The Global Financial Crisis and the Case for MOFA™ Strategic Asset Allocation

27 Pages Posted: 12 Jul 2015 Last revised: 11 Jan 2019

See all articles by Douglas Roberts

Douglas Roberts

Channel Capital Research Institute, LLC

Date Written: June 10, 2015

Abstract

Major institutional investment managers, such as, major hedge funds and large university endowments, have based their investment portfolios upon tactical asset allocation among multiple asset classes with low correlation with the goal of achieving superior risk-adjusted returns. However, during the current financial crisis, many of these asset classes experienced high degrees of correlation as they all decreased in value. In addition, many alternative asset classes not only decreased in value but also were illiquid in nature, impeding asset class re-allocation efforts. This paper examines a new strategic asset allocation framework called Monetary Overviewl Flow Analysis™ (MOFA™) which can offer downside protection in such environments using only extremely liquid investment vehicles. The result over time is long-term returns comparable to equities but lower draw-downs in financial crisis environments. These strategies are tested over the period 1996-2014 with live signals for them from 2006 and 2007. Several of the strategies have been tested back to the 1970’s.

Suggested Citation

Roberts, Douglas, The Global Financial Crisis and the Case for MOFA™ Strategic Asset Allocation (June 10, 2015). Available at SSRN: https://ssrn.com/abstract=2629194 or http://dx.doi.org/10.2139/ssrn.2629194

Douglas Roberts (Contact Author)

Channel Capital Research Institute, LLC ( email )

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