Investment Course:

Tactical Asset Allocation: Theory and Practice

Santiago, Chile - November 17-18, 2011

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 - Overview of the Asset Allocation Process

Topic 1.ii - Fundamentals of a Tactical Asset Allocation (TAA) Strategy

Topic 1.iii - Quantitative TAA & GTAA Methods

Topic 1.iv - TAA in the Black-Litterman Optimization Process

Topic 2.i - Measuring the Performance of a TAA Strategy

Topic 2.ii - Case Study: Asset Allocation at the Texas Teacher Retirement System

Topic 2.iii - Case Study: Texas Teacher’s TAA Program

Topic 2.iv - Additional Case Study Examples and Exercises

• Excel Workbooks:

Topic 1.i: U.S. & Global Historical Return Statistics, 1926-2010

Chilean AFP Asset Allocation: September 2011

Topic 1.ii: U.S. and Chile TAA Example: Momentum, Value, Volatility

Topic 1.iii: U.S. Equity Sector-Switching TAA Example

U.S.-Chile Country Rotation GTAA Example

Topic 1.iv: Black-Litterman Expected Returns & Portfolio Optimization

Topic 2.1v: Joint TAA Forecast Signal Exercise

• Research & Reference Articles:

T1i: “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)

T1ii: “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)

T1iii: “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)

T1.iv: “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.i: “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.iii: “Tactical Asset Allocation: Positioning Proposed Actions, and Performance” (by Texas TRS TAA Team)

“Dynamic Factor Based TAA” (by Texas TRS TAA Team)

T2.iv: “The IPA Tactical Asset Allocation Model” (by Innealta Portfolio Advisors)