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Global Tactical Rotation

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
- Asymmetry and Symmetry Definitions from Statistica
- Information Asymmetry Defined
- Correlation Coefficient (Pearson Correlation)
- What is a family office? Family office defined
- Meritocracy Defined
- Pie Chart
- Portfolio Management Fee and Performance Incentive Fee
- 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
- Momentum and Mean-Reversion in Strategic Asset Allocation
- Relative strength momentum portfolio
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

Global Tactical Rotation

Global Tactical Rotation is the systematic quantitative programs developed and applied by Shell Capital Management, LLC to rotate, instead of allocate, between multiple markets; cash, currency, global bonds, global stocks, and hard assets/commodities via exchange traded securities (ETF, etc).

Global Tactical Rotation is unique from "asset allocation" in that it rotates exposure from one market or asset to another rather than a more static, less dynamic, allocation method. Global Tactical Rotation may buy securities that are rising and sell securities that are declining based on the firms quantitative global tactical rotation systems.

Shell Capital Management, LLC operates several quantitative systems based on its Global Tactical Rotation programs, such as: Global Tactical Rotation GTR 5, Global Tactical Rotation GTR 10, and Global Tactical Rotation GTR 20.