This is a test of the “Excess Earnings Yield Dynamic” valuation strategy based on the paper Man Doth Not Invest by Earnings Yield Alone by White and Haghani of Elm Wealth. The strategy dynamically splits the portfolio between stocks and TIPS based on “excess earnings yield”, which is the cyclically-adjusted earnings yield (1 / CAPE) […]
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Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia
This is a test of Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia. While the strategy is “tactical” (i.e. changes allocation over time in response to market conditions), it’s also designed to ensure tax efficiency. We track many tactical strategies that have been tax efficient, but none that enforce that efficiency through explicit rules […]
Is Month-End Still the Best Time to Trade Tactical Strategies?
Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on the last trading day of the month. A unique feature of our platform is the ability to follow these strategies on any other day of the month as well. We’re not simply executing the same […]
Tactical Asset Allocation and Taxes: FIFO vs LIFO Deep Dive
This is a deep dive into which share disposal method – FIFO or LIFO – would have been more tax advantageous for the 80+ asset allocation strategies we track. When selling shares FIFO (first in, first out), the oldest shares held are sold first. When selling LIFO (last in, first out), the most recently purchased […]
Maximum Ulcer Performance Index (UPI) Portfolios
We’ve added a new objective to the Portfolio Optimizer. Members can now find the combination of TAA strategies that would have maximized the Ulcer Performance Index (UPI), aka the “Martin Ratio”. Members: begin exploring the Max UPI portfolios now. UPI is a measure of return relative to drawdowns (i.e. losses). It captures both the length […]
Make Things Easy on Yourself: “Roll Up” Small Asset Positions
Here are some things we know about Tactical Asset Allocation: (Learn more: What is TAA?) We shouldn’t go 100% “all in” on just one TAA strategy. That introduces “specification risk”, or the risk that we’ve bet on an underperforming horse. Instead, we should combine multiple strategies together into what we call Model Portfolios. When trading […]
Linear vs Logarithmic Charts: When Log Is Better, and When Neither Is Very Good
This is quick explainer on linear vs logarithmic charts. We hope that even experienced users who are familiar with the subject will find a nugget or two of useful wisdom in here. We provide all backtests in two flavors: linear and logarithmic (log). There’s a button below each chart where you can switch between them […]
New Performance Charts with Awesome New Features
We’ve radically redesigned the charts we use to show backtested performance throughout the member’s platform. At first glance, the new charts look familiar, but there are a ton of useful ways members can now manipulate them. Let’s look at four new features: Zoom by predefined periods, with rebasing to $10,000 Zoom by specific start and […]
Meb Faber’s 12-Month High Switch
This is a test of the 12-Month High Switch Model, a Tactical Asset Allocation (TAA) strategy from Meb Faber. Meb has done more than anyone to popularize TAA as a trading style, including many of the fundamental concepts used today. This is another of his simple but effective ideas. Backtested results from 1970 follow. Results […]
New Feature: Alternative Benchmarks
Members can now compare both investment strategies and their own custom Model Portfolios to alternative benchmarks like the S&P 500 or Nasdaq 100. Previously, we only benchmarked to the 60/40 (60% US stocks, 40% US bonds), the de facto standard in US asset management. To try it now, go to Compare Strategies and select up […]