The purpose of this paper is to present simple quantitative methods that improve risk-adjusted returns for investing in US equity sectors and global asset class portfolios. A relative strength model is tested on the French-Fama US equity sector data back to the 1920s that results in increased...

In this paper we update our 2006 white paper ldquo;A Quantitative Approach to Tactical Asset Allocationrdquo; with new data from the 2008-2012 period. How well did the purpose of the original paper ndash; to present a simple quantitative method that improves the risk-adjusted returns across...