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Quant Mashup - Allocate Smartly
Quantocracy is no longer available via daily email. You can still follow us via RSS or our other socials. - Mike
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
- 4 years ago, 18 May 2021, 12:07am -
“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
- 4 years ago, 7 May 2021, 12:48pm -
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.
- 4 years ago, 26 Mar 2021, 11:42am -
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
- 4 years ago, 2 Mar 2021, 12:43pm -
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
- 4 years ago, 19 Jan 2021, 08:19pm -
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.
- 4 years ago, 28 Sep 2020, 10:46am -
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.
- 4 years ago, 17 Sep 2020, 09:27pm -
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
- 4 years ago, 11 Sep 2020, 12:57pm -
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
- 5 years ago, 18 May 2020, 11:09am -
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
- 5 years ago, 5 May 2020, 01:53pm -
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
- 5 years ago, 1 May 2020, 02:51pm -
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
- 5 years ago, 23 Apr 2020, 12:33pm -
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).
- 5 years ago, 22 Apr 2020, 12:20pm -
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
- 5 years ago, 16 Apr 2020, 01:00pm -
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
- 5 years ago, 1 Apr 2020, 01:47pm -
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
- 5 years ago, 25 Mar 2020, 10:08am -
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
- 5 years ago, 23 Mar 2020, 02:20pm -
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
- 5 years ago, 13 Mar 2020, 01:51am -
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
- 5 years ago, 9 Mar 2020, 01:43pm -
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
- 5 years ago, 2 Mar 2020, 12:32pm -
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
- 5 years ago, 10 Feb 2020, 09:55am -
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
- 5 years ago, 3 Feb 2020, 10:10am -
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
- 5 years ago, 27 Jan 2020, 10:01am -
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
- 5 years ago, 13 Jan 2020, 09:40am -
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
- 5 years ago, 8 Jan 2020, 09:56am -
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
- 5 years ago, 6 Dec 2019, 02:09pm -
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
- 5 years ago, 5 Nov 2019, 08:16pm -
Tactical Asset Allocation in October [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
- 5 years ago, 4 Nov 2019, 11:46am -
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
- 5 years ago, 30 Oct 2019, 07:44pm -
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
- 5 years ago, 24 Oct 2019, 09:46pm -
Tactical Asset Allocation in September [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
- 5 years ago, 1 Oct 2019, 10:59pm -
Tactical Asset Allocation in August [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
- 5 years ago, 1 Sep 2019, 10:57am -
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
- 5 years ago, 20 Aug 2019, 01:10pm -
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
- 5 years ago, 13 Aug 2019, 12:08pm -
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
- 5 years ago, 2 Aug 2019, 02:59pm -
Tactical Asset Allocation in July [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
- 5 years ago, 1 Aug 2019, 08:10pm -
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
- 5 years ago, 22 Jul 2019, 11:38am -
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
- 5 years ago, 16 Jul 2019, 12:55pm -
Tactical Asset Allocation in June [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
- 5 years ago, 2 Jul 2019, 02:18pm -
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
- 5 years ago, 12 Jun 2019, 07:12pm -
Tactical Asset Allocation in May [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
- 5 years ago, 3 Jun 2019, 12:56pm -
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
- 6 years ago, 13 May 2019, 01:33pm -
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
- 6 years ago, 8 May 2019, 09:34am -
Tactical Asset Allocation in April [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
- 6 years ago, 1 May 2019, 11:21pm -
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
- 6 years ago, 29 Apr 2019, 10:47am -
Tactical Asset Allocation in March [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
- 6 years ago, 1 Apr 2019, 01:05pm -
Asset Allocation Roundup [Allocate Smartly]
Five recent asset allocation articles (tactical or otherwise) that you might have missed: 1. ETF Bond Rotation (Alvarez Quant Trading) Cesar looks at different flavors of a simple momentum-based bond rotation strategy. Using momentum to time bond asset classes has not worked nearly as well as it has
- 6 years ago, 20 Mar 2019, 09:12am -
Tactical Asset Allocation in February [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
- 6 years ago, 4 Mar 2019, 10:45am -
Ilya Kipnis' Defensive Adaptive Asset Allocation [Allocate Smartly]
This is a test of Ilya Kipnis’ “Defensive Adaptive Asset Allocation” (KDA). KDA is a “Meta” model of sorts, combining successful elements of multiple other tactical asset allocation strategies that we track. Results from 1989 to the present, net of transaction costs, follow. Read more
- 6 years ago, 26 Feb 2019, 09:46am -
Asset Allocation Roundup [Allocate Smartly]
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Right Now It’s KDA…Asset Allocation (QuantStrat TradeR) Here Ilya shares a TAA strategy that combines elements of two popular strategies that we track: Keller & Keuning’s Defensive Asset Allocation
- 6 years ago, 15 Feb 2019, 01:04pm -
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