Tactical Asset Allocation Research

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The Moving Average Research King: Valeriy Zakamulin

By | 2017-08-18T16:55:25+00:00 April 22nd, 2016|Tactical Asset Allocation Research|

Some weekend reading for trend-followers who want to question their beliefs. Valeriy Zakamulin is an animal when it comes to generating research on moving averages. We've done a lot of the same work, but we're [...]

Digging Deeper into Adaptive Asset Allocation

By | 2017-08-18T17:06:51+00:00 June 20th, 2016|Interviews, Book Reviews, Tactical Asset Allocation Research|

In some ways, investing is simple. After all, we all want the same things. High returns. Low volatility. Small max drawdowns. Unfortunately, it's very difficult--if not impossible--to have your cake and eat it too. There [...]

Creating an Alternative Investment Strategy with Value and Momentum

By | 2017-08-18T17:07:49+00:00 July 7th, 2016|Key Research, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction (<50 stock) value and momentum portfolios, deployed as a system, seems like [...]

The Folly of Stock Market Forecasting

By | 2017-08-18T16:55:36+00:00 July 12th, 2016|Guest Posts, Tactical Asset Allocation Research, $SPY|

The idea that one can predict stock market movements is somewhat insane. The major problem with stock market forecasting is the lack of evidence that it is possible. I am unaware of any market commentator that [...]

Can Investors Replicate the Dorsey Wright Focus 5 ETF Strategy?

By | 2017-08-18T17:08:26+00:00 August 9th, 2016|Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

A long-time reader asked that we examine the performance and process associated with the Dorsey Wright Focus Five ETF (ticker: FV). For those who are unfamiliar with the product, FV is a $3B+ sector rotation fund. The fund [...]

Evidence-Based Investing Requires Less Religion and More Reason

By | 2017-08-18T17:05:23+00:00 July 27th, 2016|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant commercial hub for trade from around the world. Based on [...]

Managed Futures: Understanding a Misunderstood Diversification Tool.

By | 2017-08-18T17:01:10+00:00 August 24th, 2016|$fut, Tactical Asset Allocation Research, Managed Futures Research|

In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad [...]

Time Series Momentum and Volatility Scaling

By | 2017-08-18T16:54:59+00:00 August 31st, 2016|Momentum Investing Research, Tactical Asset Allocation Research, Managed Futures Research|

There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a [...]

What is the best “Risk-Off” Asset for Trend-Followers?

By | 2017-08-18T16:52:27+00:00 October 13th, 2016|Guest Posts, Tactical Asset Allocation Research|

So you're a trend-follower. Great. But here is a question: What do you invest in when your rules suggest "risk off?" Many investors suggest low duration cash or t-bills. Seems reasonable. But is it optimal? [...]

The Rebalance Bonus for Value and Momentum Porfolios

By | 2017-08-18T16:55:17+00:00 October 31st, 2016|Guest Posts, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value [...]

Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias?

By | 2017-08-18T17:10:27+00:00 February 10th, 2015|Uncategorized, Tactical Asset Allocation Research|

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 explicit views on why investors should allocate all of their [...]

Earth to Passive Investors: Lunch is Never Free.

By | 2017-08-18T17:05:54+00:00 November 7th, 2016|Uncategorized, Tactical Asset Allocation Research, Active and Passive Investing, Macroeconomics Research|

Imagine the following scenario: A strategy that outperforms everything. An ability to scale the strategy at no costs. A beating drum highlighting the infallible logic of the strategy. And the best part is this strategy [...]

Using Trend-Following Rules to Enhance Factor Performance

By | 2017-08-18T16:53:57+00:00 January 4th, 2017|Factor Investing, Trend Following, Research Insights, Tactical Asset Allocation Research|

After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it a whirl anyway... The comedian Victor Borge once famously observed, [...]

A Tactical Asset Allocation Researcher You Should Know

By | 2017-08-18T17:11:13+00:00 January 18th, 2017|Research Insights, Tactical Asset Allocation Research|

I'm a huge fan of hard-core academics that produce incredible research, and yet, very few are familiar with their research. I call these folks, "undiscovered gems." One might ask why undiscovered gems exist. On one hand, [...]

Tactical Asset Allocation Insights via the Geeks from Thinknewfound

By | 2017-08-18T16:56:23+00:00 February 16th, 2017|Trend Following, Interviews, Tactical Asset Allocation Research|

How do we identify who is a flash in the pan blogger versus the next Michael Kitces, Josh Brown, or Ben Carlson? We've tried to do our part and help to promote and share research from up and coming "undiscovered" bloggers/writers out there. In our early days, we were helped by long-time bloggers such as Meb Faber and Tadas Viskanta, so we try and return the favor. Recent examples of up and coming guest writers we've highlighted include Dan Sotiroff (now heading to Morningstar!), Aaron Brask, Andrew Miller, Elisabetta Basilico, and Dan Grioli -- all of whom have written interesting and insightful pieces!

The Dirtiest Word In Finance: Market Timing

By | 2017-08-18T16:55:39+00:00 March 20th, 2017|Trend Following, Research Insights, Guest Posts, Tactical Asset Allocation Research|

In 2015, Cliff Asness made the case that to earn attractive returns with proper risk-based diversification and low correlation to traditional markets, investors need to embrace ‘the three dirty words in finance,’ which he defined [...]