The US dollar has had a rough ride so far in 2017. The Federal Reserve’s Trade Weighted US Dollar Index that tracks the major currencies has tumbled roughly 8% year to date through last week’s close.

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Patrick Houweling and Jeroen van Zundert Publication : Financial Analysts Journal, Vol.

What are the research questions?

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Historical Returns of the Market Portfolio [0.11]

Posted on Aug. 14, 2017, 12:15 a.m. by Quantpedia.com blog @ [source]

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.

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What if You Actually Wanted to Go Active? [0.04]

Posted on Aug. 11, 2017, 6 p.m. by The Big Picture @ [source]

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.

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The Biggest Common Investment Errors [0.04]

Posted on Aug. 10, 2017, 8:42 p.m. by A Wealth of Common Sense @ [source]

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.

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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.

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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.

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Dividend Champion Portfolio August Update [0.05]

Posted on Aug. 10, 2017, 3:01 a.m. by SCOTT'S INVESTMENTS @ [source]

The High Yield Dividend Champion Portfolio is a publicly tracked stock portfolio on Scott’s Investments. Its goal is to capture quality high yield stocks with a history of raising dividends.

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The 10-year period began January 1, 2008, which means we are in the final year of the challenge. While we don't know the funds selected by Protégé, we do have a nine-year performance update — and it's not pretty.

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Emerging Market ETFs Defy Consensus [0.20]

Posted on Aug. 8, 2017, 2 p.m. by HOME @ [source]

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.

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The First 28 Days [-0.01]

Posted on Aug. 3, 2017, 11:59 a.m. by The Irrelevant Investor @ [source]

There was a lot of attention given to the first 28 days of 2016. It only takes one really big mistake, in this case selling in February 2016, to leave a permanent stain on your psyche.

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Momentum Portfolio August Update [0.10]

Posted on Aug. 3, 2017, 2:52 a.m. by SCOTT'S INVESTMENTS @ [source]

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.

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ETF Filing: New Firm Plans ‘Shielded Alpha’ Funds [0.06]

Posted on Aug. 2, 2017, 7:15 p.m. by HOME @ [source]

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.

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Ivy Portfolio August Update [0.07]

Posted on Aug. 1, 2017, 3:17 a.m. by SCOTT'S INVESTMENTS @ [source]

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.

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Leveraged ETF – A Simulation [0.21]

Posted on July 31, 2017, 7:53 p.m. by Alphaism @ [source]

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).

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5 star quant fund manager shares secret to his success [0.14]

Posted on July 31, 2017, 9:36 a.m. by Blog @ [source]

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.

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'CLTL' On Inflows List [0.15]

Posted on July 31, 2017, 4 a.m. by HOME @ [source]

The PowerShares Treasury Collateral Portfolio had inflows of $80 million on Friday, July 28.

Net Flows ($, mm) AUM ($, mm) % of AUM U.S. Equity -463.07 1,700,970.27 -0.03% International Equity 370.86 700,138.95 0.05% U.S.

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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.

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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.

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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.

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