This is a test of a dynamic seasonality strategy from Quantpedia that selects from 23 individual country ETFs. We’ve extended the author’s test by 30+ years using MSCI index data. Backtested results from 1971 follow versus an equal-weight benchmark of those 23 country ETFs (1). Learn more about what we do and follow 90+ asset […]
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New Feature: Walked-Forward Optimal Strategy Combinations (aka “Meta Walk-Forwards”)
Members: See the complete list of Meta Walk-Forwards In our previous post, we introduced this concept of “walking forward” optimal strategy combinations. In other words, we’re finding the optimal combination of strategies, in real-time, based only on data available at that moment in time. We call these “Meta Walk-Forwards”. For members who don’t want the […]
Walking Forward Optimal Strategy Combinations
The key takeaway: The Portfolio Optimizer is effective at selecting optimal strategy combinations, even when “walked-forward” (i.e. when limited to data it would have had at that moment in time). First, a bit of background knowledge you’ll need to understand this analysis… Background Knowledge: Model Portfolios and the Portfolio Optimizer We track 90+ asset allocation […]
Taming Excessive “Timing Luck” in TAA by Tranching Strategies
Fair warning: this article is intended for advanced DIY Tactical Asset Allocation investors, i.e. nerds like us. First, a bit of background knowledge you’ll need to understand this discussion… Background knowledge: What is “timing luck”? Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on […]
Piard’s Annual Seasonality
This is a test of two stock market seasonality strategies from Fred Piard’s book Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors. Strategy results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 90+ asset allocation strategies like this one in […]
Housekeeping Notice: 8 Representative ETF Changes
We replicate and track Tactical Asset Allocation strategies by representing each asset class with the largest, most liquid ETF available, regardless of performance. Read why. Over the years, the most suitable ETF to represent some asset classes has changed. Early next year we are planning to switch to these more suitable ETFs for 8 asset […]
Front Running Commodity Seasonality
This is an independent test of a series of interesting studies from Quantpedia (here and here) related to seasonality in commodity ETFs. We’ve more than doubled the length of the author’s original test using relevant index data (1). Test #1: Front running commodity seasonality In all of our tests, we will be trading the same […]
Is Goldman Sachs’ 3% Annual Return Forecast Based on Bad Data?
This paper from Goldman Sachs made big headlines a couple of months back for forecasting an abysmal 3% nominal annual return for US stocks in the coming decade. For anyone who didn’t read GS’s analysis, the biggest contributor to that poor return was “market concentration”, or the market cap of the largest stocks relative to the […]
NLX Finance’s Hybrid Asset Allocation 60/40
This strategy from NLX Finance is an alternative version of a strategy we’ve covered previously: Dr. Keller & Keuning’s Hybrid Asset Allocation (HAA). It trades based on all the same rules as the original HAA with one exception: rather than allocating 100% to US stocks when risk on, it holds a 60/40 mix of US […]
Excess Earnings Yield Dynamic Valuation Strategy
This is a test of the “Excess Earnings Yield Dynamic” valuation strategy based on the paper Man Doth Not Invest by Earnings Yield Alone by White and Haghani of Elm Wealth. The strategy dynamically splits the portfolio between stocks and TIPS based on “excess earnings yield”, which is the cyclically-adjusted earnings yield (1 / CAPE) […]