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PortfolioCharts’ Golden Butterfly

This is a test of the “Golden Butterfly”, the homegrown buy & hold strategy from PortfolioCharts.com. PortfolioCharts is to buy & hold what AllocateSmartly is to tactical asset allocation, an independent and unbiased catalog of strategy performance, so when they put their stamp of approval on a portfolio, it deserves consideration. This strategy is similar […]

Filed Under: TAA Strategies

Protective Asset Allocation

This is a test of two variations of the Protective Asset Allocation (PAA) strategy from Wouter Keller and JW Keuning’s paper: PAA: A Simple Momentum-based Alternative to Term Deposits. The strategy is notable for its aggressive use of a “crash protection” asset that has resulted in extremely low drawdowns relative to return. Results from 1989, […]

Filed Under: TAA Strategies

Testing Popular Portfolio Optimization Techniques

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: TAA Performance

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: TAA Performance

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: Site Announcements

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: Data Quality, Random Thoughts, Things That Don't Work

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