Tactical Asset Allocation Research

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A Surprising Way to time Value and Momentum: Updated Analysis

By | 2017-08-18T17:11:14+00:00 August 28th, 2014|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract:  The Fama-French [...]

Old School Academics on Moving Average Rules: Remarkable.

By | 2017-08-18T16:59:43+00:00 August 13th, 2014|Research Insights, Tactical Asset Allocation Research|

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]

Using Utilities to Time the Market

By | 2017-08-18T16:53:56+00:00 August 11th, 2014|Research Insights, Tactical Asset Allocation Research|

Strategy Background Beta Rotation strategy (BRS) is discussed by Charles Bilello and Michael Gayed in their new paper, “An International Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities” The paper shows significant [...]

A Simulation Study on Simple Moving Average Rules

By | 2017-08-18T17:11:16+00:00 July 28th, 2014|Key Research, Tactical Asset Allocation Research|

The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that markets can't possibly be weak-form inefficient. The other reason researchers [...]

Betting Against Days to Cover

By | 2017-08-18T17:09:20+00:00 July 30th, 2015|Research Insights, Tactical Asset Allocation Research|

Days to Cover and Stock Returns Hong, Li, Ni, et al. A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: The [...]

Timing the Market with Mean Reversion Indicators

By | 2017-08-18T16:54:56+00:00 July 15th, 2014|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: We document [...]

Can Market Valuations Be Effective Market-Timing Signals?

By | 2017-08-18T17:08:24+00:00 June 12th, 2014|Research Insights, Key Research, Value Investing Research, Tactical Asset Allocation Research|

We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is debatable). Here is a brief background on the measure: http://www.alphaarchitect.com/blog/2011/10/06/the-shiller-pe-ratio/ [...]

Flexible Asset Allocation Assessment

By | 2017-08-18T17:04:58+00:00 October 7th, 2013|Research Insights, Uncategorized, Tactical Asset Allocation Research|

We mentioned an interesting piece by Keller and Putten (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2193735) . Here was our original take: https://alphaarchitect.com//2013/01/03/flexible-asset-allocation/ The strategy seemed worth a second look so my team at Empiritrage (Empirical-Based Arbitrage) went batsh&$ crazy. What does the [...]

S&P 500 10-Year Nominal Return Forecasts

By | 2017-08-18T16:57:16+00:00 April 17th, 2013|Tactical Asset Allocation Research|

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 "Shiller" or "Hussman" models for return forecasting http://gestaltu.blogspot.com/2013/04/valuation-based-equity-market-forecasts.html Empiritrage has [...]

Troy Shu is the man: A Free TAA Tool!

By | 2017-08-18T16:54:18+00:00 February 25th, 2013|Tactical Asset Allocation Research|

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 bias...but... Troy has a cool new app that allows investors [...]