Tactical asset allocation – oct 2016 update

Here is the very quick version of the tactical asset allocation update for Oct. Signals are valid for until the end of the month.

Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here.

screen-shot-2016-10-02-at-9-07-49-am

One change for AGG3. VBK replaces VNQ. Two changes for AGG6. IAU and VEA replace VNQ and VGLT.

For the Antonacci dual momentum GEM and GBM portfolios, GEM remains in SPY, and the bond portion of GBM is in CRED. The Antonacci tracking sheet shareable so you can see the portfolio details for yourself.

The Bond 3 quant model, see spreadsheet, ranks the bond ETFs by 6 month return and uses the absolute 6 month return as a cash filter to be invested or not. The Bond 3 quant model remains invested in JNK, VGLT, and EMB. No changes.

A brief look at performance for Sept is below. Another sideways month overall.

screen-shot-2016-10-02-at-9-06-35-am

And approximate performance for 2016 so far. Diversified portfolios continue to do well.

screen-shot-2016-10-02-at-9-15-34-am

Also, the next unemployment figures will be released Friday October 7th. Unless the unemployment rate goes up by 0.1% or more there will be no change to the unemployment rate indicator. I’ll update this post at that time. I will also post on the Q3 2016 quant model performance in the next few days.

Update: The Sept unemployment rate (UER) was released Friday morning, Oct 7th. The UER ticked up to 5.0% bringing it above the 12 mo SMA. This triggers the first portion of the UI-200 day SMA timing system (see here). The second and final trigger would a close below the 200 day SMA for the SPY which we are still about 5% away from.

Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.

8 thoughts on “Tactical asset allocation – oct 2016 update

  1. Hi Paul,
    Although this link shows CRED as performing better than JNK over the past year, I don’t think it accounts for distribution payments:

    http://finviz.com/screener.ashx?v=141&t=JNK,CRED

    I think it’s better to use this link (choose 252 for length) because it includes distributions:

    http://stockcharts.com/freecharts/perf.php?jnk%2C%20cred

    If you do this, you’ll notice the JNK is now above CRED, so I think that should be the correct choice for the GBM portfolio. What do you think?

    Peter

    1. Looks like it. I don’t follow GBM closely. FINVIZ does include distributions it just sometimes their data for smaller ETFs is wrong.

      Paul

  2. Hi Paul.
    Looking back at your June 2013 post regarding “how to get started with quant investing”, would you change anything in that article now that you have applied it for a few years?

    The reason that I ask is that I’m preparing to settle back into a more relaxed lifestyle in my retirement so my daily trading regimen with futures and etfs will need to go. Having purchased the book as you recommended but found it way over my head, I am resigned to following your systems trades or one of the services out there such as AAII, P123, or iMarket. I have also looked at Sector Surfer (as we discussed awhile back) but have serious doubts there.

    Thanks in advance for your thoughtful reply Paul. You always have! 🙂

    Best regards,
    Doug

    1. Hey Doug, no I wouldn’t really change a thing from a fundamental point. The number of quant resources out there have definitely increased so that’s a good thing. The easiest approach is the canned AAII stock screens, but they don’t really implement the same screens I discuss here – they’re mainly different forms of value screens. I haven’t used Stock Investor Pro in years so don’t know it’s status – I did find some data quality issues when I used it. There’s the two newer sites I linked to in my post yesterday as well. On the TAA side, iMarket is good, Also check out Allocate Smartly, and Scott’s Investments. As well as my stuff if you like.

      Maybe I’ll get motivated one day and offer some canned P123 portfolios…

      Paul

  3. With the new jobs report released, the 5.0% UR crosses the 12-month average of 4.93% from my calculation. This is highly sensitive for predicting a recession. Does the signal mean to go in all cash now? Or wait until the end of the month’s update?

    1. Yes, the UI signal triggered today with the UER crossing above the 12 month SMA. In the UI-200day SMA timing system, the UER crossing above the 12 month SMA is just the first step. The second step is for the SP500 to cross below the 200-day SMA. Not there yet, about 5% away. Also, this system has issued false positive in the past, but not too many. We’ll see how it works this time.

      Paul

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