Happy New Year to everyone! A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters. I’ll also discuss how the performance compares to other TAA strategies. Overall, it was a good year for my strategies and I’m quite pleased with how they are performing over the longer term. Let’s dive in.
First, let’s rank the TAA strategies (only those that beat the 60/40 benchmark) by performance (CAGR) over various time periods. The table below shows various performance statistics for the strategies and how they rank versus the universe of strategies tracked by AllocateSmartly. For returns, I rank performance for 2021, Annual CAGR since the strategy history begins(usually 1971), 20 year, and 10 year performance individually and then combine the rankings to get an overall rank over the4 time periods. The table is sorted by Overall rank. The strategies in light green are the strategies from Econ Pulse and Quant Pulse.
There are 39 strategies that rank above the 60/40 benchmark across the time periods and 34 that are below the 60/40 benchmark that are not shown in the table above. As for 2021, a great year for the broad US market, a few strategies managed to keep up with SPY, my SPY-COMP being one of them. And just over half of the TAA strategies beat the 60/40 benchmark. Over the last 10 years, a big bull market for the 60/40, only about 20% of the tracked TAA strategies have managed to beat the 60/40 benchmark. Over the 20 year and full periods most of the TAA strategies beat the 60/40 benchmark. Of course, returns are not the only reason to choose a TAA strategy but it is one of the most important. Let’s rank the strategies by UPI, the best risk-adjusted performance stat over the full period for all the strategies. If you’re not sure quite what UPI is telling you, see this post I wrote a while back.
All but 2 of the ranked strategies beat the 60/40 benchmark. This is one of the core strengths of TAA strategies. Here is a table with the performance numbers revealed for my strategies. The numbers for the other TAA strategies are proprietary and can be found on Allocate Smartly, the best source for TAA strategy comparison out there. I highly recommend you check the out.
OK, that about does it for this quick roundup of model performance for 2021. In the next week or so I’ll follow this up with an update on quant portfolio performance for 2021 and then I’ll post my annular long term portfolio performance comparison like I do every year.
If you have any questions or comments, or anything else you’d like to see, leave a comment on this post or shoot me an email.
3 Comments
DaveH · January 11, 2022 at 2:17 pm
Hi Paul,
Many of the strategies in the last table above show the same return (16.86) in the CAGR (1971-20210) column. This seems very peculiar, as these strategies have different ETFs, mechanics, and maybe start dates. Was this in error?
Thanks,
Dave
Paul · January 12, 2022 at 12:35 am
Hi Dave,
Yeah, nice catch. Should of footnoted that. Don’t have a lot of asset class data pre-1998 to calculate all the strategies back to 1971 so in those case I defaulted to the DM-COMP data.
Real returns would be higher. I prob should only backfill the data pre-1998 with the DM-COMP data but returns wouldn’t change much.
P
DaveH · January 12, 2022 at 6:36 am
Thank you. I appreciate all you do.
Dave
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