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…

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Comparing portfolio performance (1973 to 2015)

I’ve finally managed to gather enough portfolio performance data to out together this year’s portfolio comparison edition. I was able to add 2014 and 2015 data. Last year’s post is here. You can use last year’s post and the Portfolios page for portfolio definitions. I’ll present the comparison of the portfolios in a few ways. I also added a few…

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Tactical asset allocation – february 2016 update

Here is the tactical asset allocation update for February 2016. As I mentioned last month, 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. Lets dive right in. Below are the updates for the AGG3, AGG6, and…

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Tactical asset allocation – october 2015 update

A lot of volatility this month in the equity markets. So far it looks like the portfolio signals to go to cash have been valid. Of course, that’s only half the battle. We’ll see what October brings, a historically positive month for equities. Here are the tactical asset allocation updates for October 2015. All portfolio updates are online as part of Paul’s GTAA 13…

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Tactical asset allocation – september 2015 update

Wow! What a month. After 3 years of a steady grind higher there is finally some significant volatility in the market. Several of the portfolios had a drawdown of about 6% during the month along with the major indices. If this is a surprise or it seems excessive, it’s not. Historically the portfolios have exhibited drawdowns up to 20%. With…

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Tactical asset allocation – july 2015 update

Here are the tactical asset allocation updates for July 2015. All portfolio updates are online as part of Paul’s GTAA 13 Portfolio New sheet. First, for the basic portfolios – the GTAA5 and the Permanent Portfolio. There was one change in the GTAA5 portfolio. Bonds (IEF) went to cash this month. GTAA5 is now 40% invested and 60% cash. For the timing version of the Permanent Portfolio there…

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Relative momentum vs timing in the GTAA AGG portfolios

In today’s post I want to take a quick look at the role of timing in the GTAA AGG portfolios. What impact does timing have on the performance statistics of the AGG3 and AGG6 portfolios versus not using timing at all in the portfolios. The results will surely surprise some. The dominant impact to the performance of the AGG portfolios is…

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Tactical asset allocation – june 2015 update

Here are the tactical asset allocation updates for June 2015. All portfolio updates are online as part of Paul’s GTAA 13 Portfolio New sheet. First, for the basic portfolios – the GTAA5 and the Permanent Portfolio. Only one change in the GTAA5 portfolio. REITs (VNQ) went to cash this month. GTAA5 is now 60% invested and 40% cash. For the timing version of the Permanent Portfolio…

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A better benchmark – the global market portfolio

Apologies for the light posting of late. I’ve been visiting with family down in south Florida the last 10 days or so enjoying some great catching up time, my niece’s high school graduation, and way to much good Cuban food. Priorities you know! In today’s quick post I want to touch on what ‘should’ be the benchmark portfolio for investors.…

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A comprehensive look at market timing

In this post I’ll summarize a recent and very comprehensive study on market timing. It is probably the most comprehensive and robust look at market timing yet. Market timing is one of the biggest potential problems and complaints with TAA portfolios as I highlighted recently. Everyone wants a definitive answer – does it work or doesn’t it? As you might…

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