Methods Citations. Results Citations. Citation Type. Has PDF. Publication Type. More Filters. In this article, the author revisits his seminal paper on tactical asset allocation published over 10 years ago in The Journal of Wealth Management.
How well has this market strategy—a simple … Expand. The purpose of … Expand. A simple market timing algorithm is examined that switches from an exchange traded fund representing U. Since the financial crisis of and the recent end of pull back, investors are searching for less risky investments. Highly Influenced. View 12 excerpts, cites background and methods.
Journal of Financial and Quantitative Analysis. Abstract In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that … Expand. Market Timing with Moving Averages. I present evidence that a moving average MA trading strategy has a greater average return and skewness as well as a lower variance compared to buying and holding the underlying asset using monthly … Expand.
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and … Expand. View 1 excerpt, cites methods. Regime-based tactical allocation for equity factors and balanced portfolios.
The Journal of Wealth Management. This article examines the risk-adjusted returns from a commonly used technical trading strategy. Generalized Momentum Asset Allocation Model. View 1 excerpt, cites background.
The Mt. Lucas index provides a systematic approach for capturing a portion of the return of trend-following commodity traders. In this article the authors analyze the Mt. Lucas Index across different … Expand.
Passive Momentum Asset Allocation. The article introduces Passive Momentum Asset Allocation as an innovative approach to investment policy. Citation Type. Has PDF. Publication Type. More Filters. Smart beta portfolios typically achieve a superior diversification than the benchmark market capitalization-weighted portfolio, but remain vulnerable to broad market downturns.
We examine tactical … Expand. Highly Influenced. View 11 excerpts, cites background, results and methods. In this article, we explore the small-firm effect using MSCI style indexes for both developed and emerging markets for the period since and show how overlaying relative momentum and trend … Expand.
View 2 excerpts, cites methods and background. The trend is our friend: Risk parity, momentum and trend following in global asset allocation. We examine applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. This strategy offers substantial improvement in risk-adjusted … Expand. View 11 excerpts, cites methods and background. We examine the consequences of alternative popular investment strategies for the decumulation of funds invested for retirement through a defined contribution pension scheme.
We examine in detail the … Expand. View 4 excerpts, cites methods and background. View 1 excerpt, cites methods. Optimal Trend Following Trading Rules. Mathematics, Computer Science. View 1 excerpt, cites background. For the first time ever, we assume that the excess returns … Expand. Using leverage to magnify performance is an idea that has enticed investors and traders throughout history.
The critical question of when to employ leverage and when to reduce risk, though, is not … Expand. Reducing sequence risk using trend following investment strategies and the CAPE. Sequence risk is a poorly understood, but crucial aspect of the risk faced by many investors.
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