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 […]
TAA Strategies
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. […]