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 […]
TAA Strategies
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. […]