TAA Strategies

This is a test of the “Classical Asset Allocation” strategy from the paper Momentum and Markowitz: A Golden Combination, authored by three of our favorite minds in tactical asset allocation: Dr. Wouter Keller, Adam Butler of GestaltU/ReSolve AM, and Ilya Kipnis from the blog QuantStrat TradeR. This TAA model employs Markowitz’s classic mean-variance optimization, coupled […]

This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management. The strategy adds a number of dynamic features to a classic buy & hold strategy to better manage volatility and losses. Results from 1970, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help […]

This is a test of the Growth-Trend Timing (GTT) model from the always thought-provoking Philosophical Economics. GTT combines trends in price and key economic indicators to switch between US equities and cash. Results from 1970, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time. […]

This is a test of a tactical asset allocation strategy from the excellent paper: The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (1). The strategy combines two important tools: trend-following (to determine what assets to hold) and risk parity (to determine how much of each asset to hold), […]

This is a test of the Generalized Protective Momentum (GPM) strategy from JW Keuning and Wouter Keller. The strategy builds off of the authors’ popular Protective Asset Allocation (PAA) model that we discussed last month. Results for the GPM strategy from 1989, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly […]

This is a test of a tactical bond strategy from Paul Novell of Investing for a Living. The model rotates among a broad basket of bond asset classes based on rules similar to Gary Antonacci’s Dual Momentum. Results from 1970, net of fees, follow. Read more about our backtests or let AllocateSmartly help you follow […]

This is a test of the “Golden Butterfly”, the homegrown buy & hold strategy from PortfolioCharts.com. PortfolioCharts is to buy & hold what AllocateSmartly is to tactical asset allocation, an independent and unbiased catalog of strategy performance, so when they put their stamp of approval on a portfolio, it deserves consideration. This strategy is similar […]

This is a test of two variations of the Protective Asset Allocation (PAA) strategy from Wouter Keller and JW Keuning’s paper: PAA: A Simple Momentum-based Alternative to Term Deposits. The strategy is notable for its aggressive use of a “crash protection” asset that has resulted in extremely low drawdowns relative to return. Results from 1989, […]

This is a test of a number of popular approaches to portfolio optimization. Each seeks to answer the question: given a universe of assets, how much should we allocate to each? We’ve intentionally made these tests as simple and fair (read: unoptimized) as possible in order to best represent each technique. Here we focus on […]

This is a test of “Composite Dual Momentum”, broadly based on Gary Antonacci’s paper: Risk Premia Harvesting Through Dual Momentum. The model uses Antonacci’s unique approach to measuring momentum, which considers both absolute (aka time-series) and relative (aka cross-sectional) momentum, to trade a much larger basket of asset classes than his more well-known Traditional Dual Momentum strategy. Results […]