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Timing Luck & Portfolio Tranching

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: Alternate Trading Days, Seasonality, Timing Luck & Portfolio Tranching

Member Analysis: The Effect of Combining Strategies on Timing Luck

We enjoy hearing from members about their experiences using our platform to analyze and combine tactical asset allocation strategies. We do a bad job of sharing that feedback with other members, and that’s a shame, because there’s often a lot of wisdom in it. So let’s change that. What follows is an email from member […]

Filed Under: Member Contributions, Timing Luck & Portfolio Tranching

Timing Luck and Portfolio Tranching

In this post we discuss portfolio “tranching” (i.e. dividing a portfolio into overlapping slices of the same underlying strategy) to minimize “timing luck”. This is an under discussed but important topic in tactical asset allocation. For more smart thoughts on portfolio tranching, see this excellent piece from Newfound Research. For our test case, we’ll use […]

Filed Under: Timing Luck & Portfolio Tranching

Allocate Smartly Just Got Even Better

Allocate Smartly just got even better, with three awesome new features to help members make better Tactical Asset Allocation (TAA) decisions: Multiple Custom Model Portfolios + Dashboard Portfolio Tranching Aggregate Asset Allocation Report Multiple Custom Model Portfolios A key component of our members area is what we call “custom model portfolios”. What is a model […]

Filed Under: Site Announcements, Timing Luck & Portfolio Tranching

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