A Dynamic Asset Allocation Approach to Investing II

15 Pages Posted: 12 Jan 2021 Last revised: 10 Mar 2021

Date Written: September 15, 2020

Abstract

In this paper, we build on the 2016 paper in which fundamentals (Shiller's CAPE) are used in the asset allocation decision-making process. Specifically, we use technical factors (Elliott Wave Oscillator, Volume, 200 DMA) 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: Asset Allocation, Quantitative, Hedge, Dynamic Asset Allocation, Strategic Asset Allocation, Tactical Asset Allocation, Buy and Hold, CAPE, Elliott Wave Oscillator, Volume, 200 DMA

JEL Classification: COO, CIO, CO, GOO, Gil

Suggested Citation

Grennon, Terry, A Dynamic Asset Allocation Approach to Investing II (September 15, 2020). Available at SSRN: https://ssrn.com/abstract=3693034 or http://dx.doi.org/10.2139/ssrn.3693034

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