We’ve previously covered Link’s Global Growth Cycle strategy, which uses OECD Composite Leading Indicator (CLI) data to time the market. The strategy has navigated the market gyrations over the last few years well, so naturally it’s gotten the attention of members. Recent strategy results follow. Learn about what we do and follow 70+ asset allocation […]
TAA Strategies
Our Take on “The Single Greatest Predictor of Future Stock Market Returns”
Readers have asked for our take on “the single greatest predictor of future stock market returns”, aka the Aggregate Investor Allocation to Equities. This indicator was first shared by Philosophical Economics back in 2013, and recently resurrected by Portfolio Optimizer (two excellent sites you should be following). A very brief primer: The Aggregate Investor Allocation […]
A Key New Momentum Measure to Consider: Distance from 1-Year High
This research was inspired by Alpha Architect’s coverage of a new paper looking at how the distance from a stock’s 1-year high has affected the performance of momentum strategies and the likelihood of “momentum crashes”. We look at the same question applied to a stock index: the S&P 500. We show that how far the […]
Mark Virag’s “Momentum Based Balancing”: Relative Momentum Taken to the Extreme
This a test of Mark Virag’s paper “Momentum Based Balancing for the Diversified Portfolio” (NAAIM Wagner Award winner, 2014). This is a relative momentum strategy that provides an interesting contrast to a popular strategy we track: FinancialMentor.com’s Optimum 3. More on this later. Backtested results from 1973 follow. Results are net of transaction costs – […]
Hybrid Asset Allocation
This is a test of the latest tactical asset allocation strategy from Dr. Wouter Keller and JW Keuning and their paper: Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA). Backtested results from 1971 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 70+ […]
Zakamulin’s Optimal Trend Following
This is a test of a novel trend-following strategy from the paper Optimal Trend Following Rules in Two-State Regime-Switching Models by Valeriy Zakamulin and Javier Giner. These results aren’t as eye catching as many we track, but the paper contributes some important ideas to the study of tactical asset allocation. Results trading the S&P 500 from […]
Cross-Asset Signals and Time Series Momentum
This is a test of concepts from the paper Cross-Asset Signals and Time Series Momentum. Standard “time series” momentum is a well-documented feature of financial markets. Assets going up tend to continue going up. In this paper, the authors show that stocks and treasuries can also be used to time each other. This is “cross-asset” […]
Bold Asset Allocation
This is a test of Dr. Wouter Keller’s tactical strategy “Bold Asset Allocation” (BAA) from his paper Relative and Absolute Momentum in Times of Rising/Low Yields. Backtested results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we do and follow 60+ asset allocation strategies like this one […]
Predicting US Treasury Returns
This is a test of the paper Predicting Bond Returns: 70 Years of International Evidence. The authors use an ensemble model to trade US and international treasury bonds. Over the last 60+ years the strategy would have produced long-term returns in line with buy & hold, while significantly reducing short-term volatility and drawdowns, especially during […]
Trending Fast and Slow
This is a test of a tactical strategy from the paper Trending Fast and Slow. It trades the S&P 500 by switching between fast and slow momentum based on market volatility. The strategy would have kept pace with the S&P 500, while significantly reducing the worst drawdowns. Backtested results from 1954 follow. Results are net […]