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GestaltU

 
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  • Dow 20,000: Is 2015 The Year?
    Thu, Jan. 8 DIA 5 Comments

    Summary

    • 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
    Editors' Pick • Dec. 16, 2014 VBAIX, SPY, SMIDX 5 Comments

    Summary

    • 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
    Editors' Pick • Dec. 12, 2014 TIP, ITIP, ACWI 4 Comments

    Summary

    • 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!

    Summary

    • 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

    Summary

    • 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
    Aug. 31, 2014 ACWI, BNDX, EELV 13 Comments

    Summary

    • “…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
    Jul. 15, 2014 SPY, IVV, DIA 1 Comment

    Summary

    • 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

    Summary

    • 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
    Feb. 15, 2014 EEM, EWJ, GLD 19 Comments
  • 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
    Editors' Pick • Nov. 8, 2013 ACWI, DBC, ECH 4 Comments
  • Naive Risk Parity For Global Asset Allocation
    Oct. 15, 2013 EEM, ICF, IEF 1 Comment
  • Structural Diversification For All Seasons
    Oct. 3, 2013 DBC, EEM, EMB 2 Comments
  • Global Tactical Asset Rotation: What's Working?
    Sep. 17, 2013 DBC, EEM, EWJ 1 Comment
  • Planning For Adverse Scenarios: Savings Edition
    Editors' Pick • Sep. 17, 2013 3 Comments
  • Valuation Based Equity Market Forecasts: Q2 2013 Update
    Aug. 26, 2013 SPY, DIA 1 Comment
  • 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
    Editors' Pick • Jun. 21, 2013 DBC, GLD, VTI 6 Comments
  • Dynamic Asset Allocation For Practitioners
    Editors' Pick • Jun. 3, 2013 DBC, GLD, VTI 8 Comments
  • Triumph Of The Ostriches
    May. 29, 2013 6 Comments
  • What The Bull Giveth, The Bear Taketh Away
    Apr. 16, 2013 SPY 3 Comments
  • Valuations Support 1% Or Less For U.S. Stocks Over Next 20 Years
    Editors' Pick • Apr. 16, 2013 SPY 39 Comments
  • Tactical Alpha: A Case For Active Asset Allocation Vs. Security Selection
    Editors' Pick • Dec. 4, 2012 6 Comments