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 […]
Timing TAA Strategies
“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, […]
Investing in “Distressed” TAA Strategies
Edit: This analysis has been deprecated. Click for an updated perspective. In response to a member question: Have you ever looked at a systematic approach that invested only in tactical asset allocation strategies that were experiencing a significant drawdown? We know that performance chasing is a flawed behavioral bias, so an approach like this could […]
Timing TAA Strategies Based on Relative Strength: A Suboptimal Approach
We track a wide range of tactical asset allocation strategies in near real-time (41 and counting), which members can combine into their own custom portfolios. We provide members with a wealth of data to understand how each strategy fits into a coherent trading plan, but we don’t tell members the absolute “best” ones to trade […]