This is the fourth installment in our series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read parts 1, 2 and 3. In our previous studies we selected strategies based on recent return. In this study, we select “distressed” strategies, or strategies nearing or exceeding their previous max drawdown. We looked at […]
Things That Don't Work
“Surfing the Equity Curve”: Using Trend-Following to Switch Strategies On and Off
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 […]
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, […]
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 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 […]
Inflation and Stock/Treasury Correlation
There has been a surge in correlation between US stocks and Treasuries over the last couple of years. To illustrate, below we’ve shown the rolling 3-year correlation between US stocks and 10-year Treasuries since 1900 (based on monthly returns). Note the spike at the far right of the chart. What is correlation? In this context, […]
Super-Secret Proprietary Black Box Strategies
Note: This is a rare non-geeky, non-quantitative, stream of thought blog post. Because we’re so deep into this world of Tactical Asset Allocation (TAA), we’re sometimes asked for our thoughts on such-and-such black box TAA strategy. By “black box” we mean a strategy for which the trading rules are not disclosed to investors (nor to […]