Out of curiosity, what is benchmark return for each active trader/investor ...
Using a newly constructed unique dataset, this study is the first to document returns of the market portfolio for a long period and with a high level of detail. We analyze nominal, real, and excess return and risk characteristics of this global multi-asset market portfolio and the asset categories over the period 1960 to 2015.asset financial global GMP investor market portfolio performance portfolio returns study
The rise of passive investing, which its advocates prefer to call low-cost investing , is the most dominant trend in the markets during the past decade.
Today, we shall apply Charlie Munger’s aphorism of “invert, always invert” to the active-versus-passive management debate.active beat COST investing investors management market passive portfolio stock
It’s hard to believe but it’s now been 10 years since the first rumblings began prior to the Great Financial Crisis. This is hard to do when you see your friends making money on an individual stock or fund as the fear of missing out (FOMO) can be difficult to avoid.crisis financial goals hard investment investors market plan portfolio quant
Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. The key takeaway from the paper is similar to the prior paper discussed — time series momentum strategies provide a unique diversification opportunity.asset crises financial market performance portfolio returns series momentum time series trend following
There were newspapers and articles on the web and magazines. And the vast majority of what you’d read from day to day was stock picks, economic forecasts, “8 Mutual Funds To Stuff Your Stockings With This Christmas”, market timing calls and then more stock picks.behavior book Jason manager market picks portfolio stock stuff Zweig
This article is part of a regular series of thought leadership pieces from some of the more influential ETF strategists in the money management industry. Today's article is by John Davi, founder and chief investment officer of Astoria Portfolio Advisors in New York City.biggest dollar emerging equities etf global ideas market portfolio year
In 2011 Scott’s Investments began tracking a momentum portfolio which ranks a basket of ETFs based on price momentum and volatility. In 2014 I also introduced a pure momentum system, which ranked the same basket of ETFs based solely on price momentum.conservative etfs momentum portfolio pure ranked system turnover volatility weighted
A new firm believes it has the solution to the nontransparent actively managed ETF conundrum.
Today marks the departure of 50 iShares ETFs from the NYSE Arca exchange and their relocation to new homes on the Bats and Nasdaq exchanges.actively managed etf exact exchange filing fund nontransparent portfolio stock Tractor
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets.
The Ivy Portfolio spreadsheet on Scott’s Investments tracks both the 5 and 10 ETF Portfolios listed in Faber’s book.closing commission free etf Ivy listed moving portfolio signal spreadsheet update
This post is a token of appreciation for Faisal Habib who taught us structured products this summer.
There are a lot of ways to play with this so I’ll post the source code here for anyone who’s interested in trying it out (or let me know if I made any mistakes).continuous leveraged model portfolio post product replication results simulated underlying
A few years ago my friend and co-author of the research paper Quantitative Value Investing in Europe: What Works for Achieving Alpha helped a small unknown fund in Spain develop an investment process based on all the best ideas we have found through our research and testing.
In the following years I analysed stocks and, with its methodology, beat the market more than 8% p.a.behavior companies fund idea investing investment market portfolio quantitative investing stock
Of course I see all the usual suspects like annuities, mutual funds with loads, 12B-1 fees, etc. When a client looks at their statement and sees all of the different holdings, they likely assume they were strategically chosen based on the extensive experience of the advisor and/or advisor’s firm.active advisor fee financial firm fund index manager market portfolio
This is a test of the “Vigilant Asset Allocation” (VAA) strategy from the recently published paper: Breadth Momentum and Vigilant Asset Allocation, by Dr. Wouter Keller and JW Keuning.
Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.agg allocation asset defensive momentum offensive portfolio score strategy trading
Designing and managing asset allocation strategies based on factors is promoted in some corners as a better way to build portfolios. Meantime, the S&P has enjoyed an unusually strong performance run in recent years, which suggests that recent history isn’t a reliable guide for managing expectations for a buy-and-hold portfolio for US stocks.asset based etfs factor fund market portfolio results standard strategies