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 has the status of two of Antonacci’s portfolios GEM and DMFI. Finally, the last one is a Global Equity ETF tracker.

This should make finding information about the various portfolios easier for everyone, especially new readers to the blog. There are three major types of portfolios; buy and hold, tactical asset allocation (TAA), and quantitative portfolios.

Buy and hold portfolios: there are many many buy and hold portfolios. Here are some of the most popular or the ones I think are the best. I don’t talk about these much but many are the default portfolios for many advisors and investors.

  • GAA (Global Asset Allocation) or GMP (Global Market Portfolio): the only truly completely passive buy and hold portfolios hold the majority of global assets at their respective market weights. Anything differing allocations are in part an active bet on some asset class or market. Post on GMP. GAA is just a slightly different version of GMP and the one I use as the ‘standard’ benchmark. See below.
  • Post where I introduce and discuss various globally diversified buy and hold portfolios from 60/40, to Risk Parity, to Arnot, to El-Erian.
  • Post introducing the Permanent Portfolio. Historically one of the simplest and best performing buy and hold portfolios.
  • Here is a snapshot of the allocation of the buy and hold portfolios.

TAA (tactical asset allocation) portfolios. TAA portfolios being with a set of globally diversified asset classes but then seek to make active decisions, normally on a monthly basis, in order to increase performance and reduce risk.

IVY (GTAA) Portfolios: below are the links to the various IVY, aka GTAA, portfolios: the various portfolios are IVY5 B&H, GTAA5, IVY13 B&H, GTAA13, GTAA AGG3, and GTAA AGG6.

  • The original source paper from Meb Faber with the most recent updates (end of 2012).
  • Meb Faber’s website
  • Post introducing the original IVY portfolios: IVY5 B&H, and GTAA5
  • Post introducing IVY13 B&H, and GTAA13
  • Post introducing GTAA AGG3 and AGG6
  • Post introducing the TAA bond strategy that I adopted from Antonacci

Antonacci Portfolios: I’ve never posted directly on the Antonacci GEM and GBM portfolios but here are the two relevant links to more information about them.

  • Homepage for Antonacci Portfolios
  • Antonacci’s blog
  • Antonacci’s Dual Momentum book

All of the above mentioned TAA strategies and many more are tracked on AllocateSmartly which I highly recommend as the best source of data and tracking of TAA portfolios. I also offer my own TAA portfolios in my Economic Pulse Newsletter, which uses economic indicators and classic TAA principles to increase risk-adjusted returns.

Quantitative Investing Portfolios: Now, we turn to the quantitative investing. For an intro to what quant investing is see here. Post on getting started with quant investing and some quant investing rules for the various portfolios below. Some of the acronyms I use throughout the blog are in parentheses.

Here is a summary of the most recent (through the end of 2020) performance data for the various quant portfolios and a comparison to the performance published in What Works On Wall Street.

And here are the same portfolios but this time using my SPY-COMP indicator from the Economic Pulse Newsletter to reduce the large drawdowns associated with quant strategies.

Finally, for a comparison of all the various portfolios and their performance statistics see this post (I will update this post for 2020 next week. Here is the most recent snapshot, updated for 2020, comparing performance of the portfolios starting in 1973. I’ve added summary rows for the average performance of the buy and hold and TAA portfolios (green) that I track. The portfolios in blue are the traditional buy and hold benchmarks. The portfolio in orange (IVY B&H13) is the best ranked buy and hold portfolio over the long haul. And finally, the portfolios in RED are my own portfolios that are included in my newsletters. This first table sorts the portfolios by annual return from the 1973 through 2020 period.

This second sort of the table ranks the strategies by annual return over the last 20 years, so that would be from Dec 31, 2000 through Dec 31, 2020. 

This second sort of the table ranks the strategies by annual return over the last 10 years, so that would be from Dec 31, 2010 through Dec 31, 2020. 

Of course, it is not just about returns. In the following sort the strategies are sorted by risk-adjusted returns, in this case the Sortino ratio.

And finally, for investors in the withdrawal phase of the investing lives, this next sort lists the strategies by safe withdrawal rates (SWRs).