What is the appropriate benchmark for a TAA portfolio? This is a subtle but I think often overlooked aspect when measuring the performance of a TAA strategy or portfolio. The classic choice, just like in buy and hold, is the 60/40 US stock, US bond portfolio. The are other choices 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…
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…
Happy New Year! It’s that time of the year to update portfolio performance statistics. It will take me a few more days to complete all my data gathering for TAA, Quant, and Buy and Hold Portfolios before I can do my usual Comparing Portfolio performance post for 2019. I’ll also Read more…
An alternative title for this post could be, the internet rediscovers momentum and hates it, episode 5,000…. Meb Faber posted the other day on a strategy that buys stocks only at their all-time highs and otherwise holds bonds the rest of the time. The strategy has great risk-adjusted returns. It’s Read more…
Ok, one more bond post. I thought I was done with this little series of bond TAA posts but based on some feedback and some very astute questions from my subscribers I decided I needed to do one more. So, here is the basic question I received, “Aren’t you concerned Read more…
This is my last post in the three part series on TAA bond portfolios before I get back to the equity side of things. Today I wanted to look at a way an investor can significantly increase returns in their bond strategies. The TAA strategy I’ll present below uses fixed Read more…
Note: an enhanced version of this strategy, BOND-COMP, is now part of the Economic Pulse Newsletter Most tactical asset allocation strategies focus on equites. That’s completely understandable. They are the highest return asset class over the long run and that is where most of the TAA research has been done. Read more…
Note: one of my posts from last year, When Models Fail, was chosen for Faber’s Best Investment Writing Volume 3. Check it out if you get a chance. Time to take a quick look back at 2019 YTD performance. In this post I present a quick overview of 1H 2019 Read more…
In today’s post I want to look at long term TAA model performance in a different way. I think intuitively most investors realize that any strategy they pick will have periods of outperformance and underperformance. But decision making under real circumstances exposes us to all kinds of biases which often Read more…
** All the return data for this post comes from AllocateSmartly, Portfolio123, and my own calculations. At the end of October many TAA strategies either triggered to completely risk-off or started moving towards risk-off assets. In today’s post I’m going to dive a little deeper into the TAA return data Read more…