Members: See the complete list of Meta Walk-Forwards In our previous post, we introduced this concept of “walking forward” optimal strategy combinations. In other words, we’re finding the optimal combination of strategies, in real-time, based only on data available at that moment in time. We call these “Meta Walk-Forwards”. For members who don’t want the […]
TAA Analysis
Walking Forward Optimal Strategy Combinations
The key takeaway: The Portfolio Optimizer is effective at selecting optimal strategy combinations, even when “walked-forward” (i.e. when limited to data it would have had at that moment in time). First, a bit of background knowledge you’ll need to understand this analysis… Background Knowledge: Model Portfolios and the Portfolio Optimizer We track 90+ asset allocation […]
Taming Excessive “Timing Luck” in TAA by Tranching Strategies
Fair warning: this article is intended for advanced DIY Tactical Asset Allocation investors, i.e. nerds like us. First, a bit of background knowledge you’ll need to understand this discussion… Background knowledge: What is “timing luck”? Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on […]
Piard’s Annual Seasonality
This is a test of two stock market seasonality strategies from Fred Piard’s book Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors. Strategy results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 90+ asset allocation strategies like this one in […]
Front Running Commodity Seasonality
This is an independent test of a series of interesting studies from Quantpedia (here and here) related to seasonality in commodity ETFs. We’ve more than doubled the length of the author’s original test using relevant index data (1). Test #1: Front running commodity seasonality In all of our tests, we will be trading the same […]
Is Goldman Sachs’ 3% Annual Return Forecast Based on Bad Data?
This paper from Goldman Sachs made big headlines a couple of months back for forecasting an abysmal 3% nominal annual return for US stocks in the coming decade. For anyone who didn’t read GS’s analysis, the biggest contributor to that poor return was “market concentration”, or the market cap of the largest stocks relative to the […]
Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia
This is a test of Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia. While the strategy is “tactical” (i.e. changes allocation over time in response to market conditions), it’s also designed to ensure tax efficiency. We track many tactical strategies that have been tax efficient, but none that enforce that efficiency through explicit rules […]
Is Month-End Still the Best Time to Trade Tactical Strategies?
Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on the last trading day of the month. A unique feature of our platform is the ability to follow these strategies on any other day of the month as well. We’re not simply executing the same […]
Tactical Asset Allocation and Taxes: FIFO vs LIFO Deep Dive
This is a deep dive into which share disposal method – FIFO or LIFO – would have been more tax advantageous for the 80+ asset allocation strategies we track. When selling shares FIFO (first in, first out), the oldest shares held are sold first. When selling LIFO (last in, first out), the most recently purchased […]
Maximum Ulcer Performance Index (UPI) Portfolios
We’ve added a new objective to the Portfolio Optimizer. Members can now find the combination of TAA strategies that would have maximized the Ulcer Performance Index (UPI), aka the “Martin Ratio”. Members: begin exploring the Max UPI portfolios now. UPI is a measure of return relative to drawdowns (i.e. losses). It captures both the length […]