Global Factor Performance: April 2022
The following factor performance modules have been updated on our Index website.
Trend is Generally Your Friend…Unless You are a Bond Investor…
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 [...]
2022 Democratize Quant Conference Recap and Materials
We recently hosted our Democratize Quant Conference (sign up here for updates).
This post is a recap of what we heard and some resources we can make available to the public.
Our 5th Annual Democratize Quant 2022 is Live. Sign-up!
We will be hosting our 5th annual Democratize Quant conference later this month via Zoom. The event is 100% free but we do screen participants to enforce our "no spammers" policy. https://alphaarchitect.com/democratizequant/
Global Factor Performance: March 2022
Factor Updates for: Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
DIY Asset Allocation Weights: March 2022
Full exposure to domestic equities. Half exposure to international equities. Full exposure to REITs. Full exposure to commodities. No exposure to intermediate-term bonds.
Trend-Following Filters – Part 5
There are two general types of Kalman filter models: steady-state and adaptive. A steady-state filter assumes that the statistics of the process under consideration are constant over time, resulting in fixed, time-invariant filter gains. The gains of an adaptive filter, on the other hand, are able to adjust to processes that have time-varying dynamics, such as financial time series which typically display volatility and non-stationarity.
Global Factor Performance: February 2022
The factor performance modules have been updated on our Index website
DIY Asset Allocation Weights: February 2022
Full exposure to domestic equities. Half exposure to international equities. Full exposure to REITs. Full exposure to commodities. No exposure to intermediate-term bonds.
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.
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.
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 [...]
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 [...]
March for the Fallen is This Weekend
Team, This Saturday (September 25th, 2021) is a time to represent for Gold Star families and to show our gratitude for their sacrifices. ***As noted [...]
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
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