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 […]
TAA Analysis
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) […]
This Crisis Has Not Been Kind to Tactical ETFs
DIY tactical asset allocation (i.e. the types of public strategies that we cover on this site) has been strong through this crisis. Tactical ETFs on the other hand have struggled badly. We track 50+ DIY TAA strategies, allowing us to draw some broad conclusions about TAA as a style. In the graph below we show […]
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”; […]
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 […]
Buying Global Stocks at All-Time Highs
This analysis was inspired by EconomPic and Meb Faber. Here we test a simple strategy that goes long Global Stocks (ACWI) when they make a new all-time month-end high, otherwise US bonds. The takeaway: Don’t fear buying stock (indices) when they close at all-time highs. A new high shouldn’t be your only reason for buying […]
The Ubiquitous “Sell in May”
As a site that tracks all things asset allocation, it seems like a miss not to include the most well known of asset allocation strategies: “Sell in May and go away” (aka the Halloween Indicator). This is a fitting time to add it to the lineup: The strategy is killing it this year and a […]