This is a test of a tactical strategy based on contrarian timing of the business cycle, increasing risk during periods of stress and decreasing risk during periods of calm. The strategy adds trend-following to this countercyclical approach to manage short-term market shocks. Backtested results from 1980 follow. Results are net of transaction costs – see […]
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New Feature: Cluster Analysis
We track a lot of tactical strategies, and it can be difficult to understand how they all fit together in the big picture. The usual correlation matrix (example) is helpful when drilling down on a single strategy, but it’s near impossible to see the forest for the trees among the 1000’s of data points. In […]
New 3rd party app: Flow Allocator
If you’re a Mac user and a hardcore asset allocation nerd like us, check out this new 3rd party app: Flow Allocator (available in the Mac Store for U.S. users). Our aim is to be best in class in terms of determining your optimal asset allocation, but we’ve always been hands off in terms of […]
Strategies That Play Well With Others
We track more than 60 tactical asset allocation strategies. In this post we look at which of those strategies are most often recommended by common portfolio optimization techniques, and why strategies that “play well with others” are not always the best strategies. First, a little background for the uninitiated: Members can combine the strategies we […]
Paul Novell’s Bond-COMP Tactical Bond Strategy
This is a test of a tactical bond strategy from Paul Novell of Investing for a Living. It rotates between credit bond ETFs and defensive assets based on the same rules as his popular SPY-COMP strategy. Backtested results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we […]
Financial Mentor’s All-Weather Quad Momentum
This is an independent test of the tactical strategy “All-Weather Quad Momentum” (AWQM) from Todd Tresidder of FinancialMentor.com. Many of our members came to us from Financial Mentor, so it’s fitting that we add a strategy to our platform that demonstrates his approach to asset allocation. Backtested results from 1970 follow. Results are net of […]
Max Sortino Added to the Portfolio Optimizer (And Whether That Matters)
We track more than 60 Tactical Asset Allocation strategies, which members can combine together into custom portfolios. To make creating those portfolios easier, we provide an optimizer showing the best performing combinations of strategies based on the member’s investment objective, such as maximizing the Sharpe Ratio (risk-adjusted return) or minimizing volatility. By popular demand, we’ve […]
“Accelerating Dual Momentum” Redux: Longer History, Tempered Expectations
This is a follow up to a strategy we’ve covered previously: Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. See our first test of ADM, which includes a description of the strategy rules and our own analysis of the strategy. Here we’ve extended our test by 20 years to include a less effective era for this strategy. […]
New Feature: Optimized Model Portfolios
We track more than 60 Tactical Asset Allocation strategies. Members can combine those strategies into what we call “Model Portfolios”. Combining strategies in this way reduces the risk of any single strategy going off the rails and helps to provide smoother, more consistent investment returns. But deciding which strategies to trade in your Model Portfolio […]
Testing a Risk Premium Value Strategy
This is a test of a Risk Premium Value strategy (RPV) that allocates to major US asset classes based on current risk premium valuations relative to historical norms. Readers will note the similarity between RPV and other related strategies, such as CXO Advisory’s SACEVS. Backtested results from 1987 net of transaction costs follow (see backtest […]