The 2014 Asset Allocation Research Recap
Tactical asset allocation is always a hot topic in the blogosphere. A few fun concepts that hit the wires in 2014:
- GestaltU had an interesting series on Dynamic asset allocation.
- Gary Antonacci released his book on Dual Momentum Investing.
- Meb launched a “free” ETF!
- Barry Ritholtz and Ben Carlson put Tony Robbins in his place.
We had a bunch of thoughts on asset allocation this year and we highlight our top-viewed posts below. There was a lot of discussion earlier in the year revolving around risk parity. We then moved on to reviewing a variety of ideas posed in the academic literature and through our own internal review. Finally, we ended with what we call “Robust Asset Allocation,” which is our imperfect, but robust approach to the asset allocation problem.
- Risk Parity Across Time? A Simulation Education…
- My Morningstar ETF Conference Slides: Beware of Geeks Bearing Formulas
- Risk Parity for Dummies (older post)
Tactical Asset Allocation Offshoots
- Harry Markowitz: An Equal-Weight Investor?
- Diworsification: Trade-off between portfolio size and expected alpha
- Are Uber-Simple Asset Allocation Systems Robust?
- Flexible Asset Allocation: Dethroning Moving Average Rules?
- Tactical Asset Allocation During Cheap Markets
- Interesting Tactical Asset Allocation Tool: Value portfolios
- A Simulation Study on Simple Moving Average Rules
Robust Asset Allocation (RAA)
Note: This site provides NO information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.
Join thousands of other readers and subscribe to our blog.
Please remember that past performance is not an indicator of future results. Please read our full disclosures. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.
Definitions of common statistics used in our analysis are available here (towards the bottom)