A big part of the value that we provide to members is the collection of historical asset data used in our tactical asset allocation backtests.
Today, just about every asset class imaginable is covered by an ETF or ETN, but of course, these are recent creations. In order to extend our backtests as far into the past as possible, we use simulated data based on highly similar proxies (usually the underlying index that each ETF/ETN tracks, see an example). Most of the data used in creating this simulated asset data is not freely available, so we’ve spent a lot of money to acquire it so that you don’t have to. This allows us to create backtests that are more accurate than you’ll find elsewhere.
We’re on a perpetual hunt for the best historical data. We just completed a major enhancement to all of our asset data, and that new data is now live in the members area.
What does this mean for you? Only good things.
First, we’re only talking about asset data used in the distant past, so there’s no impact on either current asset allocations or backtested results from recent years. This change only affects distant results.
Most of the strategies that we track saw little to no change. Excluding the strategies I mention below, the biggest change in annualized return for any strategy was 0.3%, and the biggest change in Sharpe Ratio was 0.02. Negligible.
But for the following eight strategies, we were able to extend our backtests by as much as 18 years. This gives members a lot more history to analyze, and extends results through key market events like rising interest rates in the 1970’s and Black Monday in October, 1987:
- Elastic Asset Allocation – Defensive
- Elastic Asset Allocation – Offensive
- Flexible Asset Allocation
- Generalized Protective Momentum
- Global Risk-Parity Trend-Following
- Protective Asset Allocation
- Protective Asset Allocation – CPR
- Vigilant Asset Allocation
We invite you to become a member for less than $1 a day, or take our platform for a test drive with a free limited membership. Members can track the industry’s best tactical asset allocation strategies in near real-time, and combine them into custom portfolios. Have questions? Learn more about what we do, check out our FAQs or contact us.