Important Reads

These are the papers that played a role in the development of the active asset allocation strategy

Here is the paper that later became a book:

Here is one about the risk of strategic asset allocation and buy and hold:

Here is one which finds greater benefits with a diversified all index fund portfolio:

This paper illustrates the benefit of using a 10-month simple moving average:

This paper lays to rest the idea of time in the market (vs. market timing):

This paper illustrates the benefits of avoiding large losses:

The authors conclude “financial advisors shouldn’t expect, nor communicate to clients an expectation of, market-beating results via manager selection.”

This paper concludes “manager selection fails to produce positive excess returns, on average” and “trend-chasing behavior leads to poor buy and sell decisions.”

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Quantitative Active Asset Allocation Insights & Strategy