How Smart are “Smart Beta” ETFs?
Many consider smart beta to be a revolution in the asset management industry. For example, Bloomberg ran an article, "Funds Run by Robots Now Accounts for $400 [...]
Tactical Asset Allocation with Market Valuations: Magic of Myth?
Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as [...]
Tactical Asset Allocation and Low Volatility Stocks
Investing in strategies that exploit the low volatility anomaly have grown in popularity in recent years. While low volatility based strategies may or may not [...]
Tax-Efficient Investment Strategies: How Should We Invest in Treasury Bonds?
We investigate various methods to express a 10-Year Treasury Bond allocation. The primary issue with Treasury Bonds is their lack of tax-efficiency. T-bond income (and [...]
Risk Management Rules on Australian Equities
A friend of the blog was inspired by our Robust Asset Allocation discussion, and conducted some backtests using our proposed risk management framework: 50% simple moving average [...]
Individual Investors and the Moving Average Rule
Trading on Noise: Moving Average Trading Heuristics and Private Investors Etheber, Hackethal and Meyer A version of the paper can be found here. Want a summary [...]
Timing Value and Momentum with Valuation-Spreads
We were recently passed along an article suggesting that valuation spreads, or the spread in a valuation metric across the most expensive and least expensive stocks, matters [...]
Buffett and Hedge Funds Share a Trait: No Alpha
Aaron Seager, a portfolio manager at Arbor Hill Advisors, offered up the following charts showing alpha over the past 15 years for Warren Buffett and an [...]
Dissecting Goldman’s 99 percentile Market-Timing Signal
Investors have been worrying, at least for the last several years, that the market is overvalued. By some measures this is undoubtedly true. Just yesterday we highlighted that [...]
Market Valuations based on CAPE–A Deeper Dive
We have discussed market valuations in the past, but the issue of market valuations was recently raised on CNBC, when Robert Shiller suggested he may shift out [...]
A Tactical Asset Allocation Horserace Between Two Thoroughbreds
Executive Summary: Dual Momentum, a concept pioneered by Gary Antonacci, intelligently combines elements of two types of momentum investing strategies -- absolute and relative momentum -- [...]
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias?
The CFA Institute Magazine recently published an interview (a copy is here) with C. Thomas Howard, CEO of Athena Investment Services. Howard has some pretty [...]
Does “Sharpe Parity” work better than “Risk Parity?”
Strategies employing risk parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies are [...]
The Hated. The Feared. The Amazing. The US Treasury Bond.
As "everyone" seems to know, the US 10-year Treasury bond has a low relative yield and is "inevitably going to rise at some point in [...]
The 2014 Asset Allocation Research Recap
Tactical asset allocation is always a hot topic in the blogosphere. A few fun concepts that hit the wires in 2014: GestaltU had an interesting series [...]
A Modification to the Flexible Asset Allocation Model
This topic is about Flexible Asset Allocation, a concept I first got wind of thanks to this blog.[ref] Ilya Kipnis is the author of QuantStrat [...]
The Robust Asset Allocation (RAA) Index
Robust asset allocation solutions should be relatively simple, minimize complexity, and be robust across different market regimes. Simultaneous to these requirements, the solution must be affordable, liquid, simple, tax-efficient, and transparent, otherwise, many of the benefits of the solution will flow to the croupiers and Uncle Sam. We recommend that investors explore our robust asset allocation framework and go for the do-it-yourself solution. You'll be paying yourself 1%+ a year via saved RIA fees. Is this the only solution? No. But any solution must be robust, simple, tax-manageable, and low-cost. This is our best effort to develop a simple model. Developing a complicated model is easy; simple is difficult.
Face-ripping Drawdowns and the Magic Formula
Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic [...]
Harry Markowitz: An Equal-Weight Investor?
Jason Zweig's book, "Your Money and Your Brain" highlights an interesting conversation with Harry Markowitz. Dr. Markowitz is a Nobel Prize winner and his work [...]
Morningstar 2014 ETF Conference Slides
Many of you have asked for the slides I presented at the ETF conference on tactical asset allocation. Note, the 2nd slide is an animation [...]