Edit 03/18: This situation is getting sufficiently scary, in a way that transcends investing, that we’re going to slow down these periodic updates. Based on how TAA entered the month it should be pretty easy to extrapolate where returns stand now. Will post our next update at the end of this week. Stay safe out […]
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Where Tactical Asset Allocation Stands Now (Monday 03/09)
We’ve fielded a lot of questions this morning about how Tactical Asset Allocation is faring this month. We track 50+ published strategies, so we’re able to draw some broad conclusions about the current state of TAA. Generally speaking, all is well. Individual strategies vary, but as a whole, TAA has weathered the storm so far. […]
Last Week (Painfully) Illustrated the Importance of Non-Binary Portfolios
This is one of my favorite takes of the last week. It was tweeted on Friday, which held two distinctions: (1) It capped off a helluva scary week, and (2) It just so happened to be month-end, when many TAA strategies trade by default. The managers I envy the LEAST today are those who run […]
Where TAA Stands Now
We rarely comment on the current state of the market. The whole point of all this time we spend designing smart, agile rule-based portfolios is so that we don’t have to run around with our hair on fire when all hell breaks loose. Trading on emotion is almost always a bad idea. Having said that, […]
Investing in “Distressed” TAA Strategies
In response to a member question: Have you ever looked at a systematic approach that invested only in tactical asset allocation strategies that were experiencing a significant drawdown? We know that performance chasing is a flawed behavioral bias, so an approach like this could exploit it. We always appreciate thoughtful questions like this from members. […]
Sneak Peak: Robustness to Noise
This is an early preview of a new analytical tool we’ll be adding to our platform later this month. Learn more about what we do. Broadly speaking, the goal of tactical asset allocation is to take advantage of broad market trends via trend-following and/or momentum. Those trends can be difficult to identify because of “noise”; […]
Blending Buy & Hold with Tactical, A “Lethargic” Approach to Asset Allocation
This is a test of a new paper from Dr. Wouter Keller titled Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA). This is primarily a buy & hold strategy that’s roughly based on the classic “Permanent Portfolio”, but it includes an element of tactical asset allocation. This blending of buy & hold with tactical […]
Beware Strategies That Fall Down on Good Data
Sources of long-term historical data are few and far between. Because it’s been generously provided for free, one of the most often used is data from Professor French (of Fama-French fame). Others include Shiller and Ibbotson. These datasets are fine for a first pass at testing out ideas, but they often don’t remotely match up […]
Testing a Yield-Based Asset Class Rotation Strategy
By reader request, this is a test of a tactical strategy from Harrison Schwartz that considers various economic yields in order to rotate among asset classes. Strategy results versus the 60/40 benchmark follow. We’ve extended Schwartz’s original test by an additional 6+ years, and accounted for transaction costs (see backtest assumptions). Learn about what we […]
Tactical Asset Allocation in November
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. 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. Learn more about what […]