Tactical asset allocation systems

Harlyn Research designs tactical asset allocation systems for professional investors. We work with institutions, wealth managers, and private banks to create high-performance, low-risk investment strategies. Our products cover asset allocation, equity region selection and sector rotation models, all of which can be tailored to a variety of benchmarks.

Probability based investment

We use a probability-based approach, which aims to deliver the best available return per unit of risk at each stage of the investment cycle. Maximising returns and minimising volatility have equal importance. All the models shown on this website are long-only and do not use leverage or hedging strategies. Our approach is simple to implement via futures or ETFs based on some of the most liquid markets in the world.

Superior return per unit of risk

Extensive back-testing shows that our approach generates superior long-run returns, in absolute and risk-adjusted terms. The approach is also designed to produce shorter and smaller drawdowns, when markets fall. Our primary focus is absolute total return, but the process can be adapted with the aim of beating an index in risk-adjusted terms.

How to use this web site

Visitors are welcome to browse the site and to read about our process and investment philosophy. In the right hand panel of this page you can see the five year history of the six flagship models published on this website, as well as an extract of our most recent blogs. This is just a fraction of the information available to registered users.

Register now

Registration is free, and only takes a couple of minutes. Registered users can access the history of the models going back to 1996, complete with recommended weightings and key performance indicators. Users can access the archive of our sector rotation reports. Register now.

Download an introduction to Harlyn

Harlyn brochurePlease click on the link (left) to download a short introduction to Harlyn Research (PDF, 2.2MB).

Recent Blog Posts

  • China Rehabilitated
  • Wednesday, August 24th, 2016
  • This week we upgrade China to overweight relative to global equities and Chinese Financials to overweight relative to the local index. There is some interesting evidence to suggest that the PBoC has begun the forced recapitalisation of Tier-2 banks. This has already caused Chinese Financials to decouple from the sector in the rest of the world and it may lead to the rehabilitation of the country as a destination for international investors.

  • We’re in a Hole, Janet
  • Wednesday, August 17th, 2016
  • Our composite volatility index is below average and falling, thanks to the actions of the Fed and the other main central banks. But investors regard this as a problem not an opportunity because they don’t understand how the policy regime can end without causing a destructive spike in volatility. The forthcoming meeting at Jackson Hole would be a good time for Janet Yellen to provide an explanation.

  • Vanishing Vol and Risk-Parity
  • Thursday, July 28th, 2016
  • One of the main reasons for the new high in US equities is the sharp decline in the volatility of their returns compared with those of other asset classes. Any institutional investor with a formal risk-budgeting approach will be forced to allocate more money to them, having not owned them when they were riskier, but cheaper. This looks dangerously like a “buy high, sell low” strategy.

  • Shine a Light
  • Wednesday, July 20th, 2016
  • The way in which different regions respond to good news can tell us a lot about investor attitudes. The recent US payroll data are a good example of this. The US, China and the Anglosphere – including the UK – responded well; the Eurozone and Japan didn’t. It’s hard to reconcile this reaction with IMF forecasts that make the UK the centre of a global slowdown over the next 12 months.