Global Factor Performance: May 2021

By |May 6th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: May 2021

By |May 4th, 2021|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 [...]

Market Timing Using Aggregate Equity Allocation Signals

By |April 29th, 2021|Research Insights, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without [...]

Climate Change and Asset Allocation

By |April 19th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Climate Change and Asset Allocation: A Distinction ThatMakes a Difference Brian Jacobsen, Eddie Cheng, and Wai LeeJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Global Factor Performance: April 2021

By |April 7th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Estimating the Stock-Bond Correlation

By |April 5th, 2021|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Stock-Bond Correlation Megan Czasonis, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

DIY Asset Allocation Weights: April 2021

By |April 1st, 2021|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 [...]

Global Factor Performance: March 2021

By |March 8th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: March 2021

By |March 2nd, 2021|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 [...]

Global Factor Performance: February 2021

By |February 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: February 2021

By |February 2nd, 2021|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 [...]

Global Factor Performance: January 2021

By |January 12th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: January 2021

By |January 5th, 2021|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 [...]

Global Factor Performance: December 2020

By |December 7th, 2020|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

DIY Asset Allocation Weights: December 2020

By |December 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 [...]

An Easy Way to Simplify and Improve the Shiller CAPE Ratio as a Prediction Tool

By |November 16th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten Thomas K. Philips and Adam KoborJournal of Portfolio ManagementA version of this paper can be found here (slides here)Want to read [...]

DIY Asset Allocation Weights: November 2020

By |November 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 [...]

Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

DIY Asset Allocation Weights: October 2020

By |October 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 [...]

How To Design Machine Learning Models – A Market Timing Example

By |September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

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