Economic Fundamentals Suggest Higher Yield

I really look forward to Minerd’s purple charts of the week in their Macro View.  Today’s: “Historically, the real yield on 10-year Treasuries has closely tracked the University of Michigan Consumer Sentiment Index. The correlation broke down, however, in 4Q2011, as a result of the Federal Reserve’s asset purchase program. The yield on 10-year Treasuries…

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QTAA Paper Update: Alt Cash Strategies 9/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   EXTENSION 2 – ALTERNATIVE CASH MANAGEMENT STRATEGIES   On average the tactical portfolio is invested in 30% cash.  This is a drag…

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QTAA Paper Update: Extensions 8/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   EXTENSIONS Other than simplicity, there is no reason to only focus on five asset classes.  (Technically, we believe there are only four…

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Floaters

A lot of people are moving into cash “substitutes” to increase their yield, likely with unintended consequences.  Below is a nice piece from Vanguard on floating rate bonds:  

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QTAA Paper Update: Vol Clusters 7/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   WHY IT WORKS – VOLATILITY CLUSTERING One of the benefits of a quantitative system is that it protects the investor from innate…

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QTAA Update: In Practice 6/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   PRACTICAL CONSIDERATIONS AND TAXES There are a few practical considerations an investor must analyze before implementing these models for real-world applicability –…

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QTAA Update: Global Tactical 5/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   STEP 3 – GLOBAL TACTICAL ASSET ALLOCATION   Given the ability of this very simplistic market-timing rule to add value to various…

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QTAA Paper Update: Manage Your Risk 4/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   —-  STEP 2 – MANAGE YOUR RISK There are a few criteria that are necessary for a model to be simple enough…

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QTAA Paper Update: Go Global 3/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   —-  Modern portfolio theory holds that there is a tradeoff for investing in assets – you get paid to assume risk.  Figure…

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Mutual Fund vs ETF Fees

The granddaddy of mutual fund vs. ETF fees, active and passive (courtesy of Morgan Stanley’s very excellent ETF Quarterly):

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