Tactical asset allocation – october 2015 update

A lot of volatility this month in the equity markets. So far it looks like the portfolio signals to go to cash have been valid. Of course, that’s only half the battle. We’ll see what October brings, a historically positive month for equities.

Here are the tactical asset allocation updates for October 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. GTAA5 is now 20% invested with IEF going to invested this month. For the timing version of the Permanent Portfolio there were no changes this month.

GTAA 5 Permanent Port October 2015 update

Now for the more aggressive GTAA AGG3 and AGG6 portfolios. This month I’ve decided to show all 13 asset classes so you can really see where they all stand and what kind of year it had been so far.

TAA Update October 2015

No changes this month for AGG3. For AGG6, VCIT went to invested this month. Both portfolios are still in full risk management mode.

Performance for the portfolios so far this year is in the table below. Numbers are for each month. The figures are estimates taken from a variety of sources. I don’t do detailed performance tracking until the end of the year.

TAA performance update oct 2015

If you’re a fan of the Antonacci dual momentum GEM and GBM portfolios, no changes from last month. I’ve also made my Antonacci tracking sheet shareable so you can see the portfolio details for yourself.

That’s it for this month. These portfolios signals are valid for the whole month of October. As always, post any questions you have in the comments.

Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.

18 thoughts on “Tactical asset allocation – october 2015 update

  1. Paul,

    I like how you posted the entire 13 asset classes in the AGG3/AGG6. Seems like this is nice in order to see how things change over time like you stated (thus a plug to continue to do so).

  2. For those following along…..

    I’m testing out a new GTAA 13, AGG3, AGG6 spreadsheet that is updated daily and is valid daily. It uses daily data from FINVIZ vs Yahoo Finance. Portfolio signals would still only be acted on a 4 week or monthly basis. I’ve backtested more frequent signal periods and they all underperform the 4 week or monthly period. Just too much noise an slippage kills.

    Check it out.



  3. Paul,

    I took a look, very nice and clean!

    I have one small suggestion. If possible, add a column (possibly right after the current price column) with the date the data is based on. For example, I looked at your spreadsheet on 10/1 at 5:14 est and was not sure if the pricing/results was based on 9/30 vs 10/1. I checked the first ticker and think it was 10/1 but it would be nice to know. I don’t know whether Finviz makes a field available to you for this.

    Again, very minor. Thank you for all you do!

    1. I can add an explanation for the data updates. FINVIZ is a bit odd in that returns only update daily while some fields like current price, % SMAs, are real time during the day. So, its a mixed bag….


      1. Paul,

        I took a look this morning at the spreadsheet. Looks good.

        The spreadsheet is very clean and has all the data caveats and fyi’s. Thanks!

  4. Hi Paul and thank you for an excellent and inspiring blog.

    I’m relatively new to investing but find your data driven approach very appealing. After hours of reading your blog I feel I need to understand more about the investing models you use, and the logic and data behind them. Unfortunately I’ve still not found any clear info on exactly what you mean by e.g. AGG6, and where I can read up on it. I’ve also been looking for some data on how you diversify your investments between different portfolios and/or strategies.

    I would very much appreciate a “basic strategy” post or something. I think this even should be posted under, or next to “about”

    What I’d like to see is something like

    Portfolio allocation and strategy (preferably with some motivation)

    20% dual momentum
    20% AGG6
    20% AGG3
    20% GTAA13
    20% GTAA5

    Acronyms and models:

    GTAA13: Global asset allocation model with 13 global asset classes. for more info read http://www.amazon.com/Global-Asset-Allocation-Survey-Strategies-ebook/dp/B00TYY3F3C

    AGG6: s
    would this be possible? Again, I might be blind, but I’ve been reading your blog for hours and I’m still not sure about the stuff above, or even what books to get to figure it out.

    Thank you for an excellent blog

    1. Tobias,

      You can find info on the basics of the aggressive TAA portfolios (AGG3, AGG6) here.

      I only talk about my personal portfolio at a high level every so often. For a while, it’s been pretty much 50% TAA strategies, 50% bonds.


  5. I am in “cash” also in most of my Agg6 , and Perm. port . and I guess my question
    is have you ever used some of these same filter or matrix to look at cash type etf’s or mutual fund as a way to most efficiently allocate your cash . I am working on one that
    looks a 6mo , 1yr , and lowest STD dev.

    1. Hey John,

      I have and concluded its not worth the trouble. Slippage and trading fees kill any value add, usually.


  6. Paul,

    It is nice you have the new TAA spreadsheet with data accurate daily.

    I’m thinking of performing the periodic update on a regular basis but not the first of each month (for reasons others listed here).

    I was thinking of updating once a month (e.g. the 5th of every month – thus 12 times a year) or updating every four weeks (thus 13 times a year). Updating every four weeks staggers the update time throughout the month over the course of the year vs always buying at the same time of the month. However, I’m not sure if the results overcomes the extra updating session.

    Do you have an opinion/research on the best way?

    Thanks for all your efforts!

    1. Thanks B. I like it as well.

      I have run the backtests both ways, end of month vs a 4 week cycle, and there no performance difference. I use the 4 week cycle myself and I like how the trade dates vary.


    1. Don’t know why John. The link works just fine for me and I see others viewing it as well. I also checked the share settings – as long as you have the link you should have access. At least from my end.

  7. Paul
    You state no change on Antonacci GEM from September; however, in September GEM moved all to bonds. Your tracking spreadsheet shows invested in SPY? I am confused.

    1. The spreadsheet updates daily. The portfolio signals are only generated once a month.


  8. Hi Paul
    Have you read Antonacci’s white paper on dual momentum where he includes 8 ETF’s broken into 4 groups: Equity, Credit, Reit, and Stress. The composite results are very impressive, however, he is still allocating 25% to each category, if absolute momentum is greater than SHY, or else he allocates that portion to short term bonds. I am wondering what the results would be if he just used the top 2 or 3 relative ETF’s similarly to AGG3, and how that would affect drawdowns.

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