Every strategy and Model Portfolio now includes a Return Contribution analysis, showing each asset’s contribution to overall annual return. We further aggregate results by asset category and risk on/off, as well as estimate the drag from “trading friction” (transaction costs + slippage). Let’s walk through a sample return contribution analysis using the most popular strategy […]
Various Miscellany
New Feature: Model Portfolio Withdrawal Rates
We’ve added Safe and Perpetual Withdrawal Rates to your custom Model Portfolios. New here? Learn more: What is a Model Portfolio? What are Withdrawal Rates? The Safe Withdrawal Rate (SWR) measures the max amount that could have been withdrawn each year in retirement (with an annual adjustment for inflation) without running out of money over […]
Member Note: Our Approach to Selecting Strategies for the Platform
A long-time member who has been a valuable source of feedback over the years sent us the following note about the most recent strategy added to the platform: Gold Cross-Asset Momentum. The strategy has performed poorly relative to other strategies on the platform. You’ve turned down other stuff that was marginal like this, so I’m […]
New Feature: The Underperformer Watchlist
We’ve added a new feature for members, the Underperformer Watchlist. All investment strategies go through rough patches. It’s the nature of taking risks in inherently unpredictable financial markets. One of the difficulties of investing is knowing when a rough patch is just a normal period of poor performance, and when it’s significant enough to warrant […]
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 […]