The World’s Longest Multi-Asset Momentum Investing Backtest!
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 [...]
Quantifying the Value of Retirement Accounts
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 [...]
What the CFOs Think About the Equity Premium in 2018
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 [...]
Is The US Stock Market Overvalued? Depends on which Model You ask
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 [...]
The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)
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 [...]
Tactical Asset Allocation: Does the Day of the Month Matter?
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. [...]
Tactical Asset Allocation and the US 60/40 Benchmark
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 [...]
Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider
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 [...]
Warning: The US Stock Market is an Anomaly
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 [...]
The Dirtiest Word In Finance: Market Timing
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 [...]
Dual Momentum with Stock Selection
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
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
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." [...]
Using Trend-Following Rules to Enhance Factor Performance
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 [...]
Earth to Passive Investors: Lunch is Never Free.
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 [...]
The Rebalance Bonus for Value and Momentum Porfolios
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 [...]
What is the best “Risk-Off” Asset for Trend-Followers?
So you're a trend-follower. Great. But here is a question: What do you invest in when your rules suggest "risk off?" Many investors suggest low [...]
Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability
The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many [...]
Time Series Momentum and Volatility Scaling
There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series [...]
Managed Futures: Understanding a Misunderstood Diversification Tool.
In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), [...]