Quant Mashup - Allocate Smartly
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
- 3 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
- 3 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
- 3 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
- 3 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
- 3 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
- 3 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
- 3 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
- 3 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
- 3 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 years ago, 15 Feb 2019, 01:04pm -
Tactical Asset Allocation in January [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
- 4 years ago, 2 Feb 2019, 09:28am -
Asset Allocation Roundup [Allocate Smartly]
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Fragility Case Study: Dual Momentum GEM (Newfound) + Response from Gary Antonacci Corey’s post kicked off quite a lively discussion. I encourage you to click through to both pieces, but here’s the
- 4 years ago, 23 Jan 2019, 01:25pm -
Livingston's Muscular Portfolios [Allocate Smartly]
This is a test of two tactical asset allocation strategies from Brian Livingston’s new book Muscular Portfolios and his site MuscularPortfolios.com: the “Mama Bear” and “Papa Bear” Portfolios. The short and sweet take: neither of these strategies tread new ground – they’re both based
- 4 years ago, 17 Jan 2019, 11:45am -
Reminder: Big Up Days Occur With More Frequency in Bear Markets [Allocate Smartly]
We can’t say with certainty where the market goes from here – whether the market will turn around in January or continue into bear territory – and neither can anyone else. What we can say for certain however is that big up days like we saw today (SPY +3.35%) are not an indicator that this
- 4 years ago, 4 Jan 2019, 08:24pm -
Tactical Asset Allocation in December [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 4 years ago, 2 Jan 2019, 10:09am -
Asset Allocation Roundup [Allocate Smartly]
Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Trend Following on Steroids (Wouter Keller via Alpha Architect) Wouter Keller details his latest tactical model: “Defensive Asset Allocation”. We track a number of strategies from Dr. Keller and his
- 4 years ago, 24 Dec 2018, 09:49am -
Tactical Asset Allocation in November [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 4 years ago, 1 Dec 2018, 12:31pm -
Asset Allocation Roundup [Allocate Smartly]
Recent asset allocation articles (tactical or otherwise) that you might have missed: When Simplicity Met Fragility (Newfound Research) Yes, yes, yes. A must read. “Research suggests that simple heuristics are often far more robust than more complicated, theoretically optimal solutions. Taken too
- 4 years ago, 16 Nov 2018, 10:37am -
Tactical Asset Allocation in October [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 4 years ago, 1 Nov 2018, 01:58pm -
Asset Allocation Roundup [Allocate Smartly]
Recent asset allocation articles (tactical or otherwise) that you might have missed: Market Timing the Credit Cycle (EconomPic) Jake looks at forward returns based on the width and direction of the credit “quality spread” (high yield minus investment grade OAS). Below we’ve reproduce Jake’s
- 4 years ago, 3 Oct 2018, 08:35am -
Tactical Asset Allocation in September [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 4 years ago, 30 Sep 2018, 11:59am -
Accelerating Dual Momentum [Allocate Smartly]
This is a test of the tactical asset allocation strategy “Accelerating Dual Momentum” (ADM) from EngineeredPortfolio.com. ADM is especially aggressive strategy that ties together multiple concepts from other TAA models that we track. Results from 1990 to the present, net of transaction costs,
- 5 years ago, 19 Sep 2018, 12:06pm -
FX Risk, International ETFs and Asset Allocation [Allocate Smartly]
In our previous post, we touched on FX rates and their impact on international ETFs like EFA or EEM. In short, because international ETFs trading in the US are denominated in USD, most are affected not just by changes in underlying assets, but also by changes in the exchange rate between USD and
- 5 years ago, 11 Sep 2018, 09:04am -
Asset Allocation Roundup [Allocate Smartly]
Recent asset allocation articles (tactical or otherwise) that you might have missed: We Are All FX Traders Now (Alpha Scientist) Because international ETFs trading in the US (ex. EFA or EEM) are denominated in USD, most are affected not just by changes in the underlying assets, but also by changes
- 5 years ago, 6 Sep 2018, 09:54am -
Tactical Asset Allocation in August [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 5 years ago, 2 Sep 2018, 11:02am -
How Members Are Using Our Site and What That Says About TAA Investors [Allocate Smartly]
We’re in unique position to analyze the behavior of Tactical Asset Allocation investors. Our platform helps members analyze 40+ published TAA strategies from many angles, including: historical performance, tax efficiency, exposure to rising interest rates, etc. Members can combine those strategies
- 5 years ago, 31 Aug 2018, 10:22am -
Two New Strategies Added: Defensive Asset Allocation and Accelerating Dual Momentum [Allocate Smartly]
We’ve begun tracking two new tactical asset allocation strategies: Defensive Asset Allocation (DAA) and Accelerating Dual Momentum (ADM). We’ll be introducing both in more detail on our blog in the coming weeks. Members can review their historical performance and begin tracking them in near
- 5 years ago, 29 Aug 2018, 01:41pm -
Tactical Asset Allocation in July [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation 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 are
- 5 years ago, 3 Aug 2018, 06:29am -
New Strategy Added: Vigilant Asset Allocation – Balanced [Allocate Smartly]
Vigilant Asset Allocation from Dr. Keller and JW Keuning is one of the most popular tactical asset allocation strategies that we track (click for the full list). The authors’ original paper includes multiple variations of the strategy, based on the number of assets held at any given time and how
- 5 years ago, 19 Jul 2018, 10:17am -
Tactical Asset Allocation in June [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of
- 5 years ago, 2 Jul 2018, 12:47pm -
Tactical Asset Allocation in May [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of
- 5 years ago, 5 Jun 2018, 09:23am -
Tactical Asset Allocation in April [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of
- 5 years ago, 1 May 2018, 12:23pm -