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. Let’s dive in. First, let’s look at the TAA strategies that are part of the Economic Read more…
This post is a follow up to my last post on the pain factor in TAA strategies. In that post I compared the various TAA strategies by three common pain points that I hear from investors; taxes, number of trades, and turnover. In this post I want to incorporate the Read more…
TAA strategies look amazing on paper. After all, what is not to like about higher absolute and higher risk-adjusted returns over a buy and hold portfolio? But in the real world when implementing TAA strategies there are a few common barriers that limit and make difficult their implementation for many Read more…
Wow! I just realized this morning that 2 days ago, September 14th, was my 10 year blogiversary. When I started writing this blog I never imagined I would still be doing it 10 years later. I wrote my first blog post in our first year of full-time RV’ing across the Read more…
In today’ post, I’ll formally outline a model I’ve alluded to several times in the past, the VOL-COMP model. The model is a combination of the SPY-COMP model (which is the basis for all the models in the Economic Pulse Newsletter) and the VOL Curve Original model with several enhancements. While Read more…
In this post I present an extended backtest of the Volatility Curve Model. To understand the methodology and investment model behind my analysis you can read the original vol curve post here. The Q&A post on the model can be found here, and the enhanced version of the model here. Read more…
In this post I introduce an enhancement to the original volatility curve model. The enhanced version of the model introduces a mean reversion component to the original model that seeks to take advantage of extreme high volatility situations in order to enhance returns. Let’s dive right in. First, let’s take Read more…
The VOL CURVE model recently closed out it’s latest trade, that was started by the risk-off signal on Feb 24th, 2020. Here I just wanted to update the results of the model including this latest trade. First, let’s just look at the current snapshot of where the model’s year to Read more…
A quick post today to let you know that my base strategy from the Economic Pulse Newsletter has been tested by AllocateSmartly and is now available on the platform. I wanted to put my base TAA model to the test on an apples to apples basis against the best TAA Read more…
Recently, I have received a bunch of questions on the volatility curve model that I introduced a few months back. In this post I wanted to answer a few key questions on the model. Current Status What has the model done during this most recent period? The details are for Read more…
In today’s post I want to take a look at an alternative measure of risk in portfolios, the Ulcer Performance Index, and use it to rank the various TAA and buy and hold strategies. First, let’s talk about the Ulcer Performance Index (UPI). The Ulcer Performance Index (UPI) is similar Read more…