Category Archives: TAA Investing

TAA vs buy and hold in overvalued markets (CAPE > 30 edition)

Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and I’ve been working on getting my newsletter released, which I’ll announce in a later post. Now, I’m back. I was thinking this morning that with the increasing talk of market valuation, bubbles, etc. it would be a good time to revisit my post on TAA vs buy and hold in overvalued markets from 5 months ago. Read that post for a background on the analysis I did below. Since we’re at a new level in CAPE … Continue reading

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TAA vs buy and hold in overvalued markets

US stocks are expensive. There seems to be article after article on the expensiveness of US stocks these days. Plus, bonds in general are really really expensive. Both US stocks and all bonds are in the top (90th+ percentile) tiers of expensiveness relative to history. As Cliff Asness of AQR points out, the problem is that they are both at these expensive levels at the same time, which hasn’t happened ever. That means that a portfolio of US stocks and bonds (50/50, 60/40, take your pick) has a very low expected return going forward. Maybe the lowest ever. OK. Now what? … Continue reading

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TAA in the real world: theory versus slippage

Today I want to talk about my friend Jose. About a year and half ago, after months of Q & A between us, Jose decided to implement Antonacci’s GEM portfolio in his IRA (see this post for a detailed description). This post describes his first 6 months in GEM, November 2015 through April 2016. I think there are some good lessons here for the implementation of any TAA portfolio or any active strategy for that matter. I covered some TAA implementation tips and tools before. See here and here. Let’s jump right in. Starting out in any active strategy can … Continue reading

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TAA bond strategy on Allocatesmartly

Just a quick post today on the TAA bond strategy that I’ve posted on and keep track of here. Starting yesterday, the strategy is on AllocateSmartly. See the blog post discussing the details of the strategy and it’s historical performance. A few important items that I’d like to highlight follow. First, the strategy is slightly different from the original that I posted here. The details are in the AllocateSmartly blog post. The ETFs are slightly different, the absolute momentum filter is applied against T-bills instead of using zero like I did, and the backtest results are much more robust. The … Continue reading

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Ranking the top and bottom TAA strategies

Following up on my last post, I’d like to take a deeper dive into the performance of TAA strategies. In particular, I’ll take a look at the differences between the top performing TAA strategies and the bottom performing ones. There are some important points that come out of this analysis which I think are quite useful when deciding which TAA strategies are right for you. As in my last post… 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 … 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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TAA portfolio tracking: turning it over to the pros

I knew this time would come eventually and here it is. Starting this month I will not be publishing any further tracking updates on TAA portfolios. Going forward I will be using and recommending Allocate Smartly for TAA portfolio tracking and implementation. Here’s the why and some details on the platform. The number of portfolios I was tracking and wanted to track, and the quality of the information I wanted to provide was proving to be a bit too much. Also, my interests lie more in how to use these portfolios, e.g. to optimize safe withdrawal rates, instead of the … 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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