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Tag Archives: Portfolio
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
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
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
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
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
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
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
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 new fields this year. I added the last 3 yr, 5 yr, and 10 yr performance for each portfolio and performance in the last bull market and last bull/bear market cycle. Now, on to the data. First, lets present the … Continue reading
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 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 means … Continue reading
Here are the 2015 total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed at the end of 2014. No changes in the holdings since that time. In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices. The consumer staples value (CS value) strategy and the Mircocap strategy were the best performing strategies for 2015 with 15.13% and 13.71% 2015 return respectively. The 50/50 combo of … Continue reading