Four recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Bond ETFs in an Era of Rising Rates (Better Buy & Hold) This is our first post from our new platform BetterBuyAndHold.com. Bonds face stiff headwinds in the coming years, and many will underperform what investors have grown accustomed to. That’s […]
Various Miscellany
New from Our Team: BetterBuyAndHold.com
We’re happy to announce the launch of a new service from our team: BetterBuyAndHold.com We recognize that even TAA investors often need a stable, static allocation to form the core of their portfolio. Our new service is dedicated to building better, more realistic buy and hold allocations. We do that using two key statistical techniques: […]
Asset Allocation Roundup
Five recent asset allocation articles (tactical or otherwise) that you might have missed: 1. ETF Bond Rotation (Alvarez Quant Trading) Cesar looks at various flavors of a simple momentum-based bond rotation strategy. Using momentum to time bond asset classes has not worked as well as it has with other assets. Unlike most asset classes, very […]
Asset Allocation Roundup
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Right Now It’s KDA…Asset Allocation (QuantStrat TradeR) Here Ilya shares a TAA strategy that combines elements of two popular strategies that we track: Keller & Keuning’s Defensive Asset Allocation and ReSolve’s Adaptive Asset Allocation. Expect to see a test of Ilya’s […]
Asset Allocation Roundup
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Fragility Case Study: Dual Momentum GEM (Newfound) + Response from Gary Antonacci Corey’s post kicked off quite a lively discussion. I encourage you to click through to both pieces, but here’s the argument in a nutshell. Note: Corey is using Antonacci’s […]
Reminder: Big Up Days Occur With More Frequency in Bear Markets
We can’t say with certainty where the market goes from here – whether the market will turn around in January or continue into bear territory – and neither can anyone else. What we can say for certain however is that big up days like we saw today (SPY +3.35%) are not an indicator that this […]
Asset Allocation Roundup
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Trend Following on Steroids (Wouter Keller via Alpha Architect) Wouter Keller details his latest tactical model: “Defensive Asset Allocation”. We track a number of strategies from Dr. Keller and his partner-in-quant JW Keuning (including this one). It’s worth noting that their […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: When Simplicity Met Fragility (Newfound Research) Yes, yes, yes. A must read. “Research suggests that simple heuristics are often far more robust than more complicated, theoretically optimal solutions. Taken too far, we believe simplicity can actually introduce significant fragility into an investment process.” […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: Market Timing the Credit Cycle (EconomPic) Jake looks at forward returns based on the width and direction of the credit “quality spread” (high yield minus investment grade OAS). Below we’ve reproduce Jake’s results and added an equity curve showing SPY returns in the […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: We Are All FX Traders Now (Alpha Scientist) Because international ETFs trading in the US (ex. EFA or EEM) are denominated in USD, most are affected not just by changes in the underlying assets, but also by changes in the exchange rate between […]