This is a test of a number of popular approaches to portfolio optimization. Each seeks to answer the question: given a universe of assets, how much should we allocate to each? We’ve intentionally made these tests as simple and fair (read: unoptimized) as possible in order to best represent each technique. Here we focus on […]
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Tactical Asset Allocation in November
This is a summary of the recent performance of a number of excellent tactical asset allocation strategies. 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. Read more about our backtests or let AllocateSmartly help […]
Composite Dual Momentum
This is a test of “Composite Dual Momentum”, broadly based on Gary Antonacci’s paper: Risk Premia Harvesting Through Dual Momentum. The model uses Antonacci’s unique approach to measuring momentum, which considers both absolute (aka time-series) and relative (aka cross-sectional) momentum, to trade a much larger basket of asset classes than his more well-known Traditional Dual Momentum strategy. Results […]
Tactical Asset Allocation in October
This is a summary of the recent performance of a number of excellent tactical asset allocation strategies. 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. Read more about our backtests or let AllocateSmartly help […]
Stoken’s Active Combined Asset Strategy
This is a test of Dick Stoken’s Active Combined Asset (ACA) strategy from his book Survival of the Fittest for Investors. This tactical asset allocation strategy uses price channel breakouts to choose between pairs of opposing risk and defensive asset classes. Results from 1988, net of transaction costs, follow. Read more about our backtests or […]
New Feature: Strategy Screener
We’ve added a new premium feature for paid members: a powerful Strategy Screener. The strategy screener allows members to filter and sort tactical asset allocation strategies by any of the statistics that we calculate. Members can choose the number of years to analyze, and whether to include alternate trading days. Have a peek at this […]
Aggressive Global Tactical Asset Allocation
A number of members have asked us to test the two aggressive versions of Meb Faber’s GTAA strategy from his seminal paper: A Quantitative Approach to Tactical Asset Allocation. I can’t overstate the importance that Faber’s work has had in popularizing the idea of TAA with the general investing community, and I highly recommend the read. Faber’s […]
The Perils of Backtesting with Unrealistic Data
As readers hear us repeat often, our results tend to be less optimistic than you’ll find elsewhere. We do our best to show backtested results that are as realistic as possible (even though showing results that are as good as possible would probably be better for business). That’s partially a result of simple things, like accounting […]
Tactical Asset Allocation in September
This is a summary of the recent performance of a number of excellent tactical asset allocation strategies. 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. Read more about our backtests or let AllocateSmartly help […]
Alternate Trading Days: An Important Analytical Tool
Many of the tactical asset allocation strategies that we track are designed to only trade at the end of the month. When tracking these strategies for members however, we show the results of trading on other days of the month as well. We don’t do this to show off our backtesting prowess; it’s an important analytical […]