Browsing All Posts filed under »strategy«

Review: TIAA Real Estate Account

July 30, 2014 by

0

If you have an account with TIAA-CREF (many university and college employees do) you probably have access to the TIAA Real Estate Account (TRE*).  If you’re interested in a real estate investment, TRE is a powerful option. *Note: TRE is just my own personal abbreviation, it is not a ticker symbol.

Market Metrics: Are We In a Bubble?

May 11, 2014 by

6

A look at some of the important quantitative metrics that influence the stock market.

Interest Rate Risk: The Fed and the Market

May 9, 2014 by

3

Over the last 18 months we’ve seen that when the Fed hints at a change in Quantitative Easing or interest rates, the markets get jittery. We take a look at how a Fed-induced market correction might unfold. keywords: asset allocation, diversified portfolio, stocks bonds

Forecasting Stock Market Strength Using Federal Reserve Data

May 9, 2014 by

4

It is clear, in hindsight, that investors would have done better in 2008 if they had known to move from stocks to fixed income at the beginning of 2008. And similarly, if we could anticipate future bull markets we’d like to be able to shift assets into equities beforehand. Is it possible to anticipate these […]

What is “Slippage?”

January 20, 2014 by

3

Most back testing frameworks model slippage. It is worth knowing what it is.

Asymmetric Beta: A Clue to Low Volatility Outperformance

January 8, 2014 by

2

Low volatility stocks and ETFs seem to perform better than they ought to.  In recent years they have provided similar returns to the overall market, but with lower risk. This phenomenon is referred to as “the low volatility anomaly.”  We take a statistical look at the question to see if we can find clues to […]

Bond/Stock Correlation: A Quantitative Headwind for Asset Allocation Strategies

November 11, 2013 by

2

Up until a few months ago I was trading an asset allocation strategy that invested significantly in bonds and large cap US stocks.  I exited that strategy because the correlation between bond and stock returns concerned me.  Here’s a detailed analysis. keywords: asset allocation, diversified portfolio, stocks bonds

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