We’re in a unique position to analyze the behavior of Tactical Asset Allocation (TAA) investors. We track 90+ TAA strategies. Members combine these strategies into what we call “Model Portfolios”. By analyzing how members form these Model Portfolios, we can understand the choices that TAA investors make when strategies are presented objectively (no marketing mumbo […]
Blog
The Lumber-Gold Strategy
The Lumber-Gold Strategy was first published a decade ago, won the 2015 NAAIM Wagner Award, and continues to be cited today. The strategy trades based on the relative strength of lumber as a leading economic indicator, versus gold. How has the strategy performed since publication? Strategy results from 1987 follow. Results are net of transaction […]
Navigating Economic Downturns with Survey-Based Recession Indicators
This test was inspired by Yulong Sun’s paper Navigating Economic Downturns: Insights from Survey-Based Recession Indicators. 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 near real-time. Logarithmically-scaled. Click for linearly-scaled results. These results […]
Cliff Smith’s BKLN Strategy
Questions about this long-ago strategy from Cliff Smith land in our inbox periodically (here’s another recent take). Smith’s simple strategy trades senior loan (aka leveraged loan) ETFs like BKLN, and has continued to be effective at timing these ETFs in the 10+ years since it was published. We’ve extended the author’s original test back to […]
Front-Running Seasonality in Country ETFs: An Extended Test
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 […]
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 […]