Tactical Asset Allocation Research

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Crisis Alpha: Surprising Ways to Hedge Stock Portfolio Risk

By | 2017-08-18T17:07:48+00:00 August 19th, 2015|Tactical Asset Allocation Research|

Investing in the current environment is difficult. Most, if not all, asset classes have high nominal prices, suggesting low nominal expected returns. Not exactly exciting. And for many investors who are retired and/or have near-term [...]

Combining volatility, momentum, and trend in asset allocation

By | 2017-08-18T17:07:59+00:00 September 29th, 2015|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

The Effective Combination of Risk-Based Strategies with Momentum and Trend Following Gregory Guilmin A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

Combining Value and Momentum in Stock Selection and Market Timing

By | 2017-08-18T17:08:00+00:00 August 25th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

Recently, we wrote two posts about how to combine Value and Momentum for stock selection purposes (Part 1 and Part 2). We followed this piece with a post on combining value and momentum for market timing purposes. In this post, we review [...]

Can Investors Achieve Commodity Exposure via Equities?

By | 2017-08-18T17:08:27+00:00 September 17th, 2015|Tactical Asset Allocation Research, Managed Futures Research|

This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some impressive results. Other research outfits have proposed similar concepts. The [...]

Rise of the Machines: Predicting Winners and Losers on the Robo-Advisor Battlefield

By | 2017-08-18T16:57:52+00:00 August 27th, 2015|Key Research, Tactical Asset Allocation Research|

Robos are changing the landscape of financial services and consumers will reap the rewards. But will the computers replace humans? Unlikely. The psychology coach benefit is hard to replicate with a computer. However, robos will encourage human-based advisors to up their game. Slothosaurus will go extinct—thankfully! First iteration passive robo-advisors will create a lot of value for consumers, but capture little value for their VC investors, unless perhaps they are bought out. Finally, differentiated robo advisors and traditional advisors who embrace technology will score big wins for both consumers and their shareholders.

How Market Volatility Affects Our Brains

By | 2017-08-18T17:03:35+00:00 September 2nd, 2015|$vxx, Behavioral Finance, Tactical Asset Allocation Research|

The current market volatility is justifiably causing people stress. Nobody wants to see their hard-earned wealth get vaporized. But how does increased stress affect decision-making? A recent paper published in the Proceedings of the National Academy [...]

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Global 60/40 versus Domestic 60/40

By | 2017-08-18T17:04:42+00:00 September 23rd, 2015|Tactical Asset Allocation Research|

The Harvard Management Company report was recently released here. h.t. Tom for pointing out. The biggest surprise was the spread in returns between the global 60/40 portfolio and the domestic 60/40 portfolio: An 8.5% spread is [...]

How to Use Active Funds in a Diversified Portfolio

By | 2017-08-18T17:03:16+00:00 September 30th, 2015|Key Research, Investor Education, Introduction Course, Tactical Asset Allocation Research|

Active management has been out of favor for a while--high fees, high tax burdens, and poor long-term performance. But with the slow rise of actively managed ETFs, which have lower costs and more tax efficiency [...]

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Commodity Investing 101: Basic Insights Most Advisors Don’t Know

By | 2017-08-18T17:07:58+00:00 October 7th, 2015|Tactical Asset Allocation Research, Managed Futures Research, $dbc, $xle|

Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, and can be taxed differently. And let's be blunt: few retail [...]

Daily Academic Alpha: Momentum Investing and Asset Allocation

By | 2017-08-18T17:07:29+00:00 October 12th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

The results in this paper won't surprise most who are regular readers, but the paper below does a nice job explaining things in a simple way. For more advanced asset allocation methods that use momentum [...]

Which Asset Allocation Weights Work the Best?

By | 2017-08-18T16:52:21+00:00 October 27th, 2015|Tactical Asset Allocation Research|

What is the optimal method to weigh an index? Everyone seems to have a story these days for the "best" way to weigh an index. In this study we look at simple ways to weigh a large-cap stock index using prices only. Bottom-line up front: Low volatility worked the best on a risk-adjusted basis over the past 87 years. However, low volatility, was close followed by momentum, equal-weighting, and value-weighting, respectively. Across the board, results are similar.

Bond Performance when Interest Rates Spike

By | 2017-08-18T17:09:13+00:00 November 18th, 2015|Research Insights, Tactical Asset Allocation Research|

The prediction of higher interest rates has been ongoing since the government went all-in on a variety of so-called "inflationary" efforts.  Inflation hasn't happened and rates are still low across the yield curve. So-called "bond vigilantes," having [...]

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Trend Following and Momentum Strategies for Global REITs

By | 2017-08-18T16:54:24+00:00 November 20th, 2015|Research Insights, Tactical Asset Allocation Research|

Trend Following and Momentum Strategies for Global REITs Moss, Clare, Thomas and Seaton A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

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DIY Asset Allocation Weights: December 2015

By | 2017-08-18T17:06:40+00:00 December 2nd, 2015|Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. The results are hypothetical results and are [...]

‘Tis the Season for strange effects in the stock market.

By | 2017-08-18T17:12:00+00:00 December 29th, 2015|Momentum Investing Research, Tactical Asset Allocation Research|

The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax season, fundamentals go out the window: I’m selling my losers, [...]

Even God Would Get Fired as an Active Investor

By | 2017-08-18T17:05:24+00:00 February 2nd, 2016|Research Insights, Key Research, Tactical Asset Allocation Research|

Empirical asset pricing research can sometimes get monotonous because you end up circling back relentlessly to the same conclusions: value, momentum, trend-following are all interesting, and yet, markets are remarkably competitive (perhaps not efficient). But, sometimes, research [...]

Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability

By | 2017-08-18T16:56:17+00:00 September 22nd, 2016|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

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 have fallen short while seeking this "holy grail" of investing. [...]