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 […]
Site Announcements
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 […]
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 […]
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 […]
New Feature: 10-Year Stock Market Return Forecast
We are often asked about stock market valuation models such as Shiller’s CAPE Ratio and the Buffet Indicator. These models predict long-term returns, usually forecasting the next 10 years. Our recent analysis of one such valuation model, the Aggregate Investor Allocation to Equities, motivated us to take our our own deep dive into the subject. […]
Vintage Economic Data: Part of Our Perpetual Drive to Better Results
Some of the strategies we track use economic data, like the unemployment rate, when making investment decisions. Like 99.99% of strategy backtests you’ll encounter, we’ve always taken the shortcut of basing our historical results on that economic data as it looks today. The problem is that introduces a degree of “lookahead bias”. Economic data is […]
A Note About Commodities and How We Represent Them on Our Platform
We represent each asset class on our platform using the largest, most liquid ETF available (read why). Currently, we represent the asset class “diversified commodities” with the Invesco ETF DBC, but after this weekend, we’ll be changing to a different Invesco ETF PDBC. There are two reasons for this change: For non-US investors, there are […]