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TAA Analysis

Tactical Asset Allocation Performance During the 2022 Bear Market

As a whole, Tactical Asset Allocation (TAA) did not manage losses during the 2022 bear market as well as it has during previous downturns. Individual strategies varied and some did well, but a primary function of TAA is loss management, and any failure to do so is worth analyzing further. In this post, we’re going […]

Filed Under: Falling Markets, TAA Performance

A Key New Momentum Measure to Consider: Distance from 1-Year High

This research was inspired by Alpha Architect’s coverage of a new paper looking at how the distance from a stock’s 1-year high has affected the performance of momentum strategies and the likelihood of “momentum crashes”. We look at the same question applied to a stock index: the S&P 500. We show that how far the […]

Filed Under: TAA Analysis, TAA Strategies

Vintage Economic Data: Part of Our Perpetual Drive to Better Results

Some of the strategies we track use economic data, like the unemployment rate, when making investment decisions. Like 99.99% of strategy backtests you’ll encounter, we’ve always taken the shortcut of basing our historical results on that economic data as it looks today. The problem is that introduces a degree of “lookahead bias”. Economic data is […]

Filed Under: Data Quality, Site Announcements

The Best Defensive Asset Class

In this post we look at what major asset classes have proven to be the best defensive choice in months when the market has fallen over the last 50+ years. We’ll look at multiple government and corporate bond assets, diversified commodities, gold and the US dollar. The results? As expected, a mixed bag. Investors who […]

Filed Under: Falling Markets

Trending Fast and Slow

This is a test of a tactical strategy from the paper Trending Fast and Slow. It trades the S&P 500 by switching between fast and slow momentum based on market volatility. The strategy would have kept pace with the S&P 500, while significantly reducing the worst drawdowns. Backtested results from 1954 follow. Results are net […]

Filed Under: TAA Analysis, TAA Strategies

Portfolio Optimizer Version 2.0

We’ve just released version 2.0 of our Portfolio Optimizer, and the nerds in us are pretty excited. New here? We track tactical asset allocation strategies. Members can combine those strategies together into what we call “Model Portfolios”. The Portfolio Optimizer shows the optimal mix of strategies to trade in your Model Portfolios based on objectives […]

Filed Under: Optimized Portfolios, Site Announcements

Tactical Asset Allocation During Bear Markets and Major Pullbacks

One of the primary benefits of Tactical Asset Allocation (TAA) is the ability to manage losses during major market declines. TAA does that by reducing allocation to risk asset classes like stocks and real estate, and increasing allocation to defensive assets like bonds and gold. In this post, we test how the 60+ TAA strategies […]

Filed Under: Falling Markets

When the Close Is Not Really the Close (A Geeky Discussion)

This post covers an issue rarely discussed in backtesting: the day’s last real-time price shown at 4pm ET often differs slightly from the day’s official closing price determined shortly after 4pm. This is not an Allocate Smartly issue; it’s an oddity of the exchanges. Every so often this difference can cause discrepancies between backtests based […]

Filed Under: Data Quality

Diving Deeper: Does the Day of the Month Matter?

Most Tactical Asset Allocation (TAA) strategies trade just once a month. Backtests of those strategies usually assume trades are executed on the last trading day of the month. Why? Monthly asset data is often available further back into history than daily data. Assuming trades are executed at month-end allows for longer backtests, showing how the […]

Filed Under: Alt. Trading Days & Tranching, Seasonality

New Feature: Cluster Analysis

We track a lot of tactical strategies, and it can be difficult to understand how they all fit together in the big picture. The usual correlation matrix (example) is helpful when drilling down on a single strategy, but it’s near impossible to see the forest for the trees among the 1000’s of data points. In […]

Filed Under: Site Announcements, TAA Analysis

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New from Our Blog

  • The 10 Most Popular TAA Strategies Ranked July 13, 2025
  • The Lumber-Gold Strategy July 7, 2025
  • Navigating Economic Downturns with Survey-Based Recession Indicators June 24, 2025

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