linkedin-with-circle twitter-with-circle rss search

Volatility Gremlins

Readers have been emailing me about the returns of the models I have presented in the last few posts. Rather than respond to all of them individually, I thought I would just post the year by year returns for the S&P500, the 1-Year MO model,…

Read More →

More Momentum

What about a strategy that is a bit more active? In this follow up to “Simple Cross-Market Momentum”, I take a look at a shorter time-frame – 1 month momentum. The strategy selects the market for the following month with the highest absolute return the…

Read More →

Great Website

Fundadvice.com has a plethora of articles on buy-and-hold investing, as well as market timing. A couple of my favorites: Buy and Hold ArticlesThe Ultimate Buy and Hold PortfolioThe Perfect Portfolio Market Timing ArticlesAll About Market TimingMarket Timing: The Rest of the StoryDo You Have What…

Read More →

Simple Cross-Market Momentum

Below I will present a simple quantitative method that exploits momentum in relative returns across a wide set of asset classes. The strategy is examined since 1972 in an allocation framework utilizing a combination of diverse and publicly traded asset class indices including US Stocks…

Read More →

Goldman Primer

In the Goldman Sachs GTAA primer linked below, they describe some empirical evidence of GTAA using valuation and momentum factors. They form equal weighted portfolios withing each asset class (equities, fixed income, and currencies) based on 1 – Valuation based on Price to Book (P/B)…

Read More →

Historical Evidence

Essentially, GTAA is market timing. Historical evidence has provided a mixed bag of evidence of the ability of market timers. One of the best literature reviews of the subject is “Evaluating a stock market timing strategy: the case of RTE Asset Managment” by Tezel and…

Read More →

Global Tactical Asset Allocation

The focus on the blog thus far has been a passive buy and hold approach to investing – esentially, how you divy up your pie into slices of world asset classes. However, an active approach to asset allocation may offer some value. Tactical Asset Allocation…

Read More →

Speaking of Crahses

The Nasdaq Composite since 1972 has had two declines over – 50% (- 58% from 1972-1974, – 75% from 2000-2002). The chart doesn’t look so bad because it is logarithmic. . . What about the other major asset classes? Below is a table of 5…

Read More →

Web Statistics