Asset_Allocation


 

The projected risk premium for the Global Market Index (GMI) edged higher again in July. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market premia premium term year

 

The expected risk premium for the Global Market Index (GMI) continued to rise in June. The basic idea is to reverse engineer expected return based on assumptions about risk.

asset allocation current estimate forecast gmi market performance premia premium term

 

The projected risk premium for the Global Market Index (GMI) ticked higher in May. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market performance premia premium term

 

Risk management is an overarching objective of tactical asset allocation strategies.

The first image is taken from John Lewis’ white paper Tactical Asset Allocation Using Relative Strength.

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I had a financial advisor reach out to me recently with some questions about implementing some changes to his firm’s asset allocation models. It served as a good reminder about the importance of asset allocation in the investment process.

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I recently saw a presentation by Nadia Papagiannis, CFA, of Goldman Sachs Asset Management that provided some important insights into the landscape for asset allocation. Consider the table below, which shows the performance of a number of asset classes (Commodities, Emerging Market Debt, U.S. Bonds, High Yield, U.S. Real Estate, International Real Estate, Bank Loans, Hedge Funds, Emerging Market Equities, International Equities, International Small Cap, U.S Small Cap) to the performance of U.S. Large Cap Equities.

asset asset allocation cap classes clients equities investment market performance tactical

 

Equal weighting has an encouraging record as a design choice for earning a moderately higher premium in the stock market compared with the conventional weighting system of holding shares in proportion to their market-capitalization weight. A leading real-world example: the Guggenheim S&P 500 Equal Weight ETF (RSP) has earned a 7.9% annualized total return for the past 10 years through Oct. 10.

analysis asset allocation cap design equal ew fund market results weighting

 

The Global Market Index’s expected risk premium ticked higher in September, rising to a 17-month high. GMI—an unmanaged market-value weighted mix of the major asset classes—is expected to earn an annualized 3.9% risk premium over the long term, moderately above last month’s estimate.

asset allocation current estimate estimates forecast gmi market month moving performance premia premia estimates premium projections

 

Alternate Trading Days: An Important Analytical Tool [0.11]

Posted on Sept. 26, 2016, 4:02 p.m. by AllocateSmartly @ [source]

Many of the tactical asset allocation strategies that we track are designed to only trade at the end of the month. When tracking these strategies for members however, we show the results of trading on other days of the month as well.

asset allocation exploiting keller month moving performance results scaled shown strategies strategy trading

 

Book Review: Adaptive Asset Allocation [0.10]

Posted on Feb. 29, 2016, 5:34 p.m. by CSSA @ [source]

I recently read “Adaptive Asset Allocation” ( link to the book) by Butler, Philbrick and Gordillo of ReSolve Asset Management. The book is the culmination of research developed over the years by the ReSolve team towards the next generation approach of dynamic asset allocation.

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