Two new strategies are now available in the members area:
New Strategy #1: Vigilant Asset Allocation
This is the latest model by Dr. Wouter Keller and JW Keuning, from their new paper: Breadth Momentum and Vigilant Asset Allocation.
We’ll be breaking down the strategy in more detail here on our blog in the coming week, but in the meantime, members can check out the near real-time results now. The paper includes multiple versions of this strategy. We’re tracking VAA-G4 (T=1/B=1) as recommended by Dr. Keller.
Note that our results, while excellent, are a little different than those presented in the paper, because we make slightly different asset assumptions (ex. EFA in place of VEA, EEM in place of VWO). As we do throughout this site, we test strategies using the same large, liquid ETF to represent each asset class. This limits the amount of unnecessary asset overlap when members combine strategies into custom model portfolios, and we think provides an extra check on each strategy’s parameter sensitivity.
New Strategy #2: Stoken’s Active Combined Asset (ACA) – Monthly Trading
We’ve been tracking Dick Stoken’s ACA from his book Survival of the Fittest for Investors since late last year. It’s a daily strategy, meaning that it could potentially signal a trade on any given trading day. It’s also one of the more popular models on our site, so we wanted to give members more data to consider.
In this new monthly version, we’ve converted ACA to a strategy trading just once per month. This has allowed us to extend our test much further into the past, while still performing very similarly to the original daily version. Practically-speaking, the monthly version may also be easier for some members to execute, as trading days are known in advance.
A note about our site philosophy: We don’t “customize” strategies like we’ve done here, unless absolutely necessary to fit the structure of this site. As a rule, we want each author’s work to stand on its own. However, Stoken took the same approach in portions of his book as well (due to data limitations), so we’re remaining true to the author’s original intent here.
As always, thank you to all of the strategy authors for their fine work and the opportunity to put these strategies to the test.
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.
