Papers – Fiduciary Investment Advisors

Asset Allocation

A Dynamic Asset Allocation Approach to Investing II

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.

The Wave-Trend Momentum Approach to Investing

ABSTRACT: Many asset managers consider commodities when it comes to establishing a trend/momentum strategy. However, research into trend/momentum finds that other asset classes including stocks, bonds, and currencies can be utilized when it comes to developing a strategy. As far as the time frame for establishing a change in trend, the 200-day moving average appears to be the more popular time period for establishing a change in trend. Both Meb Faber and Professor Jeremy Siegel have identified the 200 DMA as the benchmark. This paper identifies a shorter wave moving average crossover to utilize with the 200 DMA. The results of a backtest reflect a 49% premium over an equal weight portfolio from 2006 to the present.

A Dynamic Wave-VIX Approach to Investing

ABSTRACT: The VIX was introduced to the financial markets in 1993 by Dr. Robert Whaley and is a measure of the stock market’s expectation of volatility based on S&P 500 index options. The VIX has become popular as a hedge against volatility. In this paper we test using the Elliott Wave Oscillator and relative VIX reading to move stocks into cash. The results are promising.

Plan Design

An Efficient Defined Contribution Investing Approach

ABSTRACT: A plan sponsor fiduciary is required to provide participants an investment menu that is diversified. The DOL states the fiduciary “must act prudently and must diversify the plan’s investments to minimize the risk of large losses. This requirement is consistent with the Uniform Prudent Investor Act which defines a diversified portfolio in which “gains in one investment will cancel out the losses in another.” The solution has been for the financial services industry to utilize Modern Portfolio Theory (MPT) to develop and make available diversified asset allocation strategies for participants to use to manage their plan assets. The all in one solution has been the target-date fund. The reality is that the one risk, large losses, that can be detrimental to the participant’s capital before and in retirement, have not been mitigated by the use of MPT. A risk that can wipe out 10-15 years of gains in 1 year. The objective of this paper is to illuminate this risk and offer a solution based on a new approach to MPT to develop diversified strategies that factor in the risk of a large loss. The solution is combined with an investment menu design that compliments the new MPT approach.

Income in Retirement

Secular Approach to Investing for Retirement


A Dynamic Asset Allocation Approach for Selecting a 401K QDIA

401k Converter Kit