moving averages of 7 elements:return on equity return on assets earnings per share accrual-based operating profitability cash-based operating profitability gross profitability net payout ratio

Tactical Asset Allocation Insights via the Geeks from Thinknewfound

By |2017-08-18T16:56:23+00:00February 16th, 2017|Trend Following, Interviews, Tactical Asset Allocation Research|

How do we identify who is a flash in the pan blogger versus the next Michael Kitces, Josh Brown, or Ben Carlson?We've tried to do our part and help to promote and share research from up and coming "undiscovered" bloggers/writers out there. In our early days, we were helped by long-time bloggers such as Meb Faber and Tadas Viskanta, so we try and return the favor. Recent examples of up and coming guest writers we've highlighted include Dan Sotiroff (now heading to Morningstar!), Aaron Brask, Andrew Miller, Elisabetta Basilico, and Dan Grioli -- all of whom have written interesting and insightful pieces!

A Tactical Asset Allocation Researcher You Should Know

By |2017-08-18T17:11:13+00:00January 18th, 2017|Research Insights, Tactical Asset Allocation Research|

I'm a huge fan of hard-core academics that produce incredible research, and yet, very few are familiar with their research. I call these folks, "undiscovered gems." One might ask why undiscovered gems exist. On one hand, [...]

Using Trend-Following Rules to Enhance Factor Performance

By |2017-08-18T16:53:57+00:00January 4th, 2017|Factor Investing, Trend Following, Research Insights, Tactical Asset Allocation Research|

After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it a whirl anyway... The comedian Victor Borge once famously observed, [...]

Earth to Passive Investors: Lunch is Never Free.

By |2017-08-18T17:05:54+00:00November 7th, 2016|Uncategorized, Tactical Asset Allocation Research, Active and Passive Investing, Macroeconomics Research|

Imagine the following scenario: A strategy that outperforms everything. An ability to scale the strategy at no costs. A beating drum highlighting the infallible logic of the strategy. And the best part is this strategy [...]

The Rebalance Bonus for Value and Momentum Porfolios

By |2017-08-18T16:55:17+00:00October 31st, 2016|Guest Posts, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value [...]