DIY Asset Allocation Weights: May 2018
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 [...]
DIY Asset Allocation Weights: April 2018
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 [...]
Democratize Quant 2018 Recap and Educational Materials
This past week we had the honor of hosting the first annual "Democratize Quant Conference" with our friends at Villanova University (a link to the [...]
Book Review — Market Timing with Moving Averages
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 [...]
Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)
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 [...]
Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)
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 [...]
Trend-Following: Testing the Profitability of Trading Rules (Part 6)
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. [...]
Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)
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 [...]
Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)
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 [...]
TREND-FOLLOWING WITH VALERIY ZAKAMULIN: TECHNICAL TRADING RULES (PART 3)
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, [...]
Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)
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)
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
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 [...]
Visualizing IRA Rules Using Flowcharts
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 [...]
Visual Active Share: A Tool to Help Investors Make Better Decisions
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 [...]
DIY Asset Allocation Weights: March 2017
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 [...]
Active Versus Passive Investing: Can we End the Confusion?
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 [...]
Our Introduction to Alpha Architect Video
The video maps out our mission, our core beliefs, and explains what we are trying to accomplish in the asset management business.
DIY Asset Allocation Weights: February 2017
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 [...]
Are you Ready to Witness Finance Research on Steroids?
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, [...]