Papers – Fiduciary Investment Managers

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.