We’ve begun tracking two new tactical asset allocation strategies: Defensive Asset Allocation (DAA) and Accelerating Dual Momentum (ADM). We’ll be introducing both in more detail on our blog in the coming weeks. Members can review their historical performance and begin tracking them in near real-time in our members area now: DAA | ADM.
Defensive Asset Allocation
DAA is the latest strategy from Dr. Wouter Keller and JW Keuning, with their paper: Breadth Momentum and the Canary Universe.
The strategy is very similar to their popular Vigilant Asset Allocation strategy, but uses a smaller “canary” universe to determine when to shift the portfolio to defensive assets. The end result is that the strategy moves to defensive assets much less frequently, while still doing a good job historically sidestepping losses.
Accelerating Dual Momentum
ADM comes from the site Engineered Portfolio. It’s an especially aggressive strategy, exhibiting the highest annualized volatility of any strategy that we track. ADM ties together multiple concepts from other strategies that we track:
- It’s based on asset class momentum across multiple time frames that are more short-term oriented than most TAA models. This makes ADM more responsive (for better or worse) to market changes. This is a similar approach to Vigilant Asset Allocation, and Meb Faber’s Aggressive GTAA.
- It employs a “dual momentum” approach, like the Traditional Dual Momentum and Composite Dual Momentum strategies, requiring an asset to show strength on both an absolute and relative basis (i.e. relative to both itself and other assets).
A couple of other member goodies:
- We’ve expanded the Aggregate Asset Allocation report to cover the previous three months, in order to better spot important trends. This report shows the combined allocation of all of the strategies that we track to provide insight into how TAA as a whole is reacting to the market.
- We’ve added a “Current Drawdown” stat to the Strategy Screener, showing the current level of drawdown (loss from the previous peak) for each of the strategies that we track. This stat highlights those strategies that are struggling in this market. How to find it: click “Columns & Filters” followed by “Columns to Display”.
New here?
We invite you to become a member for about a $1 a day, or take our platform for a test drive with a free limited membership. Put the industry’s best tactical asset allocation strategies to the test, combine them into your own custom portfolio, and then track them in near real-time. Have questions? Learn more about what we do, check out our FAQs or contact us.
