Asset Allocation Project

University of Chicago (Financial Markets Program)

        Dynamic Asset Allocation Research 

• • Research for current practices and ideas; generate additional ideas

  • "Current" Assets - but also easily-obtainable data

    • Barclays is a good data source for historical hedge fund strategy performance; perhaps use only few more popular methods: Long/Short, Emerging Markets.  Many go back to 1997.

    • Managed Futures Index - Barclays CTA BTOP 50 Index performance is available on a timely basis; the Barclays CTA Index goes further back (1980).  

  • Downside Risk Management; conservative Correlations

  • Develop Usable, Ongoing Model, with value-added (fundamental, technicals)

  • Federal Reserve Data (FRED) from St. Louis Fed

Some articles by on asset allocation:

http://seekingalpha.com/article/314209-diversification-active-vs-passive-management

http://seekingalpha.com/article/215457-portfolio-optimization-with-rising-correlations-and-an-evolving-world

http://seekingalpha.com/article/226247-commodities-managed-futures-and-diversification

REITS and Asset Allocation

http://seekingalpha.com/instablog/658475-jay-johannesen/125406-reits-current-role-in-dynamic-asset-allocation

Semi-Correlation

http://datalab.morningstar.com/knowledgebase/aspx/Article.aspx?ID=281

http://seekingalpha.com/instablog/677712-carlton-chin-cfa/79376-post-modern-portfolio-theory-semi-deviation-semi-correlation

Asset Allocation

http://www.muhanna.org/15th%202009/Presentations%2012th%20Website/02%20Mr%20Kalogeris.pdf