TAA Strategies

This is a test of Movement Capital’s Composite Strategy. It combines tactical asset allocation with passive buy & hold. This balance between strategy risk and asset risk may be psychologically easier to trade, encouraging investors to stick with a smart investment plan when either style finds itself out of favor. Results from 1970 net of […]

This is a test of two variations of the Growth-Trend Timing (GTT) strategy from the always thought-provoking Philosophical Economics. GTT combines trends in both price and key economic indicators to switch between US equities and cash. Like most trend-following strategies, the strength of GTT hasn’t been in generating outsized returns; it has been in maintaining […]

The table below shows the asset classes traded by each of the public strategies that we track. Note that this is the strategy’s entire asset universe, and most strategies will only hold a subset of these at any given time. We compiled this data as part of a big upcoming site upgrade, but a number […]

This is a test of Ilya Kipnis’ “Defensive Adaptive Asset Allocation” (KDA). KDA is a “Meta” model of sorts, combining successful elements of multiple other tactical asset allocation strategies that we track. Results from 1989 to the present, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this […]

This is a test of two tactical asset allocation strategies from Brian Livingston’s new book Muscular Portfolios and his site MuscularPortfolios.com: the “Mama Bear” and “Papa Bear” Portfolios. The short and sweet take: neither of these strategies tread new ground – they’re both based on the tried and true concept of “relative” (aka cross-sectional) momentum, and […]

This is a test of the tactical asset allocation strategy “Accelerating Dual Momentum” (ADM) from EngineeredPortfolio.com. ADM is an especially aggressive strategy that ties together multiple concepts from other TAA models that we track. Results from 1990 to the present, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you […]

Vigilant Asset Allocation from Dr. Keller and JW Keuning is one of the most popular tactical asset allocation strategies that we track (click for the full list). The authors’ original paper includes multiple variations of the strategy, based on the number of assets held at any given time and how aggressively the strategy moves to defensive […]

This test is based on the Efficiente Index from JP Morgan. A variation of this strategy is available via the ETF EFFE. The strategy uses traditional mean-variance optimization (aka the “Efficient Frontier”) to trade a broad basket of asset classes, but it’s actually a momentum strategy in disguise. The strategy hasn’t generated huge returns, but […]