Library of Resources

Access to white papers and books used in our research process

White Papers

Tactical Asset Allocation Using Relative Strength

John Lewis

Whereas much of the investment literature reviews the use of relative strength in stock selection, this paper discusses the use of relative strength using ETFs.




Risk Premia Harvesting Through Momentum

Gary Antonacci

This paper is the 2012 winner of the NAAIM Wagner Award and discusses the near-universal applicability of momentum applied to an asset or asset classes.  In this paper, Antonacci tests how risk factors indicating high volatility contribute to momentum profitability and includes over thirty-eight years of past performance data.

Absolute Momentum: A Simple Rules-Based Strategy and Universal Trend -Following Overlay

Gary Antonacci

This paper identifies how that an absolute momentum can effectively identify regime change and add significant value as an easy to implement, rule-based approach with many potential uses as both a stand-alone program and trend following overlay.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Clare, Seaton, Smith, and Thomas

This paper examines the effectiveness of applying trend-following, risk parity, and momentum techniques to a global asset allocation mix.




The High Dividend Yield Return Advantage

Tweedy Brown Fund, Inc.

Our Dividend Value and Dividend Aristocrats models invest in companies with consecutively rising dividends.  This paper sets forth a number of studies, mostly from academia, analyzing the importance of dividends and the association of high dividend yields with attractive investment returns over long measurement periods.


A Quantitative Approach to Tactical Asset Allocation

Mebane Faber

Faber has become one of the most sourced references in the area of dynamic allocation and technical analysis.  The paper presents a simple quantitative method that improves the risk-adjusted returns across various asset classes, using a simple moving average timing model. (Feb 2013 update includes extensions to asset classes and cash management strategies.)

Adaptive Asset Allocation: A Primer

Butler, Philbrick, and Gordillo

This paper displays how using long-term portfolio inputs such as commonly used with MPT (Modern Portfolio Theory) can and does often lead to significant differences than what is expected.  The paper then provides the framework of an adaptive asset allocation strategy that boosts the Sharpe ratio by 100% as compared to a static portfolio.

Relative Strength Strategies for Investing

Mebane Faber

This paper presents a simple quantitative method of using a relative strength model to improve risk-adjusted returns in US equity sector and global asset class portfolios.



Worried About The Market? It Might Be Time For This Strategy

Mebane Faber

This paper reviews market age, valuation, and sentiment measurements and then reviews various means of hedging downside market risk.



Adaptive Investment Approach

Henry Ma

Ma addresses some of the shortcomings of Modern Portfolio Theory and Efficiency Market Hypothesis, as well as drawbacks in their application.  More importantly, it introduces a framework of adaptive investment, in which investors try to find the best investment opportunities by adapting constantly to changing economic and market conditions.

Why the Conventional Wisdom on Risk is Foolish

Baker Ave Asset Management

This is a position paper by a firm with similar views about risk.  In summary, risk is absolute, not relative, and that Wall Street has done a poor job historically, of protecting investors.  This paper emphasizes the importance of risk mitigation and minimizing losses in down markets.



Relative Strength Methods

Richard W. Colby

Colby has also published The Encyclopedia of Technical Market Indicators, takes a look at various relative strength-based approaches which have been used by investors.  The article makes reference to William O’Neal and James P. O’Shaughnessy, two influencers to our model strategies.




What Works on Wall Street

James P. O’Shaughnessy

How to Make Money in Stocks

William O’Neal


Trade Like a Stock Market Wizard

Mark Minervi

Adaptive Asset Allocation

Butler, Philbrick, Gordillo

The Wave Principal of Human Social Behavior and the New Science of Socionomics

Robert Prechter

Quantitative Value

Wesley Grey 

Dual Momentum Investing

Gary Antonacci

Buy, Don't Hold

Leslie N. Masonson


Global Asset Allocation

Mebane Faber 

Questions or Comments?  We would love to hear from you.