Investor Education

//Investor Education

DIY Asset Allocation Weights: February 2018

By | 2018-02-06T12:17:05+00:00 February 6th, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

DIY Asset Allocation Weights: January 2018

By | 2018-02-06T12:13:03+00:00 January 9th, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

Book Review — Market Timing with Moving Averages

By | 2017-12-20T09:53:01+00:00 December 20th, 2017|Trend Following, Trend-Following Course, Research Insights, Book Reviews|

Trend-following is something I've struggled with for years -- always felt like voodoo magic and data-mining. That said, I finally came around to appreciating the practice after a ton of research replication efforts, independent research. [...]

DIY Asset Allocation Weights: December 2017

By | 2017-12-06T07:41:59+00:00 December 6th, 2017|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)

By | 2017-11-21T11:33:56+00:00 September 8th, 2017|Trend Following, Trend-Following Course, Introduction Course|

In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. [...]

Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)

By | 2017-09-01T08:02:37+00:00 September 1st, 2017|Trend Following, Trend-Following Course, Introduction Course|

The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a [...]

Trend-Following with Valeriy Zakamulin: Testing Profitability of Trading Rules (Part 6)

By | 2017-08-25T09:27:35+00:00 August 25th, 2017|Trend-Following Course, Investor Education, Introduction Course|

The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. Specifically, any trading rule considered in Part 3 has at [...]

Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)

By | 2017-08-19T13:33:08+00:00 August 18th, 2017|Trend-Following Course, Investor Education, Introduction Course|

We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a risky asset is an investable stock market index. [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By | 2017-08-18T16:54:23+00:00 August 13th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]

TREND-FOLLOWING WITH VALERIY ZAKAMULIN: TECHNICAL TRADING RULES (PART 3)

By | 2017-08-18T16:54:21+00:00 August 11th, 2017|Trend-Following Course, Introduction Course|

A trend following strategy is based on switching between a financial asset and cash depending on whether the asset prices trend upward or downward. Specifically, when the strategy identifies that prices trend upward (downward), it [...]

Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)

By | 2017-08-18T16:54:20+00:00 July 21st, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages.

Trend-Following with Valeriy Zakamulin: Moving Average Basics (Part 1)

By | 2017-08-18T16:54:22+00:00 July 14th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

One of the basic principles of technical analysis is that ``prices move in trends". Traders firmly believe that these trends can be identified in a timely manner and used to generate profits and limit losses. Consequently, trend following is the most widespread market timing strategy; it tries to jump on a trend and ride it. Specifically, when stock prices are trending upward (downward), it's time to buy (sell) the stock. Even though trend following is very simple in concept, its practical realization is complicated. One of the major difficulties is that stock prices fluctuate wildly due to imbalances between supply and demand and due to constant arrival of new information about company fundamentals. These up-and-down fluctuations make it hard to identify turning points in a trend. Moving averages are used to ``smooth" the stock price in order to highlight the underlying trend.

Academic Factor Exposure Versus Fund Factor Exposure

By | 2017-10-06T12:42:05+00:00 April 26th, 2017|Factor Investing, Key Research, Tool Updates|

Tomorrow I'll be sitting with Pat O'Shaughnessy and Ben Johnson to discuss "Straight Talk About Smart Beta." Here is a link to the big Morningstar event. In preparation for our discussion we were spitballing ideas [...]

Visualizing IRA Rules Using Flowcharts

By | 2017-08-18T16:52:55+00:00 April 25th, 2017|Guest Posts, Other Insights, Investor Education|

The rules around IRAs are really complicated and Wes asked if we could share our flow charts on the subject so others could potentially benefit from the work we've done to help make the IRA [...]

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Visual Active Share: A Tool to Help Investors Make Better Decisions

By | 2017-08-18T16:52:56+00:00 April 6th, 2017|Factor Investing, Research Insights, Tool How-To-Guides, Tool Updates, Value Investing Research, Investor Education, Momentum Investing Research|

We've talked extensively about the concepts of active share and active fee, which aren't flawless metrics, but they have elevated the discussion around identifying and understand the closet indexing phenomenon. To be clear, closet indexing [...]

DIY Asset Allocation Weights: March 2017

By | 2017-12-05T12:24:58+00:00 March 2nd, 2017|Tool Updates, Investor Education|

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. Strategy Date Domestic Value Domestic Mom Int'l. Value [...]

Active Versus Passive Investing: Can we End the Confusion?

By | 2017-08-18T17:10:52+00:00 February 24th, 2017|Research Insights, Investor Education, Active and Passive Investing|

I've noticed something profound the past few years: depending on your audience, the definition of active investing and passive investing is different. To a financial journalist, active means "human stock-picker," and passive means "computer stock-picker." [...]

DIY Asset Allocation Weights: February 2017

By | 2017-08-18T17:06:37+00:00 February 3rd, 2017|Tool Updates|

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. Strategy Date Domestic Value Domestic Mom Int'l. Value [...]

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Are you Ready to Witness Finance Research on Steroids?

By | 2017-08-18T17:10:02+00:00 January 3rd, 2017|Research Insights, Investor Education|

Have you ever dreamed of meeting Ben Bernanke face-to-face? Would you love the chance to bump into Larry Summers in the hallway? Or better yet, have you dreamed of listening to a Nobel Prize winner [...]