The 10 top research papers for asset allocators
How should tactical asset allocation decisions be determined? Should they be based on an assessment of market fundamentals? Should decisions be driven by a quant or rule-based strategy, or should they be a blend of the two?
Many academic papers champion momentum strategies for asset allocation, arguing that such strategies would have added significant value to portfolio returns over the long-term. Here we list some of the best and most popular papers on Savvy Investor, which examine the use of price momentum to aid market timing.
Trend Following: Equity and Bond Crisis Alpha (Man AHL, 2016)
The authors of this paper study time-series momentum strategies in bonds, currencies, commodities, and equity indices during the period 1960-2015. Their research reveals that there was consistent performance both before and after 1985 - periods that were marked by strong bull and bear markets in bonds. The authors also record a number of important risk factors.
The Trend is Our Friend: Risk Parity and Momentum in Asset Allocation (2014)
The authors of this paper examine the effects of trend application methodologies when applied to global asset allocations amongst real estate, bonds and commodities.
Value and Momentum Everywhere (Asness, Moskowitz and Pedersen, 2013)
This paper has been authored by Asness, Moskowitz and Pedersen. They find consistent value and momentum return premia across eight different asset classes and markets, as well as a strong common factor structure among their returns.
Momentum Investing & Asset Allocation (Berkeley Square Capital Management, 2016)
Using three asset classes to frame the discussion (Hedge Funds, Fixed Income, and Equities), Drew F. Knowles of Berkeley Square Capital Management demonstrates the use of a new approach within a quantitative investment strategy in the context of making careful asset allocation decisions.
The Real-Life Performance of Market Timing using MAV and Momentum Rules (2014)
This paper revisits the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules.
Using momentum to enhance fixed income returns (MainStay Investments, 2016)
Momentum is a long-established investment style in commodities, currencies, and equities. The authors of this paper ask whether fixed income investors should take a closer look at this approach too.
How NOT to Wipe Out with Momentum (Research Affiliates, 2015)
How can the momentum factor be most effectively employed? Does it make sense to seek to capture the momentum risk premium via an index strategy? Chris Brightman of Research Affiliates explores further.
Fact, Fiction and Momentum Investing (AQR Capital, 2014)
Authored by Cliff Asness and others from AQR Capital, this paper examines the "myths" surrounding momentum investing, using results from a variety of academic studies.
Relative Strength Strategies for Investing (Meb Faber, 2010)
This paper by Meb Faber demonstrates simple quant methods that help improve risk-adjusted returns for investing in US equities and global asset class portfolios.
Risk Premia Harvesting Through Dual Momentum (Gary Antonacci, 2012)
This paper by Gary Antonacci examines cross-asset momentum with respect to what can make it most effective for momentum investors. The authors explore price volatility as a value-adding factor.