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TAA Strategies

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: TAA Strategies

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 […]

Filed Under: TAA Strategies

Revisiting “Link’s Global Growth Cycle” Strategy

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 […]

Filed Under: 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 […]

Filed Under: Market Valuation, TAA Strategies

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 […]

Filed Under: TAA Analysis, TAA Strategies

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 – […]

Filed Under: TAA Strategies

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+ […]

Filed Under: TAA Strategies

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 […]

Filed Under: TAA Strategies

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” […]

Filed Under: TAA Strategies

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