Tom Carlson’s Adaptive 60/40 Portfolio: Momentum-based Selection of Stock Diversifiers
Welcome to 2026, where bonds no longer diversify stocks, volatility remains elevated and inflation isn’t going anywhere1. This is the dramatic, although fac...
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The Sharpe Stability Ratio: Evaluating the Sharpe Ratio Temporal Consistency
The Sharpe Ratio1, one of the most commonly used measure of risk-adjusted performance2, is usually reported as a point estimate (Morningstar, Quantalys, etc....
The NAAIM-AAII Equities Allocation Spread: Another Smart Money Relative Sentiment Indicator
In a previous blog post, I described the NAAIM Exposure Index, which represents the average exposure to U.S. equity markets as reported by members of the Na...
Value-at-Risk Estimation: Improved Historical and Simulation-based Estimates with the Harrell-Davis Quantile Estimator
In a previous blog post of this series, the main univariate Value-at-Risk (VaR) estimation methods were described. Among these, and for scenario-based VaR e...
The NAAIM Exposure Index: Incorporating Active Investment Managers Sentiment into Asset Allocation
The NAAIM Exposure Index represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment Manag...