DIY Asset Allocation Weights: January 2022
Current Exposures:
- Full exposure to domestic equities.
- Full exposure to international equities.
- Full exposure to REITs.
- Full exposure to commodities.
- No exposure to intermediate-term bonds.
Interesting Insights into How Endowments Invest
Despite their popularity and the ease of access to university-based endowments, there is little in the academic literature about the history of endowment investing. In this article, the authors aim at filling this gap.
Value investing: What history says about five-year periods after valuation peaks
Value stocks are historically cheap compared to the past. Given this fact, a natural question is the following, "After the last two times Value had a "peak" of the factor being cheap, how did it do the subsequent five years?"
The Relationship Between the Value Premium and Interest Rates
We've been suffering through the deepest and longest drawdown in values history. Looking for a scapegoat to explain the lackluster performance many have pointed to low interest rates as the root cause of the underperformance. The question is have interest rates impacted value in the past?
Global Factor Performance: December 2021
factor performance modules have been updated
DIY Asset Allocation Weights: December 2021
Current Exposures:
- Full exposure to domestic equities.
- Half exposure to international equities.
- Full exposure to REITs.
- Full exposure to commodities.
- Half exposure to intermediate-term bonds.
The Value of the Value Factor: Cheaper now than a year ago?
About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures.
Global Factor Performance: November 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
DIY Asset Allocation Weights: November 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Do factors have a role in asset allocation?
The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Global Factor Performance: October 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
DIY Asset Allocation Weights: October 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Global Factor Performance: September 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Do Cryptocurrencies Improve Portfolio Diversification?
The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper [...]
DIY Asset Allocation Weights: September 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Global Factor Performance: August 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
DIY Asset Allocation Weights: August 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Global Factor Performance: July 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
DIY Asset Allocation Weights: July 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Factors Timing is a Difficult Practice
Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]