A Dynamic Asset Allocation Approach to Investing II
15 Pages Posted: 12 Jan 2021 Last revised: 10 Mar 2021
Date Written: September 15, 2020
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: Suggested Citation