Strategy Tools

Following is a collection of ideas / methods / tools to enhance investment strategy. If you hit a block with an investment strategy development, give following techniques a try.

• Adaptive Asset Allocation: A Primer by A. Butler, M. Philbrick, R. Gordillo 2012 This paper shows steps to improve strategy performance starting with
  • Equal Weight, next
  • Equal Volatility, next
  • Top Momentum, next
  • Top Momentum with Minimum Variance allocation
  • Target Risk
• The Quantitative Approach To Tactical Asset Allocation Strategy(QATAA) by Mebane T. Faber please read SSRN paper for more details
  • 10 month moving average go to cash filter
• Averaged Input Assumptions and Momentum
  • use multiple time-frames to average input assumptions
• Tactical Asset Allocation Portfolio with Percentile Channels
  • multi-system ensemble approach to combine and weight various strategies
• Cluster Portfolio Allocation
  • allocate within groups (clusters) first and next allocate across cluster
• Dual Momentum
  • similar to cluster approach with cash filter
• Dynamic Asset Allocation
  • Adjust length of moving average based on the risk metric
• Volatility-Adjusted Time Series
  • use risk-adjusted, normalized, time series to generate signal
• Probabilistic Momentum
  • convert metric into z-score, or percentile, - alot easier to work with percentile metric vs raw numbers