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 […]
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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” […]
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 […]
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 […]
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 […]
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 […]
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 […]
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 […]
Site Upgrade: Add Buy & Hold Assets to Model Portfolios
We completed a major site upgrade last week. We reworked a lot of our code as part of our never-ending quest for speed and scalability, but most of that should be invisible to members. There are, however, a couple of big changes that members will enjoy. Buy & Hold assets may now be included in […]
Where Tactical Asset Allocation Stands Now (Feb 28, 2022)
It always feels a little offensive talking dollars and cents at times like this (*), but we hope that by helping investors to have a concrete strategy, we can at least take this one stress off the table. We track 60+ Tactical Asset Allocation (TAA) strategies, allowing us to draw some broad conclusions about TAA […]