We track more than 60 Tactical Asset Allocation strategies. Members can combine those strategies into what we call “Model Portfolios”. Combining strategies in this way reduces the risk of any single strategy going off the rails and helps to provide smoother, more consistent investment returns. But deciding which strategies to trade in your Model Portfolio […]
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Testing a Risk Premium Value Strategy
This is a test of a Risk Premium Value strategy (RPV) that allocates to major US asset classes based on current risk premium valuations relative to historical norms. Readers will note the similarity between RPV and other related strategies, such as CXO Advisory’s SACEVS. Backtested results from 1987 net of transaction costs follow (see backtest […]
Keller’s Resilient Asset Allocation
This is a test of the latest tactical strategy from Dr. Wouter Keller: Resilient Asset Allocation (RAA). RAA is intended to be a low turnover strategy, only shifting from a balanced risk portfolio to a defensive portfolio during the most potentially bearish of times. Backtested results from 1970 follow. Results are net of transaction costs […]
New Platform Features and a Look at What’s Coming Next
We continue to expand our platform based on invaluable feedback from members. Here’s a quick look at features we’ve added over the last month, and what’s coming up in the near future. New Feature #1: Longer Model Portfolio Backtests New here? Our platform allows members to combine multiple TAA strategies together into what we call […]
Safe Withdrawal Rates for Tactical Asset Allocation vs Buy & Hold
In this post we model retirement Safe Withdrawal Rates (SWR) and Perpetual Withdrawal Rates (PWR) for a large collection of tactical and buy & hold strategies. We track 50+ tactical strategies, allowing us to draw some broad conclusions about TAA as a trading style. Learn more about what we do. Members: This post only includes […]
Aspect Partners’ Risk Managed Momentum
This is an independent test of Aspect Partners’ flagship tactical asset allocation strategy Risk Managed Momentum (RMM). By tactical standards, RMM is a very active, very aggressive strategy. It has done an excellent job navigating this difficult year so far. Backtested results from 1970 follow. Results are net of transaction costs (see backtest assumptions). Learn […]
Momentum Turning Points
This is a test of two recent papers: Momentum Turning Points and Breaking Bad Trends. Learn more about what we do and follow 50+ asset allocation strategies like these in near real-time. Successful trend-following strategies must balance the “speed” of the trading signal. If the signal is too slow, the strategy will not adapt quickly […]
Adding a 1-Day Lag When Executing TAA Strategies
We track 50+ public Tactical Asset Allocation (TAA) strategies in near real-time, allowing us to draw broad conclusions about TAA as a trading style. By design, most of those strategies trade just once per month, and most assume that next month’s asset allocation is both calculated and executed on the same day (learn more). When […]
Using Aggregate TAA Allocation as a Tool for Timing the Market
We track 50+ public Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is that we show the aggregate allocation across all of those strategies each day (member link). For example, the graph below shows the aggregate allocation year to date by category of asset. Note the increase in defensive allocation (ex. bonds) […]
Tactical Asset Allocation in April: Stubbornly Defensive
Tactical Asset Allocation (TAA) dodged the worst of the bear in February and March, but trailed the big bounce in April. Entering May, TAA remains stubbornly defensive. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw broad conclusions about TAA as a style. In the table below we show the […]