A Dynamic Asset Allocation Approach to Investing II
15 Pages Posted:
Date Written: September 15, 2020
In this paper, we build on the 2016 paper in which fundamentals are used in the asset allocation decision-making process. Specifically, we use technical factors to improve the timing of the asset allocation changes. We find an improvement over the original approach including a cumulative asset growth advantage of 58% vs. a 100% buy and hold stocks allocation and 70% advantage of a 60% stocks, 40% bonds allocation. Included is the workbook which includes the algorithm which drives the allocation changes.
Keywords: dynamic asset allocation, strategic asset allocation, buy and hold
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