Happy days for Momentum; Sad days for Risk Parity
Do-It-Yourself tactical asset allocation weights for August are posted. Create a free account here if you want to access the site directly. Exposure Highlights: No Commodities; no bonds; [...]
Simple Moving Averages vs. Exponential Moving Averages
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
Are Market Valuations too High?
There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words [...]
S&P 500 10-Year Nominal Return Forecasts
We've outlined the fundamentals of long-term return projection models in a recent post: https://alphaarchitect.com/2012/12/projected-15-year-sp-500-returns/ Butler|Philbrick|Gordillo and Associates have a great post that focuses on the [...]
Clone Endowment Asset Allocations
Getting access to what the top asset allocation brains are thinking is easy-- "Google it." For example, I googled "yale endowment asset allocation filetype:pdf" and [...]
Are Stocks Expensive? Yes, but…
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Troy Shu is the man: A Free TAA Tool!
I've followed Troy's blog for a while now--it is excellent! http://troyshu.wordpress.com/2013/02/24/adaptivwealth-the-new-web-app-that-i-made-to-bring-adaptive-asset-allocation-to-the-masses/ Troy is a student at my alma mater--The University of Pennsylvania--so I am naturally [...]
Merry Christmas with Mean-Variance-Analysis
We are going to try and post a video once every month. The intent is to democratize quant and train our audience to harness basic [...]
Tactical Asset Allocation Series: Part 3 (Equal-Weight with Moving Averages)
This is the third part in our series on tactical asset allocation. In the series we highlight the equal-weight with moving average tactical asset allocation [...]
Tactical Asset Allocation Series: Part 2 (Equal-Weight)
This is the second part in our series on tactical asset allocation. Our initial pieces outlined the basics of tactical asset allocation and offered some [...]
Tactical Asset Allocation Series: Part 1 (Introduction)
Anyone who has spent time pondering how to invest is undoubtedly familiar with the concept of diversification, which is a fundamental concept underlying modern portfolio [...]
Tactical Asset Allocation for Dummies
I was having lunch the other day with the Turnkey PhD and another business school professor, when the conversation turned to Tactical Asset Allocation (TAA). [...]
Long Bonds–Long or Short?
Timely Portfolio has a great post about the magical long-bond. http://timelyportfolio.blogspot.tw/2012/08/bonds-much-sharpe-r-than-buffett.html The thesis he presents is clear: long bonds won't achieve what they've achieved over the past [...]
Risk Parity for Dummies
Risk parity asset allocation systems seem to be all the rage these days. If you are unfamiliar with the strategy, Mebane Faber has some great [...]
Investigating Equity and Bond Allocation Models
We've been toying with models that will predict the stock market: better known as "cold fusion." There is an incredible amount of research on the [...]