We track more than 60 tactical asset allocation strategies. In this post we look at which of those strategies are most often recommended by common portfolio optimization techniques, and why strategies that “play well with others” are not always the best strategies. First, a little background for the uninitiated: Members can combine the strategies we […]
TAA Analysis
Max Sortino Added to the Portfolio Optimizer (And Whether That Matters)
We track more than 60 Tactical Asset Allocation strategies, which members can combine together into custom portfolios. To make creating those portfolios easier, we provide an optimizer showing the best performing combinations of strategies based on the member’s investment objective, such as maximizing the Sharpe Ratio (risk-adjusted return) or minimizing volatility. By popular demand, we’ve […]
“Accelerating Dual Momentum” Redux: Longer History, Tempered Expectations
This is a follow up to a strategy we’ve covered previously: Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. See our first test of ADM, which includes a description of the strategy rules and our own analysis of the strategy. Here we’ve extended our test by 20 years to include a less effective era for this strategy. […]
New Feature: Optimized Model Portfolios
We track more than 60 Tactical Asset Allocation strategies. Members can combine those strategies into what we call “Model Portfolios”. Combining strategies in this way reduces the risk of any single strategy going off the rails and helps to provide smoother, more consistent investment returns. But deciding which strategies to trade in your Model Portfolio […]
Safe Withdrawal Rates for Tactical Asset Allocation vs Buy & Hold
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 […]
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) […]
Geek Note: How to Properly Lag Monthly Economic Data
We’ll be talking about Paul Novell’s flagship SPY-COMP strategy on the blog tomorrow. The strategy uses monthly economic data, like the kind available from the FRED database. We’ve covered a handful of strategies like this in the past (think Philosophical Economics’ Growth Trend-Timing). Whenever we do, we invariably get a ton of questions, because it […]
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 […]