A Dynamic Asset Allocation Approach to Investing II

15 Pages Posted:

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: dynamic asset allocation, strategic asset allocation, tactical asset allocation, buy and hold, CAPE, Elliott Wave Oscillator, Volume, 200 DMA

Suggested Citation

Grennon, Terry, A Dynamic Asset Allocation Approach to Investing II (September 15, 2020). Available at SSRN: https://ssrn.com/abstract=

Terry Grennon (Contact Author)

Fiduciary Focus, LLC ( email )

230 E48th Street
New York, NY 10017
United States

HOME PAGE: http://fiduciaryfocusllc.com/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
6
Abstract Views
61
PlumX Metrics