Investment Course:
Asset Allocation: Theory and
Practice
Santiago, Chile - October 25-26, 2012
Listed below are
links to various course-related materials, including PDF documents containing
the course outline and notes for various topics covered during the class, as
well as Excel workbooks containing spreadsheets supporting many of the examples
and calculations performed in the course. You will also find Word and PDF documents
containing some research articles related to the material covered in the
course.
You can click on
the indicated link to download the desired document:
• Course Outline:
Topic
List & Instructor Biography
• Course Notes:
Topic 1.i - Expected
Returns & Measuring the Risk Premium
Topic 1.ii - Overview
of the Strategic and Tactical Asset Allocation Process
Topic 1.iii - Fundamentals
of a Tactical Asset Allocation (TAA) Strategy
Topic 1.iv - Quantitative
TAA & GTAA Methods
Topic 2.i - Portfolio
Optimization and Setting the Strategic Asset Allocation
Topic 2.ii - TAA
in the Black-Litterman Optimization Process
Topic 2.iii - Measuring
the Performance of a TAA Strategy
Topic 2.iv - Case
Study: Asset Allocation at the Texas Teacher Retirement System
Topic 2.v - Additional
Case Study Examples
• Excel Workbooks:
Topic 1.i: U.S.
& Global Historical Return Statistics, 1926-2011
Topic 1.ii: Chilean
AFP Asset Allocation: August 2012
Topic 1.iii: U.S.
and Chile TAA Example: Momentum, Value, Volatility
Topic 1.iv: U.S.
Equity Sector-Switching TAA Example
U.S.-Chile
Country Rotation GTAA Example
Topic 2.i: Portfolio
Optimization Examples
U.S.
and Chile Portfolio Optimization Models
Topic 2.ii: Black-Litterman Expected Returns & Portfolio Optimization
Topic 2.v: Joint
TAA Forecast Signal Exercise: U.S. Example
• Research
& Reference Articles:
T1i: “The
Equity Premium” (by
“Equity Premia as Low as Three Percent?”
(by J. Claus and J. Thomas)
“What
Risk Premium is ‘Normal’?” (by R. Arnott and P. Bernstein)
“The
Equity Risk Premium in January 2007: Evidence from the Global CFO Outlook
Survey” (by J. Graham & C. Harvey)
T1ii: “Asset
Allocation and Portfolio Performance: Evidence from University Endowment Funds”
(by K. Brown, L. Garlappi, and C. Tiu)
“Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” (by R. Ibbotson and P. Kaplan)
T1iii: “Modern
Tactical Asset Allocation” (by W. Lee)
“Advanced
Theory and Methodology of Tactical Asset Allocation” (by W. Lee)
“A
Primer on Tactical Asset Allocation Strategy Evaluation” (by K. Stockton
and A. Shtekhman)
“The Changing Nature and Role of Tactical Asset Allocation” (by M. Darnell)
T1iv: “Global
TAA: Approaches, Forecasts, Tools, and Protocol” (by C. Harvey)
“A
Quantitative Approach to Tactical Asset Allocation” (by M. Faber)
“The
Case for Global Tactical Asset Allocation” (by Q. Nguyen)
“Discovering GTAA” (by M. Kritzman)
“Global Tactical Sector Allocation: A Quantitative Approach” (by R. Doeswijk and P. van Vliet)
T2.i: “Mean-Variance
Investing” (by A. Ang)
“Principles
for Drafting an Investment Policy With Illustrations”
(by R. Gyorgy and A. Malliaris)
T2.ii: “A
Step-by-Step Guide to the Black-Litterman Model”
(by T. Idzorek)
“Teaching
Note on Black-Litterman Model” (by Z. Da and R. Jagannathan)
T2.iii: “The
Performance of Tactical Asset Allocation” (by E. Weigel)
“On
Market Timing and Investment Performance” (by R. Henriksson
and R. Merton)
“The
Performance of Professional Market Timers” (by D. Chance and M. Hemler)
“Performance
Evaluation of Tactical Asset Allocation” (by J. Christopherson,
W. Ferson, T. Goodwin, and A. Turner)
T2.iv: “Tactical
Asset Allocation: Positioning Proposed Actions, and Performance” (by Texas
TRS TAA Team)
“Dynamic
Factor Based TAA” (by Texas TRS TAA Team)
T2.v: “The
IPA Tactical Asset Allocation Model” (by Innealta
Portfolio Advisors)