Investment Course:

Asset Allocation: Theory and Practice

Santiago, Chile  -  August 8-9, 2013


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, 1926-2012

Topic 1.ii:              Chilean AFP Asset Allocation: June 2013

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 E. Fama and K. French)

                   “Equity Premia as Low as Three Percent?” (by J. Claus and J. Thomas)

                   “What Risk Premium is ‘Normal’?” (by R. Arnott and P. Bernstein)

                   “Market Risk Premium and Risk Free Rate Used for 51 Countries in 2013” (by P. Fernandez, J. Aguirreamalloa, and P. Linares)

                   The Equity Risk Premium in 2013 (by J. Graham & C. Harvey)

“Equity Risk Premiums (ERP): Determinants, Estimation and Implications--The 2013 Edition” (by A. Damodaran)

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)

                   Flight to Quality and Asset Allocation in a Financial Crisis” (by T. Marsh and P. Pfleiderer)

T1iii:              Modern Tactical Asset Allocation” (by H. de Silva)

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)


• Book Recommendations:

          Recommended Books: Investment Management and Capital Markets