TAA Investing

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…

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Portfolio, Quant Investing, TAA Investing

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…

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Portfolio

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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Quant Investing

Quant strategies: 2015 performance review

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…

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TAA Investing

Tactical asset allocation – december 2015 update

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…

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