Asset Allocation

  • Sarwar, G., Mateus, C. and Todorovic, N. US Sector Rotation with Five Fama-French Alphas (2017). SSRN
  • Keller, W. and Keuning, J. Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits (2016). SSRN
  • Knowles, D. Momentum Investing & Asset Allocation (2015). SSRN
  • Keller, W. and Butler, A. A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA) (2014). SSRN
  • Gnedenko, B. and Yelnik, I. Dynamic Risk Allocation with Carry, Value and Momentum (2013). SSRN
  • Keller, W. and Van Putten, H. Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach (2012). SSRN
  • Varadi, D. et. al. The Minimum Correlation Algorithm: A Practical Diversification Tool (2012). Link
  • Collie, B., Sylvanus, M. and Thomas, M. Volatility-Responsive Asset Allocation (2011). Link
  • Chen, R. and Persaud, T. Volatility-Responsive Asset Allocation (2011). Link
  • Antonacci, G. Optimal Momentum: A Global Cross Asset Approach (2011). Link
  • Antonacci, G. Combining Strategic and Tactical Asset Allocation (2010). SSRN
  • Ibbotson, R. and Kaplan, P. Does Asset Allocation Policy Explain 40, 90 or 100 Percent of Performance? (2001) SSRN

Tactical Asset Allocation

  • Estrada, J. Multiples, Forecasting, and Asset Allocation (2015). SSRN
  • Guilmin, G. The Effective Combination of Risk-Based Strategies with Momentum and Trend Following (2015). SSRN
  • Gayed, M. and Bilello, C. Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management (2015). SSRN
  • Gayed, M. and Bilello, C. An Intermarket Approach to Tactical Risk Rotation (2014). SSRN
  • Gayed, M. and Bilello, C. An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities (2014). SSRN
  • Glenn, L. Simple and Effective Market Timing with Tactical Asset Allocation (2014). SSRN
  • Guilleminot, B., Ohana, J. and Ohana, S. Risk vs Trend Driven Global Tactical Asset Allocation (2013). SSRN
  • Butler, A., Philbrick, M. and Gordillo, R. Adaptive Asset Allocation: A Primer (2012). SSRN
  • Maewal, A. and Bock, J. Paired-Switching for Tactical Portfolio Allocation (2011). SSRN
  • Colucci, S. and Brandolini, D. A Risk Based Approach to Tactical Asset Allocation (2011). SSRN
  • Nhuyen, V. and Sercu, P. Tactical Asset Allocation with Commodity Futures: Implications of Business Cycle and Monetary Policy (2010). SSRN
  • Wang, P. and Kochard, L. Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation (2010). SSRN
  • Faber, Mebane F. Relative Strength Strategies for Investing (2010). SSRN
  • Blitz, D. and Van Vliet, P. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes (2008). SSRN
  • Marmi, S. and Risso, W. Adrian. Tactical Asset Allocation Using Daily Data (2008). Link
  • Faber, Mebane F. A Quantitative Approach to Tactical Asset Allocation (2007). SSRN
  • Shen, P. Market-Timing Strategies That Worked (2003). SSRN


  • Faber, M. Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down (2015). SSRN

Market Timing

  • Glenn, L. Adaptive Market Timing with ETFs (2010). SSRN
  • Glenn, L. Market Timing Using Exchange Traded Funds (2010). SSRN
  • Glenn, L. Beat the Market - A Strategy for Conservative Investors (2008). SSRN
  • Shen, Pu. Market-timing strategies that worked (2002). SSRN

Predicting Equity Returns

  • Jacobsen, B., Marshall, Ben R. and Visaltanachoti, N. Return Predictability Revisited (2007). SSRN
  • Driesprong, G., Jacobsen, B. and Maat, B. Striking Oil: Another Puzzle? (2005) SSRN

The FED Model

  • Maio, Paulo F. The FED Model and Expected Asset Returns (2008). SSRN
  • Clemens, M. A Behavioral Defense of the FED Model (2007). SSRN
  • Durre, A. and Giot, P. An International Analysis of Earnings, Stock Prices and Bond Yields (2005). SSRN
  • Salomons, R. A Tactical Implication of Predictability: Fighting the FED Model (2004). SSRN
  • Asness, Clifford S. Fight the Fed Model: The Relationship Between Stock Market Yields, Bond Market Yields, and Future Returns (2003). SSRN

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