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...
Stock Market Crashes
“The first rule is not to lose. The second rule is not to forget the first rule.”- Warren BuffettHow many investors remember the stock...
Harvard + Yale II
According to the latest updates from the two largest university endowments, Harvard and Yale, the percentages they allocate to various asset classes are located...
Harvard and Yale Endowments
Harvard University sits atop the academic world with a staggering $25.9 billion endowment fund, nearly twice the size of the next biggest endowment at...
Evidence of the benefits of diversification
Modern portfolio theory. Lets look at the risk and return figures for 3 asset allocations since 1972.
1. 100% S&P 500
2. 60% S&P500 & 40%...
Sample Portfolios Beginning 12/31/2006
These portfolios by no means attempt to find the ideal asset allocation for everyone. Depending on your financial situation, the weightings of the assets...
