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Barclays Capital Aggregate Bond Index

Asymmetric Investment Returns Resources articles

Absolute Return Strategies
- Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
- The Credit Suisse 130/30 Index: White Paper
- Risk Control Through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation
- Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
- Market Timing Strategies That Worked (2002)
- Creating pools of assets: family investment partnerships, private hedge funds
- Multifactor Explanations of Asset Pricing Anomalies
Asset Allocation (Conventional)
- The Equal Importance of Asset Allocation and Active Management
- The Importance of Asset Allocation - Roger Ibbotson
- The Asset Allocation Hoax by William W Jahnke (1997)
Behavioral Finance
- Inefficient Markets: An Introduction to Behavioral Finance
- A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance (2004)
- Cognitive Bias
- Behavioral Finance: examining how psychological factors affect financial decisions.
- Outcome Bias in Decision Evaluation
- Andrew Lo A student of Investor Behavior Explains How Human Psychology Plays a Key Role in Financial Crises
- Information Asymmetry, Price Momentum, and the Disposition Effect
- Illusory Superiority
- Workshop in Behavioral Finance
- Positive Illusions
- Rober Shiller Lecture on Behavioral Finance: The Role of Psychology
- Over-optimism and Optimism Bias
- Behavioral Finance and Behavior Economics
- Illustion of Control
- What is Behavioral Economics?
- The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence
- Disposition Effect
- Overconfidence
- A Model of Investor Sentiment: Underreaction and Overreaction Barberis, Shleifer and Vishny (1998)
- Asymmetric Contests with Conditional Investments
- Dynamics of Asset Returns Considering Investors' Asymmetric Risk Preferences
- Daniel Kahneman
- Confirmation Bias
- Underreaction and Overreaction
- A Survey of Behavioral Finance
- From Efficient Markets to Behavioral Finance
- Academy of Behavioral Finance & Economics (ABF)
Beliefs
- This is John Galt Speaking
Definitions
- Dalbar Quantitative Analysis of Investor Behavior (QAIB)
- Relative Return - Defined
- Paradox - Defined
- Cyclical and Secular Bull and Bear Markets - Defined
- Tactical Asset Allocation - Defined
- Crowd Sentiment and Investor Sentiment - Defined
- Absolute Return - Defined
- A Full Market Cycle - Defined
- Trend Following - Defined
- Tracking Error or Tracking Risk Defined
- Buy and Hold Definition
- Activism
- What is a Contrarian?
- Symmetrical Distribution (Symmetry) Definition
- Empirical: Data, Finding, and Method, Defined
- Qualitative Research
- Quantitative Research Defined
- Asymmetric Volatility Phenomenon (AVP) Defined
- Anecdotal Evidence Definition
- What is an Accredited Investor? Accredited Investor Defined
- What does Systematic mean?
- What does Empirical (testing, results, etc.) mean?
- Scientific Method
- Active Risk Management Defined
- Algorithm Defined
- Closet Index Fund Defined
- What is an Exchange Traded Fund (ETF)?
- Asymmetry and Symmetry Definitions from Statistica
- Information Asymmetry Defined
- Correlation Coefficient (Pearson Correlation)
- What is a family office? Family office defined
- What does Global Tactical Asset Allocation (GTAA) mean?
- Meritocracy Defined
- Pie Chart
- Portfolio Management Fee and Performance Incentive Fee
- Barclays Capital Aggregate Bond Index
- Autocorrelation, Serial Correlation, Lagged Correlation, Defined
Dynamic Asset Allocation
- Dynamic Asset Allocation: a tool for seeking reduced risk and enhanced returns (brochure)
- Adaptive Asset Allocation Policies
Efficient Market Hypothesis
- Greenspan Admits Flaw in His Beliefs: That Markets are Rational and Efficient
- How Greenspan's Framework and Efficient Market Hypothesis Went Awry - Daniel Kahneman
- Benoit Mandelbrot Critique on Efficient Market Hypothesis
- Robert Shiller Lecture on Efficient Market Hypothesis
- The Efficient Market Hypothesis on Trial: A Survey by Philip S. Russel and Violet M. Torbey
- The Misbehavior of Markets: A Fractal View of Financial Turbulence
- What is a market anomaly?
Global Tactical Rotation
- Global Tactical Rotation
Institutional Investors
- A SEC Questionnaire for Selecting and Monitoring Pension Consultants to be used by Plan Fiduciaries
Investor Sentiment
- Using Investor Sentiment as a Contrarian Indicator
- How a Bear Market Low Develops: Loss Traps, Panic Selling and Waterfall Declines
Modern Portfolio Theory
- Portfolio Selection. Harry Markowitz (1952) Modern Portfolio Theory
- Market Efficiency: A Theoretical Distinction and So What? by Harry M. Markowitz
Momentum and Relative Strength
- Momentum Investing by Tobias J Moskowitz PhD
- Time Series Momentum: A Trending Walk Down Wall Street
- A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
- Dissecting Anomalies - Momentum is Pervasive
- A Synthesis on Stock Momentum
- Do Industries Explain Momentum?
- Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency - Jegadeesh Titman (1993)
- Profitability of Momentum Strategies an Evaluation of Alternative Explainations by Jegadeesh & Titman 2001
- The 52-Week High and Momentum Investing
- The 52-week High and Momentum investing Revisited
- The Long-Lasting Momentum in Weekly Returns
- Momentum Defined
- Relative Strength as a Criterion for Investment Selection
- Momentum and Relative Strength Papers from Chartered Alternative Investment Analyst (CAIA) Association
- A test of the Investor's Business Daily stock ranking system
- Industry Information and the 52-Week High Effect
- Time Series Momentum and Cross Sectional Momentum
- Style investing and momentum investing: A case study
- Momentum - A Contrarian Case for Following the Herd by Tom Hancock GMO
- Market Cycles and the Performance of Relative-Strength Strategies
- Momentum and Mean-Reversion in Strategic Asset Allocation
- Relative strength momentum portfolio
- Momentum by Narasimhan Jegadeesh and Sheridan Titman
Money Management
- An Edge, Defined
- Asymmetric and Exponential Nature of Losses
Non-Normal Distribution
- Parting with the Bell Curve: Interview with Dr. Svetlozar Rachev
- Asymmetrical Distribution Defined
- Asymmetric Returns and Sector Specialists
- Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
Prospect Theory
- Prospect Theory: An Analysis of Decision Under Risk
- Advances in Prospect Theory: Cumulative Representation of Uncertainty
Random Walk Hypothesis
- Should Finance Professors Take the Blame for the Financial Crisis?
- Random Walks in Stock Prices by Eugene Fama (1965)
- The Myth of the Rational Market
Research Papers
- Papers on the Predictability of Returns, Technical Analysis, and Trading Strategies
- A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
- Risk and Volatility: Econometric Models and Financial Practice
The Case for Active Portfolio Management
- How Active is Your Fund Manager? A New Measure That Predicts Performance
Trend Following
- A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
- Evaluating a Market Timing Strategy
- Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation
Underreaction
- Nonlinearity in the dynamics of financial markets
- The Disposition Effect and Underreaction to News
- Persistence of Beliefs in an Investment Experiment Abstract

Barclays Capital Aggregate Bond Index

The Barclays Capital Aggregate Bond Index is a market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues with at least $250 million par amount outstanding and with at least one year to final maturity.