This is the third installment in a series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read Part 1 and Part 2. We advocate combining multiple TAA strategies together into “Model Portfolios” to limit the risk of any single strategy underperforming. In our previous studies we selected strategies for our Model Portfolio […]
TAA Analysis
Selecting TAA Strategies Based on Recent Performance, Part 2: Recent Sharpe Ratio
This is the second installment in a multipart series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read Part 1. We advocate combining multiple TAA strategies together into “Model Portfolios” to limit the risk of any single strategy underperforming. In our previous study we selected strategies for our portfolio with the highest […]
Selecting TAA Strategies Based on Recent Performance (Part 1)
This is the first of a multipart series examining the selection of Tactical Asset Allocation (TAA) strategies based on recent performance. We are proponents of combining multiple TAA strategies together into what we call Model Portfolios to limit the risk of any single strategy going of the rails. In this study we ask, what if, […]
Diversification Has Been a Huge Drag on TAA Performance for 15+ Years
(…but that won’t always be the case) Over the last 15+ years, diversification (as opposed to market timing) has been a huge drag on Tactical Asset Allocation (TAA) performance, to the tune of 2.1% per year compared to the 60/40 benchmark. That “diversification drag” has been mostly due to US stock market dominance over almost […]
Why TAA is Performing Well Now: Outperformance Attribution
We track 100+ published Tactical Asset Allocation (TAA) strategies, so these results are broadly representative of TAA as an investment style. TAA did reasonably well in 2025 and has done very well in these early days of 2026, relative to the ubiquitous 60/40 benchmark. How much of that is due to TAA correctly timing the […]
Challenging the “Lazy Man’s Momentum Strategy”
This is a quick analysis of the “Lazy Man’s Momentum Strategy”, a simple country rotation strategy. Every six months the strategy selects from 22 country indices, buying the 11 with the highest 6-month return (*). For reasons we discuss in a bit, we will not be adding this strategy to our platform. Backtested results from […]
The 10 Most Popular TAA Strategies Ranked
We’re in a unique position to analyze the behavior of Tactical Asset Allocation (TAA) investors. We track 90+ TAA strategies. Members combine these strategies into what we call “Model Portfolios”. By analyzing how members form these Model Portfolios, we can understand the choices that TAA investors make when strategies are presented objectively (no marketing mumbo […]
The Lumber-Gold Strategy
The Lumber-Gold Strategy was first published a decade ago, won the 2015 NAAIM Wagner Award, and continues to be cited today. The strategy trades based on the relative strength of lumber as a leading economic indicator, versus gold. How has the strategy performed since publication? Strategy results from 1987 follow. Results are net of transaction […]
Cliff Smith’s BKLN Strategy
Questions about this long-ago strategy from Cliff Smith land in our inbox periodically (here’s another recent take). Smith’s simple strategy trades senior loan (aka leveraged loan) ETFs like BKLN, and has continued to be effective at timing these ETFs in the 10+ years since it was published. We’ve extended the author’s original test back to […]
Front-Running Seasonality in Country ETFs: An Extended Test
This is a test of a dynamic seasonality strategy from Quantpedia that selects from 23 individual country ETFs. We’ve extended the author’s test by 30+ years using MSCI index data. Backtested results from 1971 follow versus an equal-weight benchmark of those 23 country ETFs (1). Learn more about what we do and follow 90+ asset […]