In today’s post I want to take a quick look at the role of timing in the GTAA AGG portfolios. What impact does timing have on the performance statistics of the AGG3 and AGG6 portfolios versus not using timing at all in the portfolios. The results will surely surprise some. The […]
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On Sep 23, 2020 I changed the datasource from FINVIZ to Tiingo. The Google sheet below contains all of the asset classes described in Meb Faber’s GTAA 13 portfolio. Those asset classes are also the base for his more aggressive trend following portfolios AGG3 and AGG6. For more information on these portfolios […]
This page is a list of the various portfolios I frequently talk about on the blog, along with links to the portfolio source material and/or my posts describing the portfolios. I also have three sub pages. One has the daily status of the GTAA13, AGG3, and AGG3 portfolios, and one […]
There is a lot of interest in Tactical Asset Allocation (TAA) portfolios these days. The big TAA models are the various versions of the IVY portfolios (GTAA5, GTAA13, GTAA AGG3/6) and the Antonacci GEM/GBM portfolios. See here for a recent comparison. There are many others. The promise of higher than […]
I get a lot of questions about the mechanics of buying and selling the ETFs that comprise the tactical asset allocation (TAA) portfolios that I discuss on the blog. In this post I’ll address some common concerns and issues with respect to ETFs and share some tips for trading them […]
In my recent overview post on the landscape of available buy and hold portfolios, I said I would come back with a comparison of all the portfolio types; buy and hold, tactical asset allocation (TAA), and quant investing portfolios. Here is that comparison. I’m pretty sure I’ve discussed all the […]
One of the challenges in dealing with modern portfolios like the Permanent Portfolio, the various IVY portfolios, Risk Parity portfolios, etc is the lack of long term historical data. Most of the modern portfolio data for a broad range of asset classes only goes back to 1973. The period from […]
Warning. This post is kind of a finance geek out. I’ll try and keep it as basic as possible but I apologize in advance if I cause any heads to hit the keyboard… In this post I’ll take a look at impact and potential benefits of adding volatility weighting and […]
One of the more overlooked areas of quantitative investing is how to integrate quant strategies into a diversified portfolio. Let’s look at a few of the issues involved and some possible solutions. I’ve discussed the big allocation decision already, i.e. how much to put into quant strategies vs bonds already. I […]
What’s the hardest part of the retirement decision? For many its taking the leap of faith that financially what’s worked in the past will continue to work in the future. And often the start of every single year, during those early years of retirement, brings the anxiety right back again. […]