Tag Archives: TAA

TAA strategy performance over time

In this post I’m going to take a look at performance as a whole of a group of TAA strategies and how that performance has varied over time. I’ll then compare it to the classic 60 40 US stock US bond portfolio and a more globally diversified and modern portfolio, the All Weather Portfolio. There’s some interesting things to note in the analysis. Let’s get to it. 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 from 1970 through October … Continue reading

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TAA portfolios: Antonacci’s Composite Dual Momentum

Note: thanks to those who signed up to Allocate Smartly through my link. It’s provided a nice extra revenue stream that is much appreciated. One of the TAA strategies that I have often been asked about is Antonacci’s Composite Dual Momentum (ACDM from now on). I never got around to tracking or writing about it but now the the folks at Allocate Smartly have it covered. In this post I’ll highlight the key details of the strategy and it’s results using the recent blog post from Allocate Smartly. The ACDM strategy basically applies the dual momentum concept from Antonacci’s GEM strategy to … Continue reading

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Tactical asset allocation – oct 2016 update

Here is the very quick version of the tactical asset allocation update for Oct. Signals are valid for until the end of the month. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. One change for AGG3. VBK replaces VNQ. Two changes for AGG6. IAU and VEA replace VNQ and VGLT. For the Antonacci dual momentum GEM and GBM portfolios, GEM remains in SPY, and the bond portion of GBM is in CRED. The Antonacci tracking sheet shareable so you can see the portfolio details for yourself. The Bond 3 quant model, see spreadsheet, ranks the bond ETFs by 6 month … Continue reading

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Tactical asset allocation – sept 2016 update

Here is the very quick version of the tactical asset allocation update for Sept. Signals are valid for until the end of the month. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. One new change for AGG3. IAU is out and VWO is in. One change for AGG6. IAU is out. VTV is in. For the Antonacci dual momentum GEM and GBM portfolios, GEM remains in SPY, and the bond portion of GBM is in CRED. The Antonacci tracking sheet shareable so you can see the portfolio details for yourself. The Bond 3 quant model, see spreadsheet, ranks the bond … Continue reading

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Tactical asset allocation – august 2016 update

Here is the tactical asset allocation update for August 2016. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. This is a new version of the sheet. Google updates the Sheets program every so often and old version of sheets just stop working. That happened this month so I had to do a new version. 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 … Continue reading

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Quant strategies: 1H 2016 performance

Here are the first half 2016 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 2015. No changes in the holdings since that time (except for the TAA Bond strategy). In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices. Similar to the results for Q1 2016, overall the first half of 2016 is working quite well for the various quant … Continue reading

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Tactical asset allocation – july 2016 update

Here is the tactical asset allocation update for July 2016. If you didn’t listen to the news all month or didn’t check prices during the month then you would think it was a pretty uneventful month and overall quite a decent month for almost all asset classes. Unfortunately, like most people you probably at least paid some passing interest to the event du jour. This month it was Brexit (or the referendum vote in the UK to leave the EU which passed by a slight majority which was a surprise to markets). I’ll just say a couple of things about … Continue reading

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Using economic indicators to time the market – part 3

Time for the part 3 of the series on using economic indicators to time the market. In this post I’ll add a simple extension to the models analyzed in Part 2. If you haven’t read the first two posts you won’t understand this one. I’m just extending the model to include foreign stocks, foreign developed and emerging markets. This is much more reflective of real diversified portfolios – even with the heavy home bias amongst US investors. Lets see what that does to the results. For foreign developed stocks I’m using EFA ETF because it has the longest history. Similarly, … Continue reading

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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 – part 2

In my last post I looked at using the change in trend of the unemployment rate as a market timing indicator. The results were impressive to say the least – almost a doubling of risk adjusted returns over buy and hold. In this post I want to make the analysis I did a little more real world by adding safe assets to the mix. Let’s take the same analysis from the last post and add US gov’t bonds as the safe asset to switch into when the market timing indicator triggers an exit from US stocks. I’ll use real world … Continue reading

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