Category Archives: Portfolio

Comparing portfolio performance (1973 to 2016)

Note: All the data tables have been updated to include the TAA bond strategy. Thanks to AllocateSmartly, P123, and, I was able to gather 2016 performance data much sooner than last year. This post updates the portfolio statistics, through 2016, for all the various portfolios I track that I have data for going back to 1973. It is not comprehensive by any means but contains a good sample of various diversified global buy and hold portfolios, tactical asset allocation portfolios, and quant portfolios, as well as the popular benchmarks, in particular the 60/40 portfolio for US investors. Last year’s … Continue reading

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What’s new for 2017

A quick post on some changes to the blog. Overall, the blog will be still mainly be focused on quantitative investing. I will also continue to write about investing in retirement which has it’s own challenges. Now for the changes. The biggest change to the blog is that you’ll start to see more posts about the economy and economic indicators. This has long been a hobby of mine. Now I’ll just write about it for public consumption. The focus will be on quantitative indicators of the economy. This is directly applicable to investing since stocks lose the most during recessions. I … Continue reading

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TAA strategy performance over time

In this post I’m going to take a look at performance as a whole of a group of TAA strategies and how that performance has varied over time. I’ll then compare it to the classic 60 40 US stock US bond portfolio and a more globally diversified and modern portfolio, the All Weather Portfolio. There’s some interesting things to note in the analysis. Let’s get to it. The data I’m using is from Allocate Smartly. I’ve taken return data for all the TAA strategies they track, 60/40, and the All Weather Portfolio (a globally diversified portfolio). Data is from 1970 through October … Continue reading

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Building a portfolio from individual quant strategies

In this post I want to briefly return to putting together quantitative strategies into a an overall portfolio. I wrote about this in 2014 but I have better tools and more data now. Basically let’s build a portfolio of quant strategies that reflects a typical 60/40 US stock US bond benchmark and compare portfolio statistics to the SP500 and to the 60/40 benchmark. First things first. Picking the quant strategies (you can find the background to all the strategies in the Portfolios section of the blog). You can definitely spend a ton of time here and go way off into … Continue reading

Posted in Portfolio, Quant Investing | Tagged , , , , | 12 Comments

Brief survey of expected return forecasts – nothing new

About once a year I go through various future expected return forecasts. Here are some recent updates on what the investment community is saying about future asset class returns, most of them focused on US stock returns, over the next 10 years. In short, nothing really new from last year, expect future returns to be lower, but worth a review Lets start with the folks at Research Affiliates. Here’s the scatter plot from their most recent update on forecasted 10 year real returns for various global asset classes. There’s various ways to look at the data which you can play … Continue reading

Posted in Portfolio, Retirement | Tagged , , , | 3 Comments

TAA portfolios: Antonacci’s Composite Dual Momentum

Note: thanks to those who signed up to Allocate Smartly through my link. It’s provided a nice extra revenue stream that is much appreciated. One of the TAA strategies that I have often been asked about is Antonacci’s Composite Dual Momentum (ACDM from now on). I never got around to tracking or writing about it but now the the folks at Allocate Smartly have it covered. In this post I’ll highlight the key details of the strategy and it’s results using the recent blog post from Allocate Smartly. The ACDM strategy basically applies the dual momentum concept from Antonacci’s GEM strategy to … Continue reading

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TAA portfolio tracking: turning it over to the pros

I knew this time would come eventually and here it is. Starting this month I will not be publishing any further tracking updates on TAA portfolios. Going forward I will be using and recommending Allocate Smartly for TAA portfolio tracking and implementation. Here’s the why and some details on the platform. The number of portfolios I was tracking and wanted to track, and the quality of the information I wanted to provide was proving to be a bit too much. Also, my interests lie more in how to use these portfolios, e.g. to optimize safe withdrawal rates, instead of the … Continue reading

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Tactical asset allocation – august 2016 update

Here is the tactical asset allocation update for August 2016. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. This is a new version of the sheet. Google updates the Sheets program every so often and old version of sheets just stop working. That happened this month so I had to do a new version. The sheet contains the IVY5, GTAA5, and the Permanent Portfolio as well. These signals are valid after every trading day. So, while I’ll maintain these month end updates this means that you can implement your portfolio changes on any … Continue reading

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The future of beta – slip sliding away…

Value, momentum, size, quality, volatility, etc as factors in investing are quite popular. They’ve produced significant outsized returns relative to benchmarks. Now, we even have Smart Beta funds and ETFs popping up all over to make taking advantage of factors super easy. That brings up the critical question every investor interested in taking advantage of factors in their portfolio should ask – will the outperformance of factor investing continue in the future? Here I’ll take a look at a recent post from Alpha Architect that addresses this question. In short, investors should expect past outperformance to decrease in the future. … Continue reading

Posted in Portfolio, Quant Investing, TAA Investing | Tagged , , , | 7 Comments

Tactical asset allocation – March 2016 update

Happy Leap Day! Here is the tactical asset allocation update for March 2016. As I mentioned last couple of months, I am now using a new data source for the portfolio updates. I am also maintaining the old portfolio formats, in Yahoo Finance, for a while. Here is the link to the Yahoo data. Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. The big change here is the use of FINVIZ data and more importantly that these signals are valid after every trading day. So, while I’ll maintain these month end updates this … Continue reading

Posted in Portfolio, TAA Investing | Tagged , , | 5 Comments