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 […]
Random Thoughts
Inflation and Stock/Treasury Correlation
There has been a surge in correlation between US stocks and Treasuries over the last couple of years. To illustrate, below we’ve shown the rolling 3-year correlation between US stocks and 10-year Treasuries since 1900 (based on monthly returns). Note the spike at the far right of the chart. What is correlation? In this context, […]
Super-Secret Proprietary Black Box Strategies
Note: This is a rare non-geeky, non-quantitative, stream of thought blog post. Because we’re so deep into this world of Tactical Asset Allocation (TAA), we’re sometimes asked for our thoughts on such-and-such black box TAA strategy. By “black box” we mean a strategy for which the trading rules are not disclosed to investors (nor to […]
Geek Note: How to Properly Lag Monthly Economic Data
We’ll be talking about Paul Novell’s flagship SPY-COMP strategy on the blog tomorrow. The strategy uses monthly economic data, like the kind available from the FRED database. We’ve covered a handful of strategies like this in the past (think Philosophical Economics’ Growth Trend-Timing). Whenever we do, we invariably get a ton of questions, because it […]
Last Week (Painfully) Illustrated the Importance of Non-Binary Portfolios
This is one of my favorite takes of the last week. It was tweeted on Friday, which held two distinctions: (1) It capped off a helluva scary week, and (2) It just so happened to be month-end, when many TAA strategies trade by default. The managers I envy the LEAST today are those who run […]
The Threat of Rising Rates and the Impact on TAA vs B&H Investing
We’ve written a lot here and on our sister site BetterBuyAndHold.com about the threat of rising interest rates. You can read some of our past work projecting returns for Treasury ETFs and other interest rate sensitive assets here and here. In a nutshell, assuming that we’re near the tail end of this 37+ year march […]
For the Nerds: Why We Conform All Strategies to a Common Set of Assets
This post gets a bit down into the weeds of how our backtest engine works, but we’ve received this question a few times recently, so we thought a blog post was in order for readers who are (like us) nerds. We conform all of the strategies that we track to a common set of assets […]
On The Diversification Dangers of DIY Tactical Asset Allocation
We wanted to take a moment to highlight two must read posts from Newfound Research. Newfound is a thought leader in the TAA space and we highly recommend following them now. The Diversification Dangers of DIY Tactical [dead link] – and – Diversifying the What, How, and When of Trend Following Newfound outlines three ways […]
Why You Need Independent Verification of Strategy Results
Our site serves a lot of purposes for tactical asset allocation (TAA) investors: curating the best published strategies, testing those strategies with superior historical data, providing the ability to combine strategies into custom portfolios, and tracking even the most complex strategies in near real-time. But maybe the most important function we serve is simply independent verification […]
The Perils of Backtesting with Unrealistic Data
As readers hear us repeat often, our results tend to be less optimistic than you’ll find elsewhere. We do our best to show backtested results that are as realistic as possible (even though showing results that are as good as possible would probably be better for business). That’s partially a result of simple things, like accounting […]