Sources of long-term historical data are few and far between. Because it’s been generously provided for free, one of the most often used is data from Professor French (of Fama-French fame). Others include Shiller and Ibbotson. These datasets are fine for a first pass at testing out ideas, but they often don’t remotely match up […]
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Testing a Yield-Based Asset Class Rotation Strategy
By reader request, this is a test of a tactical strategy from Harrison Schwartz that considers various economic yields in order to rotate among asset classes. Strategy results versus the 60/40 benchmark follow. We’ve extended Schwartz’s original test by an additional 6+ years, and accounted for transaction costs (see backtest assumptions). Learn about what we […]
Not a DIY investor? An All-In-One Managed Solution is Here
Our platform is designed to help the DIY investor to build and manage a tactical asset allocation portfolio, but we understand that not everyone has the time or inclination to go it alone. To service investors looking for an all-in-one managed solution, we’ve licensed our “Meta Strategy” to best in class investment advisors Alpha Architect. […]
Tactical Asset Allocation in November
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what […]
Buying Global Stocks at All-Time Highs
This analysis was inspired by EconomPic and Meb Faber. Here we test a simple strategy that goes long Global Stocks (ACWI) when they make a new all-time month-end high, otherwise US bonds. The takeaway: Don’t fear buying stock (indices) when they close at all-time highs. A new high shouldn’t be your only reason for buying […]
Tactical Asset Allocation in October
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what […]
The Ubiquitous “Sell in May”
As a site that tracks all things asset allocation, it seems like a miss not to include the most well known of asset allocation strategies: “Sell in May and go away” (aka the Halloween Indicator). This is a fitting time to add it to the lineup: The strategy is killing it this year and a […]
Predictable End-of-Month Treasury ETF Returns
The inspiration for this post comes from a new paper titled Predictable End-of-Month Treasury Returns (h/t Capital Spectator). A description from the authors: We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly significant in the last few days of the month and are […]
Tactical Asset Allocation in September
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what […]
Tactical Asset Allocation in August
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what […]