Quant Mashup - Quantocracy

Quant Mashup - Allocate Smartly

New Feature: Cluster Analysis [Allocate Smartly]

We track a lot of tactical strategies, and it can be difficult to understand how they all fit together in the big picture. The usual correlation matrix (example) is helpful when drilling down on a single strategy, but it’s near impossible to see the forest for the trees among the 1000’s of data(...)

Strategies That Play Well With Others [Allocate Smartly]

We track more than 60 tactical asset allocation strategies. In this post we look at which of those strategies are most often recommended by common portfolio optimization techniques, and why strategies that “play well with others” are not always the best strategies. First, a little background for(...)

Paul Novell's Bond-COMP Tactical Bond Strategy [Allocate Smartly]

This is a test of a tactical bond strategy from Paul Novell of Investing for a Living. It rotates between credit bond ETFs and defensive assets based on the same rules as his popular SPY-COMP strategy. Backtested results from 1970 follow. Results are net of transaction costs – see backtest(...)

Financial Mentor's All-Weather Quad Momentum [Allocate Smartly]

This is an independent test of the tactical strategy “All-Weather Quad Momentum” (AWQM) from Todd Tresidder of FinancialMentor.com. Many of our members came to us from Financial Mentor, so it’s fitting that we add a strategy to our platform that demonstrates his approach to asset allocation.(...)

Max Sortino Added to the Portfolio Optimizer (And Whether That Matters) [Allocate Smartly]

We track more than 60 Tactical Asset Allocation strategies, which members can combine together into custom portfolios. To make creating those portfolios easier, we provide an optimizer showing the best performing combinations of strategies based on the member’s investment objective, such as(...)

“Accelerating Dual Momentum” Redux: Longer History, Tempered Expectations [Allocate Smartly]

This is a follow up to a strategy we’ve covered previously: Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. See our first test of ADM, which includes a description of the strategy rules and our own analysis of the strategy. Here we’ve extended our test by 20 years to include a(...)

New Feature: Optimized Model Portfolios [Allocate Smartly]

We track more than 60 Tactical Asset Allocation strategies. Members can combine those strategies into what we call “Model Portfolios”. Combining strategies in this way reduces the risk of any single strategy going off the rails and helps to provide smoother, more consistent investment returns.(...)

Testing a Risk Premium Value Strategy [Allocate Smartly]

This is a test of a Risk Premium Value strategy (RPV) that allocates to major US asset classes based on current risk premium valuations relative to historical norms. Readers will note the similarity between RPV and other related strategies, such as CXO Advisory’s SACEVS. Backtested results from(...)

Keller's Resilient Asset Allocation [Allocate Smartly]

This is a test of the latest tactical strategy from Dr. Wouter Keller: Resilient Asset Allocation (RAA). RAA is intended to be a low turnover strategy, only shifting from a balanced risk portfolio to a defensive portfolio during the most potentially bearish of times. Backtested results from 1970(...)

Safe Withdrawal Rates for Tactical Asset Allocation vs Buy & Hold [Allocate Smartly]

In this post we model retirement Safe Withdrawal Rates (SWR) and Perpetual Withdrawal Rates (PWR) for a large collection of tactical and buy & hold strategies. We track 50+ tactical strategies, allowing us to draw some broad conclusions about TAA as a trading style. Learn more about what we do.(...)

Aspect Partners' Risk Managed Momentum [Allocate Smartly]

This is an independent test of Aspect Partners’ flagship tactical asset allocation strategy Risk Managed Momentum (RMM). By tactical standards, RMM is a very active, very aggressive strategy. It has done an excellent job navigating this difficult year so far. Backtested results from 1970 follow.(...)

Momentum Turning Points [Allocate Smartly]

This is a test of two recent papers: Momentum Turning Points and Breaking Bad Trends. Learn more about what we do and follow 50+ asset allocation strategies like these in near real-time. Successful trend-following strategies must balance the “speed” of the trading signal. If the signal is too(...)

Adding a 1-Day Lag When Executing TAA Strategies [Allocate Smartly]

We track 50+ public Tactical Asset Allocation (TAA) strategies in near real-time, allowing us to draw broad conclusions about TAA as a trading style. By design, most of those strategies trade just once per month, and most assume that next month’s asset allocation is both calculated and executed on(...)

Using Aggregate TAA Allocation as a Tool for Timing the Market [Allocate Smartly]

We track 50+ public Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is that we show the aggregate allocation across all of those strategies each day (member link). For example, the graph below shows the aggregate allocation year to date by category of asset. Note the(...)

Tactical Asset Allocation in April: Stubbornly Defensive [Allocate Smartly]

Tactical Asset Allocation (TAA) dodged the worst of the bear in February and March, but trailed the big bounce in April. Entering May, TAA remains stubbornly defensive. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw broad conclusions about TAA as a style. In the(...)

Paul Novell's Flagship Strategy SPY-COMP [Allocate Smartly]

This is a test of the flagship proprietary strategy from Paul Novell’s Investing for a Living. Paul has been kind enough to share his strategy rules to allow for independent verification of his results. SPY-COMP is like Growth-Trend Timing and a handful of other tactical strategies we track, in(...)

Geek Note: How to Properly Lag Monthly Economic Data [Allocate Smartly]

We’ll be talking about Paul Novell’s flagship SPY-COMP strategy on the blog tomorrow. The strategy uses monthly economic data, like the kind available from the FRED database. We’ve covered a handful of strategies like this in the past (think Philosophical Economics’ Growth Trend-Timing).(...)

Tactical Asset Allocation: Mid-April Checkup [Allocate Smartly]

Tactical Asset Allocation (TAA) weathered the storm in February and March, significantly paring down losses vs conventional buy & hold. So far it has trailed the bounce in April, but these are early days. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw some(...)

Tactical Asset Allocation: Surveying the Damage in March [Allocate Smartly]

Tactical Asset Allocation (TAA) weathered the storm in March well, significantly paring down losses versus conventional buy & hold. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw some broad conclusions about TAA as a style. In the table below we show the March(...)

This Crisis Has Not Been Kind to Tactical ETFs [Allocate Smartly]

DIY tactical asset allocation (i.e. the types of public strategies that we cover on this site) has been strong through this crisis. Tactical ETFs on the other hand have struggled badly. We track 50+ DIY TAA strategies, allowing us to draw some broad conclusions about TAA as a style. In the graph(...)

Where Tactical Asset Allocation Stands Now (Monday 03/23) [Allocate Smartly]

Tactical Asset Allocation (TAA) as a whole continues to weather the fallout well, significantly paring down losses versus a conventional buy & hold portfolio. Individual strategies vary widely. We track 50+ published TAA strategies, allowing us to draw some broad conclusions about TAA as a(...)

Where Tactical Asset Allocation Stands Now (Thursday 03/12) [Allocate Smartly]

Broadly speaking, Tactical Asset Allocation has weathered this storm reasonably well, but the last two days have been tough and we are by no means out of the woods. We track 50+ published TAA strategies, allowing us to draw some broad conclusions about TAA as a style. In the table below we show the(...)

Where Tactical Asset Allocation Stands Now (Monday 03/09) [Allocate Smartly]

We’ve fielded a lot of questions this morning about how Tactical Asset Allocation is faring this month. We track 50+ published strategies, so we’re able to draw some broad conclusions about the current state of TAA. Generally speaking, all is well. Individual strategies vary, but as a whole, TAA(...)

Last Week (Painfully) Illustrated the Importance of Non-Binary Portfolios [Allocate Smartly]

This is one of my favorite takes of the last week. It was tweeted on Friday, which held two distinctions: (1) It capped off a helluva scary week, and (2) It just so happened to be month-end, when many TAA strategies trade by default. I couldn’t agree more. Imagine making a single risk on/risk off(...)

Investing in "Distressed" TAA Strategies [Allocate Smartly]

In response to a member question: Have you ever looked at a systematic approach that invested only in tactical asset allocation strategies that were experiencing a significant drawdown? We know that performance chasing is a flawed behavioral bias, so an approach like this could exploit it. We always(...)

Sneak Peak: Robustness to Noise [Allocate Smartly]

This is an early preview of a new analytical tool we’ll be adding to our platform later this month. Learn more about what we do. Broadly speaking, the goal of tactical asset allocation is to take advantage of broad market trends via trend-following and/or momentum. Those trends can be difficult to(...)

Blending Buy & Hold with Tactical, A "Lethargic" Approach to Asset Allocation [Allocate Smartly]

This is a test of a new paper from Dr. Wouter Keller titled Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA). This is primarily a buy & hold strategy that’s roughly based on the classic “Permanent Portfolio”, but it includes an element of tactical asset(...)

Beware Strategies That Fall Down on Good Data [Allocate Smartly]

Sources of long-term historical data are few and far between. Because it’s been generously provided for free, one of the most often used is data from Professor French (of Fama-French fame). Others include Shiller and Ibbotson. These data sets are fine for a first pass at testing out ideas, but(...)

Testing a Yield-Based Asset Class Rotation Strategy [Allocate Smartly]

By reader request, this is a test of a tactical strategy from Harrison Schwartz that considers various economic yields in order to rotate among asset classes. Strategy results versus the 60/40 benchmark follow. We’ve extended Schwartz’s original test by an additional 6+ years, and accounted for(...)

Tactical Asset Allocation in November [Allocate Smartly]

This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies(...)

Buying Global Stocks at All-Time Highs [Allocate Smartly]

This analysis was inspired by EconomPic and Meb Faber. Here we test a simple strategy that goes long Global Stocks (ACWI) when they make a new all-time month-end high, otherwise US bonds. The takeaway: Don’t fear buying stock (indices) when they close at all-time highs. A new high shouldn’t be(...)

Tactical Asset Allocation in October [Allocate Smartly]

The Ubiquitous "Sell in May" [Allocate Smartly]

As a site that tracks all things asset allocation, it seems like a miss not to include the most well known of asset allocation strategies: “Sell in May and go away” (aka the Halloween Indicator). This is a fitting time to add it to the lineup: The strategy is killing it this year and a change in(...)

Predictable End-of-Month Treasury ETF Returns [Allocate Smartly]

The inspiration for this post comes from a new paper titled Predictable End-of-Month Treasury Returns (h/t Capital Spectator). A description from the authors: We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly(...)

Tactical Asset Allocation in September [Allocate Smartly]

Tactical Asset Allocation in August [Allocate Smartly]

Quint Switching Filtered: Not as Simple as It Appears to Be [Allocate Smartly]

This is a test of the Quint Switching Filtered strategy from Lewis Glenn. On the surface this is a run-of-the-mill tactical asset allocation strategy based on short-term momentum, not unlike several strategies that we track. But digging a little deeper, we’ll highlight qualities that make this(...)

Movement Capital's Composite Strategy: Balancing Strategy and Asset Risk [Allocate Smartly]

This is a test of Movement Capital’s Composite Strategy. It combines tactical asset allocation with passive buy & hold. This balance between strategy risk and asset risk may be psychologically easier to trade, encouraging investors to stick with a smart investment plan when either style finds(...)

Balancing Strategy and Asset Risk [Allocate Smartly]

The Two Centuries Investments blog from Mikhail Samonov has become a new favorite of mine. More “thought heavy” than “numbers heavy”, Mikhail is a fount of novel ideas. In this piece he describes something I apply in my own investing (though never defined so succinctly): the need to balance(...)

Tactical Asset Allocation in July [Allocate Smartly]

TAA and Transaction Costs [Allocate Smartly]

New to Tactical Asset Allocation? Learn more: What is TAA? There are two hard costs that investors must consider when comparing a tactical asset allocation strategy to conventional buy & hold: (1) increased tax liability (if trading in a taxable account), and (2) increased trading costs(...)

Philosophical Economics’ Growth-Trend Timing (Redux) [Allocate Smartly]

This is a test of two variations of the Growth-Trend Timing (GTT) strategy from the always thought-provoking Philosophical Economics. GTT combines trends in both price and key economic indicators to switch between US equities and cash. Like most trend-following strategies, the strength of GTT(...)

Tactical Asset Allocation in June [Allocate Smartly]

The Threat of Rising Rates and the Impact on TAA vs B&H Investing [Allocate Smartly]

We’ve written a lot here and on our sister site BetterBuyAndHold.com about the threat of rising interest rates. You can read some of our past work projecting returns for Treasury ETFs and other interest rate sensitive assets here and here. In a nutshell, assuming that we’re near the tail end of(...)

Tactical Asset Allocation in May [Allocate Smartly]

Member Analysis: The Effect of Combining Strategies on Timing Luck [Allocate Smartly]

We enjoy hearing from members about their experiences using our platform to analyze and combine tactical asset allocation strategies. We do a bad job of sharing that feedback with other members, and that’s a shame, because there’s often a lot of wisdom in it. So let’s change that. What follows(...)

Comparing Tactical Asset Allocation ETFs to Public TAA Strategies [Allocate Smartly]

In this post we compare the performance of the 49 tactical asset allocation strategies that we track to 7 ETFs that provide all-in-one exposure to TAA. We were inspired by James Picerno’s Capital Spectator to run this analysis, so we’ve appropriated his list of 6 ETFs, and added Meb Faber’s(...)

Tactical Asset Allocation in April [Allocate Smartly]

Asset Allocation Roundup [Allocate Smartly]

Four recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Bond ETFs in an Era of Rising Rates (Better Buy & Hold) This is our first post from our new platform BetterBuyAndHold.com. Bonds face stiff headwinds in the coming years, and many will underperform what(...)

Tactical Asset Allocation in March [Allocate Smartly]

Page
1
2
3
4