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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 […]

European Investors and TAA Strategies: Four Approaches

We track 80+ Tactical Asset Allocation (TAA) strategies, most of which were designed from the perspective of a US investor trading US ETFs. Most European investors can’t access US ETFs, instead trading UCITS funds listed on non-US exchanges, often denominated in currencies other than USD. In this post we’ll provide data analyzing four approaches a […]

Dr. Keller & Keuning’s Simple Variation of “Hybrid Asset Allocation”

This is a test of the “simple” variation of Dr. Keller and Keuning’s strategy from their paper Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA). We’ve covered the “balanced” version of HAA previously. It has become one of the more popular strategies on our platform, and members have asked us to add […]

Choi’s Dividend & Growth Allocation

Edit 01/10/24: This post has been revised since initial publication. See the end notes to learn more. This is a test of Paul Choi’s paper Balance Between Growth and Dividend: Dividend & Growth Allocation (DGA). This strategy would have delivered exceptional performance over the last 50 years, but we would temper future expectations for several […]

“Dynamic Bond” Variations of 10 Tactical Asset Allocation Strategies

Background (we’ve covered all of this before, but just to bring readers up to date): We track 70+ Tactical Asset Allocation strategies sourced from research papers, books, etc. A subset of those strategies have a significant flaw: when shifting to a defensive risk posture, they blindly dump the portfolio into bonds (mostly US Treasuries) regardless […]

Inflation and Stock/Treasury Correlation

There has been a surge in correlation between US stocks and Treasuries over the last couple of years. To illustrate, below we’ve shown the rolling 3-year correlation between US stocks and 10-year Treasuries since 1900 (based on monthly returns). Note the spike at the far right of the chart. What is correlation? In this context, […]

Long-term Returns for US Treasury Funds Are Predictable

Long-term returns for US Treasury bond funds with a constant maturity (like IEF, TLT and SHY) have been quite predictable simply using initial Treasury yields as an estimate. This observation was popularized by John Bogle. Here’s an excellent recent look from Portfolio Optimizer. How predictable? Below we’ve shown the intial yield on 10-Year US Treasury […]

Super-Secret Proprietary Black Box Strategies

Note: This is a rare non-geeky, non-quantitative, stream of thought blog post. Because we’re so deep into this world of Tactical Asset Allocation (TAA), we’re sometimes asked for our thoughts on such-and-such black box TAA strategy. By “black box” we mean a strategy for which the trading rules are not disclosed to investors (nor to […]