Allocate Smartly

TAA Strategies

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 […]

Financial Mentor’s Optimum3 Strategy

This is an independent test of Optimum3, a tactical asset allocation strategy from Todd Tresidder of FinancialMentor.com. Optimum3 starts as a momentum strategy similar to many of the TAA strategies we track. It combines that with a unique approach to portfolio optimization to enforce a degree of “high momentum diversification”. Backtested results from 1987 follow. […]

Using OECD Composite Leading Indicator Data to Time the Market

Edit 08/21/23: A follow up to this analysis was posted here. This is a test of the “Global Growth Cycle” strategy from Grzegorz Link that uses OECD Composite Leading Indicator (CLI) data to time the market. We’re going to present these results in an odd way. First, we’re going to replicate Grzegorz’s test, which (as […]

Countercyclical Trend Following

This is a test of a tactical strategy based on contrarian timing of the business cycle, increasing risk during periods of stress and decreasing risk during periods of calm. The strategy adds trend-following to this countercyclical approach to manage short-term market shocks. Backtested results from 1980 follow. Results are net of transaction costs – see […]

Strategies That Play Well With Others

We track more than 60 tactical asset allocation strategies. In this post we look at which of those strategies are most often recommended by common portfolio optimization techniques, and why strategies that “play well with others” are not always the best strategies. First, a little background for the uninitiated: Members can combine the strategies we […]

Paul Novell’s Bond-COMP Tactical Bond Strategy

This is a test of a tactical bond strategy from Paul Novell of Investing for a Living. It rotates between credit bond ETFs and defensive assets based on the same rules as his popular SPY-COMP strategy. Backtested results from 1970 follow. Results are net of transaction costs – see backtest assumptions. Learn about what we […]

Financial Mentor’s All-Weather Quad Momentum

This is an independent test of the tactical strategy “All-Weather Quad Momentum” (AWQM) from Todd Tresidder of FinancialMentor.com. Many of our members came to us from Financial Mentor, so it’s fitting that we add a strategy to our platform that demonstrates his approach to asset allocation. Backtested results from 1970 follow. Results are net of […]