Tag Archives: Portfolio

Ranking the top and bottom TAA strategies

Following up on my last post, I’d like to take a deeper dive into the performance of TAA strategies. In particular, I’ll take a look at the differences between the top performing TAA strategies and the bottom performing ones. There are some important points that come out of this analysis which I think are quite useful when deciding which TAA strategies are right for you. As in my last post… 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 … 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 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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Using economic indicators to time the market – part 4

Today I’d like to wrap up this series on using economic indicators to time the market. In this final post I’ll look at using the unemployment-200day SMA indicator I’ve used in the first 3 parts of the series (link to part 3) but this time apply it to individual stock quant portfolios. All of the strategies mentioned are listed in the Portfolios page. Lets jump right in. The analysis here is pretty straightforward. I’ll take 3 example quant portfolios I’ve discussed many times here, then compare the portfolio stats of the stand-alone quant strategy with that of the quant strategy … Continue reading

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

Tactical asset allocation – june 2016 update

Here is the tactical asset allocation update for June 2016. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. 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 day of the month, not just month end. FINVIZ will at times generate signals that are slightly different than Yahoo Finance. Also, year to date performance figures have been updated and are included in the sheet. … Continue reading

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Using economic indicators to time the market

If you pay attention to the financial market news you may have noticed a lot of attention being focused on the slowing US/Global economy and the implications it has for financial markets. Just do a search on ‘slowing global PMI’ and watch the hours waste away. Basically, the US/Global economy is slowing which means recession is right around the corner which means financial markets will tank. That seems to be the predominant bear case now, or one of the many. There is some merit to this argument. The worst market downturns occur during recessions. The trick is that you need … Continue reading

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Tactical asset allocation – may 2016 update

Here is the tactical asset allocation update for May 2016. Before I get into the updates for the month I want to share a must read post from Antonacci. In the post he lists some questions he often gets asked about markets and investing. Here they are; Question: How much do you think the stock market can drop? Response: 89% Question: What?!! Response: Well, that is the most it has dropped in the past. But past performance is no assurance of future success, so I guess it could go down more than that. Question: I just looked at my account, … 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