Tactical Asset Allocation Research

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Dual Momentum with Stock Selection

By | 2017-08-18T17:05:58+00:00 March 14th, 2017|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks. This paper sounds similar to the paper Jack reviewed, but there is a key difference: the researchers are looking at the momentum of the fundamentals, not the absolute value of the fundamentals. The authors compile a fundamental momentum variable by calculating the moving averages of 7 elements: return on equity return on assets earnings per share accrual-based operating profitability cash-based operating profitability gross profitability net payout ratio

Warning: The US Stock Market is an Anomaly

By | 2017-08-18T16:52:49+00:00 March 21st, 2017|Research Insights, Tactical Asset Allocation Research|

U.S. stocks have delivered incredible stock market returns for a long time: the average compounded total return on the U.S. stock market has been nearly 10 percent per year from 1927 through 2016 (Using data from Ken [...]

Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider

By | 2017-08-18T16:58:05+00:00 March 23rd, 2017|Research Insights, Guest Posts, Tactical Asset Allocation Research, Active and Passive Investing|

In this piece I examine various way in which an investor can think about their active market timing decisions, often labeled with the innocuous term "rebalancing." Rebalancing a portfolio is the finance version of "eat [...]

Tactical Asset Allocation and the US 60/40 Benchmark

By | 2017-08-18T16:56:26+00:00 April 27th, 2017|Guest Posts, Tactical Asset Allocation Research|

Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase [...]

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Tactical Asset Allocation: Does the Day of the Month Matter?

By | 2017-08-18T16:56:14+00:00 June 29th, 2017|Guest Posts, Tactical Asset Allocation Research|

Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces [...]