Allocate Smartly

TAA Strategies

Piard’s Annual Seasonality

This is a test of two stock market seasonality strategies from Fred Piard’s book Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors. Strategy results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 90+ asset allocation strategies like this one in […]

Front Running Commodity Seasonality

This is an independent test of a series of interesting studies from Quantpedia (here and here) related to seasonality in commodity ETFs. We’ve more than doubled the length of the author’s original test using relevant index data (1). Test #1: Front running commodity seasonality In all of our tests, we will be trading the same […]

NLX Finance’s Hybrid Asset Allocation 60/40

This strategy from NLX Finance is an alternative version of a strategy we’ve covered previously: Dr. Keller & Keuning’s Hybrid Asset Allocation (HAA). It trades based on all the same rules as the original HAA with one exception: rather than allocating 100% to US stocks when risk on, it holds a 60/40 mix of US […]

Excess Earnings Yield Dynamic Valuation Strategy

This is a test of the “Excess Earnings Yield Dynamic” valuation strategy based on the paper Man Doth Not Invest by Earnings Yield Alone by White and Haghani of Elm Wealth. The strategy dynamically splits the portfolio between stocks and TIPS based on “excess earnings yield”, which is the cyclically-adjusted earnings yield (1 / CAPE) […]

Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia

This is a test of Pragmatic Asset Allocation from Vojtko and Javorská of Quantpedia. While the strategy is “tactical” (i.e. changes allocation over time in response to market conditions), it’s also designed to ensure tax efficiency. We track many tactical strategies that have been tax efficient, but none that enforce that efficiency through explicit rules […]

Meb Faber’s 12-Month High Switch

This is a test of the 12-Month High Switch Model, a Tactical Asset Allocation (TAA) strategy from Meb Faber. Meb has done more than anyone to popularize TAA as a trading style, including many of the fundamental concepts used today. This is another of his simple but effective ideas. Backtested results from 1970 follow. Results […]

Dr. Keller & Keuning’s Simple Variation of “Hybrid Asset Allocation”

This is a test of the “simple” variation of Dr. Keller and Keuning’s strategy from their paper Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA). We’ve covered the “balanced” version of HAA previously. It has become one of the more popular strategies on our platform, and members have asked us to add […]

Choi’s Dividend & Growth Allocation

Edit 01/10/24: This post has been revised since initial publication. See the end notes to learn more. This is a test of Paul Choi’s paper Balance Between Growth and Dividend: Dividend & Growth Allocation (DGA). This strategy would have delivered exceptional performance over the last 50 years, but we would temper future expectations for several […]

Testing “TrendYCMacro” from Ďurian and Vojtko of Quantpedia

This is a test of the “TrendYCMacro” strategy from the paper Avoid Equity Bear Markets with a Market Timing Strategy from Ďurian and Vojtko of Quantpedia. The strategy combines trends in price, the slope of the yield curve and key economic indicators to switch between US equities and cash. Backtested results from 1927 follow. Results […]