Good Investments are Stable: Analysis of Dynamical Asset Allocation Strategies

In this article we present a new rating approach. We measure and valuate the stability of performance and risk and the stability of the management strategy inherited from funds and indices. Our rating scorecard relies on measures derived from a retroactive analysis of turning points, of structural breaks, and of non-stationarities. Results are demonstrated by comparing dynamically allocated funds with a fixed balanced fund strategy. Our approach is in many aspects complementary to fund ratings provided by Morningstar, Lipper, and Feri.

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Screening for Stable Funds: A Bayesian Rating and Ranking Approach

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Size and Style Variability of Stability Filtrations: A Country and Regional Stock Market Study