Investment Course:

Asset Allocation: Theory and Practice

Santiago, Chile  -  August 17-19, 2016


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:

          Overall Topic List & Instructor Biography


• Course Notes:

Topic One:            Expected Returns & Measuring the Risk Premium

Topic Two:            Overview of the Strategic and Tactical Asset Allocation Process

Topic Three:          Portfolio Optimization and Setting the Strategic Asset Allocation

Topic Four:           Fundamentals of a Tactical Asset Allocation (TAA) Strategy

Topic Five:            Case Study: Asset Allocation at the Texas Teacher Retirement System


• Excel Workbooks:

Topic One:            U.S. & Global Historical Asset Class Return Statistics: 1926-2015

Topic Two:            Chilean AFP Asset Allocation: June 2016

Asset Allocation vs. Factor Allocation: 1970-2014

Topic Three:          Portfolio Optimization Examples

U.S. and Chile Portfolio Optimization Models: 2012-2015

U.S. and Chile Portfolio Optimization Models: 2004-2007

Black-Litterman Expected Returns & Portfolio Optimization

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

                             U.S.-Chile Country Rotation GTAA Example


 • Research & Reference Articles:

T1:                “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 Used for 71 Countries in 2016: A Survey” (by P. Fernandez, A. Ortiz, and F. Acin)

                   The Equity Risk Premium in 2016 (by J. Graham & C. Harvey)

                   “Rethinking the Equity Risk Premium” (by B. Hammond, M. Leibowitz, and L. Siegel)

“Equity Risk Premiums (ERP): Determinants, Estimation and Implications--The 2016 Edition” (by A. Damodaran)

                   “Country Risk: Determinants, Measures and Implications--The 2015 Edition” (by A. Damodaran)

T2:                 “Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds” (by K. Brown, L. Garlappi, and C. Tiu)

                       “Performance of Chilean Pension Funds Investments Abroad 2010-2014” (by R. Balbontin and R. Blanch)                

                       “Annual Survey of Large Pension Funds and Public Pension Reserve Funds” (by OECD)                

                       “Pension Fund Asset Allocation in Low Interest Rate Environment” (by D. Bams, P. Schotman, and M. Tyagi)                

                        “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” (by R. Ibbotson and P. Kaplan)

                   Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation” (by T. Idzorek and M. Kowara)

T3:              “Mean-Variance Investing” (by A. Ang)

                   “Principles for Drafting an Investment Policy With Illustrations” (by R. Gyorgy and A. Malliaris)

                   “A Century of Stock-Bond Correlations” (by E. Rankin and M. Shah Idil)

                   “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)

                   “Understanding Risk Parity” (by T. Lee, A. Spellar, and P. Bouchey)

T4:                 Modern Tactical Asset Allocation” (by H. de Silva)

How Often Should You Take Tactical Asset Allocation Decisions?” (by B. An, A. Ang, and P. Collin-Dufresne)

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)

                       “Global TAA: Approaches, Forecasts, Tools, and Protocol” (by C. Harvey)

                   The Case for Global Tactical Asset Allocation” (by Q. Nguyen)

                   Discovering GTAA” (by M. Kritzman)

T5:             “Tactical Asset Allocation: Positioning Proposed Actions, and Performance” (by Texas TRS TAA Team)

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


• Book Recommendations:

          Recommended Books: Investment Management and Capital Markets