DIY Trend-Following Allocations: December 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: November 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: November 2023
Full exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: October 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: October 2023
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index are posted.
Geographic Investing and Company Operations
The article explores the limitations of traditional country-level stock market indexes that are constructed based on the domicile of issuing firms.
Implications of Regime-Shifting Stock-Bond Correlation
The correlation between stocks and bonds should be a critical component of any asset allocation decision, as it impacts not only the overall risk of a diversified multi-asset class portfolio but also the risk premia one should expect to receive for taking risk in different asset classes. The problem for investors is that the correlation between stocks and bonds fluctuates extensively across time and economic regimes.
Global Factor Performance: September 2023
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution [...]
DIY Trend-Following Allocations: September 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: August 2023
The following factor performance modules have been updated on our Index website.
DIY Trend-Following Allocations: August 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: July 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: July 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Global Factor Performance: June 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Download
DIY Trend-Following Allocations: June 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: May 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: May 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Global Factor Performance: April 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Trend-Following Allocations: April 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Is a Naive 1/N Diversification Strategy Efficient?
A simple 1/N factor diversification strategy will likely be at least as efficient as more “sophisticated” versions.