Dynamic Asset Allocation for Practitioners Part 1: Universe Selection
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.”
Weighing the Week Ahead: Have You “Missed” the Rally?
There was something of a change in tone last week. There is more recognition of improving conditions. With a tailwind from improving earnings.
Emerging Markets Second-Quarter 2017 Recap: The Streak Continues
Here, I share the team’s overview of what happened in the emerging-markets universe in the second quarter of 2017, including some key events, milestones and data points to offer some perspective.
Calm beach. Inclement markets.
It never fails that when you decide to slip out of the office for a break, the markets will act up. Last week was not an exception to the rule as investor anxiousness continued to cause activity on trading desks. Rising global yields continued to stress risk parity funds and leveraged hedge funds who were positioned for lower interest rates.
Weighing the Week Ahead: A Seinfeld Market?
It is a Seinfeld market. The story is about nothing, but must be described along the way. With nothing better to discuss, people will be asking what should we expect for the rest of 2017.
Factor Investing - a Time to Tilt
In my many conversations with investors and industry peers about factor investing, one topic seems to always come up: factor investing timing. I’ve had recent discussions on this topic with a central bank whose managers need to think about preserving capital and with a more nimble RIA team which explicitly wants to use timing to pursue incremental returns.
Value in Hard Work
As growth/momentum begins to wilt under the weight of ever increasing expectations, value should once again attract investor attention.
Market Cap to GDP: An Updated Look at the Buffett Valuation Indicator
With the latest monthly close, the GDP Q1 Third Estimate data and the latest GNP data, we now have an updated look at the popular "Buffett Indicator" -- the ratio of corporate equities to GDP. The current reading is 128.9%, up from 123.7% the previous quarter.
Weighing the Week Ahead: How Strong is the Labor Market?
A holiday-interrupted week is loaded with important economic data. Since many market participants will skip Monday to stretch their weekend, the action will focus on Friday’s employment situation report.
Three Reasons to Consider Bank Stocks
Valuations and regulations are among the trends that we’re watching in this industry.
How Strong is the Labor Market?
A holiday-interrupted week is loaded with important economic data. Since many market participants will skip Monday to stretch their weekend, the action will focus on Friday’s employment situation report. People will be asking: Just how strong is the labor market?
Moving Averages: June Month-End Update
Valid until the market close on July 31, 2017.
The S&P 500 closed June with a monthly gain of 0.48% after a gain of 1.16% in May. All three S&P 500 MAs are signaling "invested" and four of the five Ivy Portfolio ETFs — Vanguard Total Stock Market ETF (VTI), Vanguard FTSE All-World ex-US ETF (VEU), iShares Barclays 7-10 Year Treasury (IEF), and Vanguard REIT Index ETF (VNQ) — are signaling "invested".
China: Building Roads to the Future
China is forging new global connections and expanding trade and market access in many ways. The country does seem to be opening its capital markets and working to become more transparent. We have seen the success of stock linkages between mainland China and Hong Kong, and recently, a new bond market connection has been announced.
Weighing the Week Ahead: Is the Housing Rally Over?
With soft housing data last week and higher interest rates expected, it is a good time to ask: Is the housing rally over?
What Do We Know about Investor Irrationality?
It has become conventional wisdom that underperformance is due to the irrational investment behavior of individuals. For the creation and propagation of this conventional wisdom, we have DALBAR to thank. Now that Wade Pfau has shown that DALBAR’s research is likely to be worthless because it calculates its numbers wrong, it is time to question whether the conventional wisdom has even a scintilla of meaning.