Momentum: the most powerful factor

Today I want to talk about momentum. I’m always struck by the hand wringing I see from investors as prices reach new highs. This seems particularly evident over the last year during a great run for stocks. This is odd when you look at the historical evidence for momentum. Momentum is the most powerful factor in investing by a significant…

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Using economic indicators to improve quant performance

In today’s post I’m going to present how using a simple economic indicator can increase returns and lower drawdowns in quant portfolios. I’ve alluded to this in many of my quant posts in the past. Here I present the results of such an approach across a range of quant portfolios. Let’s jump right in. For background on using economic indicators…

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Introducing The Economic Pulse Newsletter

Preface: This post is an introduction to my new newsletter. Actually I did a soft launch about a month ago that you may have seen me mention. I’ve copied the newsletter about page below. It’s taken me a long time to get to this point. About 8 years. It’s been a journey from a fundamental discretionary investor to a 100%…

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TAA vs buy and hold in overvalued markets (CAPE > 30 edition)

Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and I’ve been working on getting my newsletter released, which I’ll announce in a later post. Now, I’m back. I was thinking this morning that with the increasing talk of market valuation, bubbles, etc. it would be…

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TAA vs buy and hold in overvalued markets

US stocks are expensive. There seems to be article after article on the expensiveness of US stocks these days. Plus, bonds in general are really really expensive. Both US stocks and all bonds are in the top (90th+ percentile) tiers of expensiveness relative to history. As Cliff Asness of AQR points out, the problem is that they are both at…

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TAA in the real world: theory versus slippage

Today I want to talk about my friend Jose. About a year and half ago, after months of Q & A between us, Jose decided to implement Antonacci’s GEM portfolio in his IRA (see this post for a detailed description). This post describes his first 6 months in GEM, November 2015 through April 2016. I think there are some good…

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Building an investing system with the top economic indicators

Update: I updated the charts and some of the performance results on March 28, 2017. I found and corrected an error in the performance calculations. Conclusions remain the same. It’s finally time to start turning all the economic indicator stuff I’ve been posting on into something useful for investors. In this post I’ll introduce the SPY-COMP indicator and how it…

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Retirement hysteria strikes again

It must be that time of the year again. Retirement hysteria time. Usually in the new year I start seeing a slew of articles on how your retirement is at risk, how you cannot possibly retire now, and the theme for the last few years – how high stock market valuations and low interest rates will guarantee that either you…

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TAA bond strategy on Allocatesmartly

Just a quick post today on the TAA bond strategy that I’ve posted on and keep track of here. Starting yesterday, the strategy is on AllocateSmartly. See the blog post discussing the details of the strategy and it’s historical performance. A few important items that I’d like to highlight follow. First, the strategy is slightly different from the original that…

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Comparing portfolio performance (1973 to 2016)

Note: All the data tables have been updated to include the TAA bond strategy. Thanks to AllocateSmartly, P123, and Stockcharts.com, I was able to gather 2016 performance data much sooner than last year. This post updates the portfolio statistics, through 2016, for all the various portfolios I track that I have data for going back to 1973. It is not…

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