So far, we’ve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology.
We know from observing the distribution of performance statistics reported thus far that, while the different risk-adjusted momentum signals produce similar results on average, they deliver peaks and troughs at slightly different times.asset drawdown methods momentum performance results returns risk adjusted sharpe ratio strategy
In our last post, we covered the importance of a well-designed investment universe as a precondition for thoughtful diversification.
For example, if one or two assets happen to have done particularly well over our test horizon (U.S. equities, anyone?asset methods momentum performance portfolio results returns score simulation universe
In 2012 we published a whitepaper entitled “Adaptive Asset Allocation: A Primer” in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study “Relative Strength Strategies for Investing.” Our approach utilized a portfolio optimization overlay to this framework which served to stabilize and strengthen the dynamic mix of high-momentum assets, providing a powerful way to enhance absolute and risk-adjusted returns.
Note that this universe is slightly different than the universe that we explored in whitepaper.allocation asset global holding investment universe momentum returns strategies strategy universe
Benjamin Graham famously stated that “In the short run the market is a voting machine, but in the long run, it is a weighing machine.” It is critical to keep this in mind as we discuss market valuations. In the short term, prices are set largely via reflexive forces related to informational cascades, herding, and positive feedback dynamics – so-called “animal spirits”.CAPE current earnings higher investors long term market pile ratio valuation
On the heels of our IIROC-approved “Masterclass in Global Tactical Asset Allocation,” ReSolve is thrilled to launch our 2017 IIROC/FPSC approved webinar series, “Pioneers in Asset Allocation”. All our courses are free and qualify for IIROC and FPSC continuing education credit.AdvisorAnalyst allocation asset brightest bringing com including meb minds partnership
Risk Parity is having a moment.
For us, the fuse was lit in August 2016 when Bank of America Merrill Lynch released a research note suggesting that Risk Parity investment strategies represented a substantial source of systemic risk in global markets.environments future investment parity past performance point portal portfolio strategy
For the overwhelming majority of investors, portfolios are broadly organized into strategic silos of stocks and bonds, such as the ubiquitous 60/40 balanced portfolio. While some investors make active decisions on their own, many investors delegate their active bets by hiring active stock and bond investment managers via the purchase of funds or Separately Managed Account (SMA) mandates.active asset bet breadth investment manager portfolio skill stock universe
This is the third and final post of a three-part series we’re affectionately calling “How to Get Comfortable with Being Uncomfortable.” The series covers the tremendous headwinds investors in traditional portfolios are likely to over the next decade or more, and the steps required to turn a bad situation into a great opportunity. These steps – set realistic expectations, diversify as much as you can handle, and take advantage of others’ mistakes with factor investing – are designed to help investors through whatever the future holds.bonds effects factor investors market portfolio return stocks strategies traditional
Let’s start off in the obvious place: Mike Philbrick, the poor-man’s Gronkowski, went wire-to-wire in last place. We know because the scoring rules were such that, assuming public betting markets are reasonably good proxies for the true odds of a team winning a particular game, every bracket from the most sophisticated strategies to the purely random should have had the exact same total expected return, and hence an equal chance of victory.betting bracket markets odds outcome racket random team true winning
As we mentioned after the Round 2 update, our scoring rules this year did absolutely nothing to discourage most of you from submitting chalky brackets.
Yes, 39 of our 70 brackets chose 1 seeds, and fully 61 brackets waded no deeper than a 3 seed.championship dancing deep dive picks piece strongly supports teams worth
Many advisors are unsure whether introducing factor-tilt ‘smart beta’ strategies into portfolios will improve client outcomes. This is because factor tilt portfolios may contain much greater than 100% exposure to several risk factors in aggregate.alternative diverse equivalent exposure factor levered portfolio provide tilt volatility
There is a great deal of evidence supporting the existence of alternative sources of excess returns, such as value, momentum and low risk. Factor investing is real; In fact, these factors are observed in virtually every market and asset class around the world.assume factor market premia probability ratio reflects sharpe unit weighted
On the heels of last year’s fun and successful March Madness Bracket Challenge (“WHERE SKILL PREVAILS!”), we are happy to invite any and all to 2017’s version.
Encouraging most people to pick the favored team; and, Maintaining legacy errors in one’s bracket.bracket entrants feel game lines odds pick pool rules team
The buy-and-hold crowd, including many mutual fund companies and a large cross-section of vocal pundits, like to talk about how missing the N best days/months in the market causes a serious impairment to long-term investor returns.
What they fail to mention is that, because stock market volatility clusters during periods of market crisis, the best daily and monthly stock market returns are directly adjacent in time to the worst monthly returns.Data Robert drawdown investors market missing month returns Robert Shiller similar volatility
As happens near the end of every market cycle, investors are abandoning diversification at exactly the wrong time.
We wrote about this at length in our recent report “Cyclical Measures May Signal Swan Song for US Equities.” But while we noted that this is the maximum moment of pain for diversified investors, what we left out was just how strong the siren’s call to US stocks is.biggest chasing dow index main money partnered reason stocks winner
The experience of the past decade has led investors to conclude that international investing is a mug’s game, diversification is dead, and they should throw all their savings into US stocks.
In our newest report “Cyclical Measures May Signal Swan Song for US Equities,” we explore the current characteristics of North American stocks relative to both history and other global markets, to uncover the truth about where we stand in this market cycle.
The entire interview is worth watching, but here are a few lightly edited snippets to get started. For example, a recent Vanguard study showed that about the average Canadian invests 60% of the equity portion of his portfolio in Canadian stocks.advisors Canadian diversified global globally index invest investors market under
Editor’s Note: Advisors and Individual Investors who subscribe to our email list received the full version of ReSolve’s 2016 Year End Review a week ago.
Political shocks have the effect of unsettling investors by confusing their expectations about the future.Canadian diversification equity fair investors market political risks stock turn
Is there anything more humbling than being mocked by your spouse?
Yesterday we received a thoughtful inquiry from a client, whose spouse has been following the so-called “2-Minute Portfolio” publicized by vocal advisor critic Rob Carrick at Canada’s The Globe and Mail newspaper.canada Canadian data investors markets outperformed portfolio stock strategy tested