This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. Read more about our backtests and what we do.
|Recent Performance of Asset Allocation Strategies
Use the Arrows to Sort this Table
|Traditional Dual Momentum||0.12%||2.40%|
|Elastic Asset Allocation – Defensive||0.08%||3.85%|
|Gray’s Robust Asset Allocation – Aggressive||-0.16%||2.40%|
|Elastic Asset Allocation – Offensive||-0.31%||1.16%|
|Faber’s Global Tactical Asset Alloc. 5||-0.67%||3.05%|
|Faber’s Ivy Portfolio||-0.75%||7.53%|
|Dalio’s All-Weather Portfolio||-0.75%||12.70%|
|Gray’s Robust Asset Allocation – Balanced||-0.82%||2.45%|
|Faber’s Global Tactical Asset Alloc. 13||-1.00%||6.60%|
|Protective Asset Allocation||-1.01%||7.62%|
|Glenn’s Paired Switching Strategy||-1.01%||-0.40%|
|Flexible Asset Allocation||-1.03%||2.24%|
|Browne’s Permanent Portfolio||-1.14%||12.12%|
|Davis’ Three Way Model||-1.38%||4.56%|
|Varadi’s Minimum Correlation Portfolio||-1.39%||16.32%|
|Faber’s Sector Relative Strength||-1.62%||-4.83%|
Year to date, most of these tactical asset allocation strategies have trailed the 60/40 benchmark. That’s not entirely out of the ordinary given the benchmark’s strength so far this year. The benchmark is up 7.6% YTD (11.6% annualized). Since 1970, when the benchmark has performed similarly over any eight month period, 60%+ of the strategies that we track would have underperformed.
While all of the strategies that we track have outperformed the market over their entire history, the majority of that outperformance has come during periods of market stress. As all of us who have been in the trenches know though, the next period of market stress is always right around the next corner.
In the coming weeks, we’ll be adding a number of new strategies and features to the site. We’re also going to begin a running series on this blog, with additional analysis specific to each of the strategies that we track. Watch this space for further information, and if you haven’t do so already, follow our blog via RSS, Email, and our new Twitter account.