Drawbacks of Simple Momentum
As a number of readers have pointed out, there are various drawbacks to the method/test I have presented here. The big ones are:1. Fixed...
Does 1MO Work on Foreign Indices?
I take a look at the top 5 countries in the MSCI EAFE Index - UK, Japan, France, Switzerland, Germany, and Cash.Much better return...
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...
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...
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...
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...
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...
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...
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...
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...
