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Dow 20,000: Is 2015 The Year?
- Jeremy Siegel suspects the Dow might hit 20,000 in 2015.
- There is a (unconditional) 38.6% chance that the Dow closes out 2015 above 20,000.
- Find out the probability that the Dow will close above 20,000 any day during the year in the analysis below.
Benchmarking Tactical Alpha Part II: Examples And Analysis
- Global Tactical Asset Allocation funds are a mixed bag in terms of performance and relationship to the Global Market Portfolio, but some products stand out.
- Risk Parity products have benefited from the race to the bottom in rates, but are vulnerable to an eventual reversal of fortune.
- Significant positive Alpha relative to the Global Market Portfolio indicates that a fund's returns are less dependent on strong performance from the GMP, and that they may endure during downturns.
Benchmarking Global Tactical Asset Allocation
- Asset allocation is the primary driver of portfolio performance.
- Active approaches to asset allocation are poorly understood, especially in terms of benchmarking.
- Active global asset allocations require a true global passive benchmark. We propose the Global Market Portfolio and discuss how to evaluate performance relative to this benchmark.
Factors: An Essential Part Of Every Nutritious Portfolio
Nov. 12, 2014 • Comment!
- Asset labels are a red herring: seek out the underlying factors.
- Fundamental based factor investing is hard, and isn't very predictive ex post.
- Consider quantitative methods of identifying and diversifying across factors.
Forget Active Vs. Passive: It's All About Factors
Editors' Pick • Oct. 4, 2014 • 33 Comments
- A purely passive investment approach is inappropriate for most investors because of competing objectives related to taxes, time horizon, currency risk, home market bias, and a host of other qualities.
- Active investing isn't a solution, it's the problem. Traditional forms of active investing, in stock-picking mutual funds and SMAs, have failed most investors.
- Factor investing within and across asset classes combines the best of passive investing (systematic, rules based) with the ambitions of active management (outperformance and excess returns).
A Global Passive Benchmark With ETFs And Factor Tilts
- “…there is no evidence that even the best performing mutual fund managers can beat the benchmark when allowance is made for the costs of fund management.” - Blake, 2014.
- The only passive portfolio is the global market portfolio, which represents the aggregation of all active bets in all markets.
- A Global Market Portfolio with factor tilts might be the ultimate policy portfolio.
Valuation-Based U.S. Equity Market Forecasts: Q2 2014
- Markets are fairly valued for record low interest rates, but also priced for extremely low returns over the next decade or more.
- Metrics based on income statement, balance sheet, market capitalization to GNP and trend measures are all pointing the same way.
- A low return future doesn't necessarily mean a crash is imminent, but investors should budget to save more, spend less, or seek out alternative sources of returns.
The Evolution Of Optimal Lookback Horizon
Mar. 28, 2014 • 5 Comments
- Investment system design is deceptively complex.
- This is due to the fact that even single system rules can be designed in multiple ways.
- In this article, we examine one example rule: momentum.
NFL Parity, Sample Size And Manager Selection
Feb. 25, 2014 • Comment!
- Faber's Ivy Portfolio: As Simple As Possible, But No Simpler
One Factor To Rule Them All
Dec. 10, 2013 • 8 Comments
BOE Paper Signals Worrisome Outlook For Equities Post QE
Nov. 21, 2013 • 1 Comment
- Robust Risk Parity: Dynamic Asset Allocation For Practitioners Part V
- Naive Risk Parity For Global Asset Allocation
- Structural Diversification For All Seasons
- Global Tactical Asset Rotation: What's Working?
Planning For Adverse Scenarios: Savings Edition
Editors' Pick • Sep. 17, 2013 • 3 Comments
- Valuation Based Equity Market Forecasts: Q2 2013 Update
Dynamic Asset Allocation For Practitioners Part 3: Momentum Weighting
Editors' Pick • Aug. 12, 2013 • 4 Comments
- Dynamic Asset Allocation For Practitioners Part 2: Risk Adjusted Momentum
- Dynamic Asset Allocation For Practitioners
Triumph Of The Ostriches
May. 29, 2013 • 6 Comments
- What The Bull Giveth, The Bear Taketh Away
- Valuations Support 1% Or Less For U.S. Stocks Over Next 20 Years
Tactical Alpha: A Case For Active Asset Allocation Vs. Security Selection
Editors' Pick • Dec. 4, 2012 • 6 Comments