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TAA Strategies

Sector Rotation with Fama-French Alphas

Allocate Smartly tests and tracks asset allocation strategies sourced from books, academic papers and other publications. Most of the strategies that we test though never make it on to this site. There are a variety of reasons that might be, but often it’s simply because they’re not very good. Usually we just let those strategies […]

Filed Under: TAA Strategies, Things That Don't Work

Meta Strategy: A Smart Approach to Combining TAA Strategies

We’re very excited for the launch of an awesome new feature for our members: Meta Strategy. We track a wide range of published tactical asset allocation strategies in near real-time (40 and counting), which members can then combine into their own custom portfolios. Our platform helps members better understand how each strategy fits into a […]

Filed Under: Meta Strategy, Site Announcements

Meb Faber’s Trinity Portfolio (Lite)

This is a test of the Trinity Portfolio from Meb Faber and Cambria Investments, so named for the three key elements of the strategy: (1) a globally diversified mix of assets, (2) a tilt towards the value and momentum factors, and (3) exposure to momentum and trend-following. We’ve titled our test Trinity “Lite” because we’ve made […]

Filed Under: TAA Strategies

Vigilant Asset Allocation from Dr. Wouter Keller and JW Keuning

This is a test of the “Vigilant Asset Allocation” (VAA) strategy from the recently published paper: Breadth Momentum and Vigilant Asset Allocation, by Dr. Wouter Keller and JW Keuning. This is an aggressive momentum trading model, similar in spirit to Keller and Keuning’s popular Protective Asset Allocation strategy. Results versus the 60/40 benchmark from 1971 to […]

Filed Under: TAA Strategies

Classical Asset Allocation: Combining Markowitz and Momentum

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 […]

Filed Under: TAA Strategies

Tactical Permanent Portfolio from GestaltU and ReSolve Asset Management

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 […]

Filed Under: TAA Strategies

Philosophical Economics’ Growth-Trend Timing

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. […]

Filed Under: TAA Strategies

TAA Strategy Combining Risk Parity & Trend Following

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), […]

Filed Under: TAA Strategies

Keuning & Keller’s Generalized Protective Momentum

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 […]

Filed Under: TAA Strategies

Paul Novell’s Tactical Bond Strategy

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 […]

Filed Under: TAA Strategies

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We have built a platform to track the industry's best Tactical Asset Allocation strategies in near real-time, and combine them into custom portfolios.

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New from Our Blog

  • New Feature: Optimized Model Portfolios March 24, 2021
  • Testing a Risk Premium Value Strategy March 2, 2021
  • Keller’s Resilient Asset Allocation January 19, 2021

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