In this paper we update our 2006 white paper “A Quantitative Approach to Tactical Asset
Allocation” with new data from the 2008-2012 period. How well did the purpose of the …

50 Stock Portfolio 100 Stock Portfolio 150 Stock Portfolio 200 Stock Portfolio 250 Stock
Portfolio 300 Stock Portfolio 500 Stock Universe 1 month hold 17.0% 14.4% 13.6% 12.7 …

We examine applying a trend following methodology to global asset allocation between
equities, bonds, commodities and real estate. This strategy offers substantial improvement in …

We investigate the performance of momentum and timing approaches for investing across
32 international equity markets, adding to a growing body of literature including Siegel …

This paper uses the insight that the sectors composing the economy perform differently and
(to a certain extent) independently one another over the phases of the economic cycle to …

Given investors myopic loss aversion, this study examines whether investors need to
rebalance their stocks and bonds asset allocations. This paper presents the results of …

A do-it-yourself guide to investing like the renowned Harvard and Yale endowments. The Ivy
Portfolio shows step-by-step how to track and mimic the investment strategies of the highly …

This study focuses on the issue of long-run and short-run relationships between sector-
specific indices of Bursa Malaysia and macroeconomic variables. The traditional variable …

This article presents a new way of modeling the dynamics of an exchange rate target zone.
In the presence of a single upper (lower) target boundary, the exchange rate is precisely …

We investigate the relationship between size and momentum across a wide range of
international equity markets. A distinction is made between relative momentum where assets …