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Single-Asset Allocation Strategy

Jan 08 2021

Momentum Across Asset Classes

  • Jan 8, 2021

In the extreme case where one possesses no other information beyond last year’s total returns, the best single-asset strategy has been to buy the second-best performer (the “Bridesmaid”) and hold it for the next twelve months in hopes that the prior year’s momentum will carry it through. That approach has beaten the S&P 500 by 3.7% annualized over the past 48 years. 

Jan 08 2021

Rewarding “Perfect Foresight”

  • Jan 8, 2021

The AANA Portfolio could be viewed as representing one extreme of the asset allocation continuum—in which no knowledge of comparative asset valuations or economic conditions is assumed (or, at least, imparted). At the opposite pole would be the clairvoyant speculator who puts all of his or her eggs into one basket and holds that basket for the entire year.