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Zakamulin’s Optimal Trend Following

This is a test of a novel trend-following strategy from the paper Optimal Trend Following Rules in Two-State Regime-Switching Models by Valeriy Zakamulin and Javier Giner. These results aren’t as eye catching as many we track, but the paper contributes some important ideas to the study of tactical asset allocation. Results trading the S&P 500 from […]

Filed Under: Featured Post, TAA Strategies

A Note About Commodities and How We Represent Them on Our Platform

We represent each asset class on our platform using the largest, most liquid ETF available (read why). Currently, we represent the asset class “diversified commodities” with the Invesco ETF DBC, but after this weekend, we’ll be changing to a different Invesco ETF PDBC. There are two reasons for this change: For non-US investors, there are […]

Filed Under: Site Announcements

The Best Defensive Asset Class

In this post we look at what major asset classes have proven to be the best defensive choice in months when the market has fallen over the last 50+ years. We’ll look at multiple government and corporate bond assets, diversified commodities, gold and the US dollar. The results? As expected, a mixed bag. Investors who […]

Filed Under: TAA Analysis

Cross-Asset Signals and Time Series Momentum

This is a test of concepts from the paper Cross-Asset Signals and Time Series Momentum. Standard “time series” momentum is a well-documented feature of financial markets. Assets going up tend to continue going up. In this paper, the authors show that stocks and treasuries can also be used to time each other. This is “cross-asset” […]

Filed Under: TAA Strategies

Bold Asset Allocation

This is a test of Dr. Wouter Keller’s tactical strategy “Bold Asset Allocation” (BAA) from his paper Relative and Absolute Momentum in Times of Rising/Low Yields. Backtested results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 60+ asset allocation strategies like this one […]

Filed Under: TAA Strategies

Predicting US Treasury Returns

This is a test of the paper Predicting Bond Returns: 70 Years of International Evidence. The authors use an ensemble model to trade US and international treasury bonds. Over the last 60+ years the strategy would have produced long-term returns in line with buy & hold, while significantly reducing short-term volatility and drawdowns, especially during […]

Filed Under: TAA Strategies

Trending Fast and Slow

This is a test of a tactical strategy from the paper Trending Fast and Slow. It trades the S&P 500 by switching between fast and slow momentum based on market volatility. The strategy would have kept pace with the S&P 500, while significantly reducing the worst drawdowns. Backtested results from 1954 follow. Results are net […]

Filed Under: TAA Analysis, TAA Strategies

Portfolio Optimizer Version 2.0

We’ve just released version 2.0 of our Portfolio Optimizer, and the nerds in us are pretty excited. New here? We track tactical asset allocation strategies. Members can combine those strategies together into what we call “Model Portfolios”. The Portfolio Optimizer shows the optimal mix of strategies to trade in your Model Portfolios based on objectives […]

Filed Under: Site Announcements

The 1-2 Punch of Major Losses in Both Stocks and Government Bonds

This is a follow up to our previous post. Same subject, additional data. Both stocks and government bond funds have suffered major losses this year. Stocks and gov bonds form the core of most portfolios. Gov bonds tend to counterbalance risk assets, helping to smooth returns during periods of market stress. But so far this […]

Filed Under: TAA Performance

Government Bonds Have Failed to Deliver When Needed

Most government bond funds have suffered major losses this year. What is worse is that those major losses have come when they’re needed most, when stocks and other risk assets are also falling. During times of market stress, gov bonds tend to act as a counterbalance to risk assets, but so far this year they’ve […]

Filed Under: TAA Performance

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New from Our Blog

  • Zakamulin’s Optimal Trend Following December 19, 2022
  • A Note About Commodities and How We Represent Them on Our Platform December 6, 2022
  • The Best Defensive Asset Class October 19, 2022

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