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 […]
Seasonality
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 […]
Predictable End-of-Month Treasury ETF Returns
The inspiration for this post comes from a new paper titled Predictable End-of-Month Treasury Returns (h/t Capital Spectator). A description from the authors: We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly significant in the last few days of the month and are […]
Alternate Trading Days: An Important Analytical Tool
Many of the tactical asset allocation strategies that we track are designed to only trade at the end of the month. When tracking these strategies for members however, we show the results of trading on other days of the month as well. We don’t do this to show off our backtesting prowess; it’s an important analytical […]