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Tag Archives: Portfolio
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
Happy New Year everyone! Time to start fresh again in 2016. Here is the first tactical asset allocation update for 2016. As I mentioned last month, I am now using a new data source for the portfolio updates and also going to use a slightly different format for these monthly updates. I will also maintain 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 … Continue reading
Here are the tactical asset allocation updates for December 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. No changes for GTAA5. For the timing version of the Permanent Portfolio SHY went to cash which is basically no change. Now for the more aggressive GTAA AGG3 and AGG6 portfolios. Below is the snapshot of all the 13 asset classes. No changes for AGG3 this month. For AGG6, VCIT replaced VGIT and 33% of the portfolio is in cash just like last month. Performance for the portfolios so far this … Continue reading
To make finding basic information about the various portfolios I discuss on the blog I’ve created a new Portfolios page. This should especially help out new readers to the blog. The page lists the 3 major type of portfolios on the blog; buy and hold portfolios, tactical asset allocation portfolios, and quant investing portfolios. Hopefully, you find it useful. Let me know what you think.
One of the biggest challenges in implementing TAA portfolios is coming as close to the theoretical returns as possible. Theoretical returns are based on index returns which are not available in the real world. In this post I’ll explore the major items that keep investors from achieving published theoretical returns of TAA strategies and discuss some ways to minimize the gap between theory and reality. This is definitely an advanced topic but a critical one that I really never seen addressed in the financial blogosphere. First, let’s look at the three big reasons for the gap between theoretical and real returns for TAA … Continue reading