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 […]
TAA Strategies
PortfolioCharts’ Golden Butterfly
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 […]
Protective Asset Allocation
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, […]
Testing Popular Portfolio Optimization Techniques
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 […]
Composite Dual Momentum
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 […]
Stoken’s Active Combined Asset Strategy
This is a test of Dick Stoken’s Active Combined Asset (ACA) strategy from his book Survival of the Fittest for Investors. This tactical asset allocation strategy uses price channel breakouts to choose between pairs of opposing risk and defensive asset classes. Results from 1988, net of transaction costs, follow. Read more about our backtests or […]
Aggressive Global Tactical Asset Allocation
A number of members have asked us to test the two aggressive versions of Meb Faber’s GTAA strategy from his seminal paper: A Quantitative Approach to Tactical Asset Allocation. I can’t overstate the importance that Faber’s work has had in popularizing the idea of TAA with the general investing community, and I highly recommend the read. Faber’s […]
Adaptive Asset Allocation
This is a test of a tactical asset allocation strategy from the team at GestaltU and ReSolve Asset Management as described in the paper: Adaptive Asset Allocation: A Primer. The model combines momentum with a minimum variance portfolio to trade a diverse array of global asset classes. The paper is a particularly accessible treatment of issues with traditional […]
David Varadi’s Percentile Channels
This is a test of a tactical asset allocation strategy from David Varadi of CSS Analytics. I’ve been a long-time fan of David’s work. David always devises unique approaches to trading, swimming just outside the mainstream. This strategy is a good example of that. The strategy is notable for its extremely low volatility relative to return. […]