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 …
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GTAA Delivers Solid Returns at Lower Risk. Period. Just the Facts, Part 4
Now that we have specified the most appropriate benchmark, we can get down to the business of evaluating how well GTAA strategies have performed. How should we judge success? We submit that for GTAA strategies in particular we should judge results on …
Keep ReadingGTAA – Why VBINX is the Wrong Benchmark? Just the Facts, Part 3
One of the most common failings of the investment industry is the prevalence of poorly specified benchmarks. This is of critical importance because it’s easy for a knowledgable but disingenuous professional to manipulate the facts in order to…
Keep ReadingGlobal Tactical Asset Allocation Is More Than Just Market Timing – Just the Facts, Part 2
In Part 1 of this series we explored why quality TAA strategies do not rely on ‘expert’ market calls, noting that the terms ‘discretionary’ and ‘tactical’ ought not to be viewed as two sides of the same coin. Rather, the best tactical managers increasingly …
Keep ReadingGlobal Tactical Asset Allocation: Just the Facts, Part 1
We recently came across a couple of articles making the sensational claim that TAA is nothing more than a repackaged and dressed-up version of market timing. Both articles – and others, we’ve subsequently learned – point to a …
Keep ReadingA Century of Evidence for Mean-Variance Optimization: Can We Finally Declare Victory?
There’s really no nice way to say this, so we’ll just be plain: If mean-variance optimization (MVO) isn’t working for you, there’s a very good chance you’re doing it wrong. After all, we’ve been applying MVO with momentum-based estimates to manage live portfolios …
Keep ReadingOn the Dangers of Conflating Experience and Expertise
Ben Carlson at A Wealth of Common Sense published an article about how many investors conflate experience and expertise in markets. This is one of the most misunderstood aspects of the investment business, and costs investors billions each year.
Keep ReadingBernanke & Citadel, Politicians & Priests
There’s been much made of the recent move by Ben Bernanke accepting a position – less than a year after leaving his position as Chairman of the Fed – with hedge fund Citadel.
Keep ReadingSNB, CHF and Our Colleague…
The Swiss Franc (CHF) was the talk of the financial world last week. We feel compelled to write something about it, but our response will be measured because we know someone directly affected by the situation. You see, we have this colleague…
Keep ReadingThe Ever-Depressing SPIVA: 2014 Mid-Year
The Mid-year S&P Dow Jones Indices SPIVA Canada Scorecard is out, and it’s everything that we’ve come to expect from the discretionary stock-picking world. But this time was unique even by our standards in that, for the first time in memory, not a single Canadian Dividend & Income equity fund outperformed it’s benchmark over the last 5 years.
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