Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Trend Following on Steroids (Wouter Keller via Alpha Architect) Wouter Keller details his latest tactical model: “Defensive Asset Allocation”. We track a number of strategies from Dr. Keller and his partner-in-quant JW Keuning (including this one). It’s worth noting that their […]
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Tactical Asset Allocation in November
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 we […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: When Simplicity Met Fragility (Newfound Research) Yes, yes, yes. A must read. “Research suggests that simple heuristics are often far more robust than more complicated, theoretically optimal solutions. Taken too far, we believe simplicity can actually introduce significant fragility into an investment process.” […]
Tactical Asset Allocation in October
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 we […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: Market Timing the Credit Cycle (EconomPic) Jake looks at forward returns based on the width and direction of the credit “quality spread” (high yield minus investment grade OAS). Below we’ve reproduce Jake’s results and added an equity curve showing SPY returns in the […]
Tactical Asset Allocation in September
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 we […]
Accelerating Dual Momentum
This is a test of the tactical asset allocation strategy “Accelerating Dual Momentum” (ADM) from EngineeredPortfolio.com. ADM is an especially aggressive strategy that ties together multiple concepts from other TAA models that we track. Results from 1990 to the present, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you […]
FX Risk, International ETFs and Asset Allocation
In our previous post, we touched on FX rates and their impact on international ETFs like EFA or EEM. In short, because international ETFs trading in the US are denominated in USD, most are affected not only by changes in underlying assets, but also by changes in the exchange rate between USD and local currencies (1). […]
Asset Allocation Roundup
Recent asset allocation articles (tactical or otherwise) that you might have missed: We Are All FX Traders Now (Alpha Scientist) Because international ETFs trading in the US (ex. EFA or EEM) are denominated in USD, most are affected not just by changes in the underlying assets, but also by changes in the exchange rate between […]
Tactical Asset Allocation in August
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 we […]