This is a test of a dynamic seasonality strategy from Quantpedia that selects from 23 individual country ETFs. We’ve extended the author’s test by 30+ years using MSCI index data. Backtested results from 1971 follow versus an equal-weight benchmark of those 23 country ETFs (1). Learn more about what we do and follow 90+ asset […]
Various Miscellany
New Feature: Walked-Forward Optimal Strategy Combinations (aka “Meta Walk-Forwards”)
Members: See the complete list of Meta Walk-Forwards In our previous post, we introduced this concept of “walking forward” optimal strategy combinations. In other words, we’re finding the optimal combination of strategies, in real-time, based only on data available at that moment in time. We call these “Meta Walk-Forwards”. For members who don’t want the […]
Housekeeping Notice: 8 Representative ETF Changes
We replicate and track Tactical Asset Allocation strategies by representing each asset class with the largest, most liquid ETF available, regardless of performance. Read why. Over the years, the most suitable ETF to represent some asset classes has changed. Early next year we are planning to switch to these more suitable ETFs for 8 asset […]
Is Goldman Sachs’ 3% Annual Return Forecast Based on Bad Data?
This paper from Goldman Sachs made big headlines a couple of months back for forecasting an abysmal 3% nominal annual return for US stocks in the coming decade. For anyone who didn’t read GS’s analysis, the biggest contributor to that poor return was “market concentration”, or the market cap of the largest stocks relative to the […]
Maximum Ulcer Performance Index (UPI) Portfolios
We’ve added a new objective to the Portfolio Optimizer. Members can now find the combination of TAA strategies that would have maximized the Ulcer Performance Index (UPI), aka the “Martin Ratio”. Members: begin exploring the Max UPI portfolios now. UPI is a measure of return relative to drawdowns (i.e. losses). It captures both the length […]
Linear vs Logarithmic Charts: When Log Is Better, and When Neither Is Very Good
This is quick explainer on linear vs logarithmic charts. We hope that even experienced users who are familiar with the subject will find a nugget or two of useful wisdom in here. We provide all backtests in two flavors: linear and logarithmic (log). There’s a button below each chart where you can switch between them […]
New Performance Charts with Awesome New Features
We’ve radically redesigned the charts we use to show backtested performance throughout the member’s platform. At first glance, the new charts look familiar, but there are a ton of useful ways members can now manipulate them. Let’s look at four new features: Zoom by predefined periods, with rebasing to $10,000 Zoom by specific start and […]
New Feature: Alternative Benchmarks
Members can now compare both investment strategies and their own custom Model Portfolios to alternative benchmarks like the S&P 500 or Nasdaq 100. Previously, we only benchmarked to the 60/40 (60% US stocks, 40% US bonds), the de facto standard in US asset management. To try it now, go to Compare Strategies and select up […]
Portfolio Optimizer Version 3.0: Custom Optimized Model Portfolios
We just released version 3.0 of our Portfolio Optimizer for Pro members and it’s awesome. New here? We track Tactical Asset Allocation strategies. Members can combine those strategies together into what we call “Model Portfolios”. The Portfolio Optimizer shows the optimal mix of strategies to trade in your Model Portfolios based on objectives like maximizing […]
“Dynamic Bond” Variations of 10 Tactical Asset Allocation Strategies
Background (we’ve covered all of this before, but just to bring readers up to date): We track 70+ Tactical Asset Allocation strategies sourced from research papers, books, etc. A subset of those strategies have a significant flaw: when shifting to a defensive risk posture, they blindly dump the portfolio into bonds (mostly US Treasuries) regardless […]