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 […]
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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 […]
Tactical Asset Allocation During Bear Markets and Major Pullbacks
One of the primary benefits of Tactical Asset Allocation (TAA) is the ability to manage losses during major market declines. TAA does that by reducing allocation to risk asset classes like stocks and real estate, and increasing allocation to defensive assets like bonds and gold. In this post, we test how the 60+ TAA strategies […]
Financial Mentor’s Optimum3 Strategy
This is an independent test of Optimum3, a tactical asset allocation strategy from Todd Tresidder of FinancialMentor.com. Optimum3 starts as a momentum strategy similar to many of the TAA strategies we track. It combines that with a unique approach to portfolio optimization to enforce a degree of “high momentum diversification”. Backtested results from 1987 follow. […]
Using OECD Composite Leading Indicator Data to Time the Market
This is a test of the “Global Growth Cycle” strategy from Grzegorz Link that uses OECD Composite Leading Indicator (CLI) data to time the market. We’re going to present these results in an odd way. First, we’re going to replicate Grzegorz’s test, which (as he discusses) includes a degree of lookahead bias. Due to the […]
When the Close Is Not Really the Close (A Geeky Discussion)
This post covers an issue rarely discussed in backtesting: the day’s last real-time price shown at 4pm ET often differs slightly from the day’s official closing price determined shortly after 4pm. This is not an Allocate Smartly issue; it’s an oddity of the exchanges. Every so often this difference can cause discrepancies between backtests based […]
Diving Deeper: Does the Day of the Month Matter?
Most Tactical Asset Allocation (TAA) strategies trade just once a month. Backtests of those strategies usually assume trades are executed on the last trading day of the month. Why? Monthly asset data is often available further back into history than daily data. Assuming trades are executed at month-end allows for longer backtests, showing how the […]
Countercyclical Trend Following
This is a test of a tactical strategy based on contrarian timing of the business cycle, increasing risk during periods of stress and decreasing risk during periods of calm. The strategy adds trend-following to this countercyclical approach to manage short-term market shocks. Backtested results from 1980 follow. Results are net of transaction costs – see […]
New Feature: Cluster Analysis
We track a lot of tactical strategies, and it can be difficult to understand how they all fit together in the big picture. The usual correlation matrix (example) is helpful when drilling down on a single strategy, but it’s near impossible to see the forest for the trees among the 1000’s of data points. In […]
New 3rd party app: Flow Allocator
If you’re a Mac user and a hardcore asset allocation nerd like us, check out this new 3rd party app: Flow Allocator (available in the Mac Store for U.S. users). Our aim is to be best in class in terms of determining your optimal asset allocation, but we’ve always been hands off in terms of […]