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

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

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,

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

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

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

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

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

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

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

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

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

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

We wanted to take a moment to highlight a post from the always smart JW Keuning describing a novel approach for measuring how well a strategy has performed relative to drawdowns (losses): Presenting the Keller Ratio. Our preferred method for assessing a strategy’s return relative to drawdown has

We wanted to take a moment to highlight two must read posts from Newfound Research. Newfound is a thought leader in the TAA space and we highly recommend following them now. The Diversification Dangers of DIY Tactical – and – Diversifying the What, How, and When of Trend Following Newfound

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

New to Tactical Asset Allocation? Learn more: What is TAA? In our previous post, we looked at the tax impact of TAA for investors trading in taxable accounts. Using our database of more than 40 published TAA models we concluded that, while TAA as a whole has been relatively tax efficient, the

Tactical asset allocation, by its nature, generates more transactions than buy & hold. Investors trading in taxable accounts would be justifiably concerned that the negative tax consequences of that might outweigh the benefits of TAA by shifting returns to less advantageous short-term capital

This test is based on the Efficiente Index from JP Morgan. A variation of this strategy is available via the ETF EFFE. The strategy uses traditional mean-variance optimization (aka the “Efficient Frontier”) to trade a broad basket of asset classes, but it’s actually a momentum strategy in

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

Recent asset allocation articles (tactical or otherwise) that you might have missed: 40 Shades of Tactical Asset Allocation Across Bull And Bear Markets (Earl Adamy) Earl walks readers though his own approach to finding the best TAA strategies using the data available in our members area. We try not

Markets have started the month weak. We got spoiled last year. After such an abnormally long period of market calm, it’s natural for investors to feel a little anxious. We have no opinion on where the markets go from here. That’s why we’re quantitative traders. We put a lot of time into

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

Our site serves a lot of purposes for tactical asset allocation (TAA) investors: curating the best published strategies, testing those strategies with superior historical data, providing the ability to combine strategies into custom portfolios, and tracking even the most complex strategies in near

Blogging was light in December. We spent the month working on the launch of a new fintech project that many of our readers will be excited about. We’ll be sharing details in the coming month and getting back to our regular blogging and site development schedule. — Allocate Smartly This is a

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

Last month we launched Meta Strategy, our own smart approach to combining the 40+ tactical asset allocation strategies tracked on our site. Each month, Meta selects 10 strategies and then trades their combined asset allocation. Members can follow Meta in near-real time. Each month’s 10 strategies

Allocate Smartly tests and tracks asset allocation strategies sourced from books, academic papers and other publications. Most of the strategies that we test though never make it on to this site. There are a variety of reasons that might be, but often it’s simply because they’re not very good.

We track a wide range of tactical asset allocation strategies in near real-time (41 and counting), which members can combine into their own custom portfolios. We provide members with a wealth of data to understand how each strategy fits into a coherent trading plan, but we don’t tell members the

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

We’re very excited for the launch of an awesome new feature for our members: Meta Strategy. We track a wide range of published tactical asset allocation strategies in near real-time (40 and counting), which members can then combine into their own custom portfolios. Our platform helps members

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

This is a test of the Trinity Portfolio from Meb Faber and Cambria Investments, so named for the three key elements of the strategy: (1) a globally diversified mix of assets, (2) a tilt towards the value and momentum factors, and (3) exposure to momentum and trend-following. We’ve titled our test

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

In this post we discuss portfolio “tranching” (i.e. dividing a portfolio into overlapping slices of the same underlying strategy) to minimize “timing luck”. This is an under discussed but important topic in tactical asset allocation. For more smart thoughts on portfolio tranching, see this

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

This is a test of the “Vigilant Asset Allocation” (VAA) strategy from the recently published paper: Breadth Momentum and Vigilant Asset Allocation, by Dr. Wouter Keller and JW Keuning. This is an aggressive momentum trading model, similar in spirit to Keller and Keuning’s popular Protective

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

Be sure to check out our guest post over at research supersite Alpha Architect: Tactical Asset Allocation: Does the Day of the Month Matter? Backtests of long-term strategies like tactical asset allocation are usually shown trading at the end of the month, both because it makes the analysis simpler

This is a test of the “Classical Asset Allocation” strategy from the paper Momentum and Markowitz: A Golden Combination, authored by three of our favorite minds in tactical asset allocation: Dr. Wouter Keller, Adam Butler of GestaltU/ReSolve AM, and Ilya Kipnis from the blog QuantStrat TradeR.

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

This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management. The strategy adds a number of dynamic features to a classic buy & hold strategy to better manage volatility and losses. Results from 1970, net of transaction costs, follow. Read more

In our previous post we demonstrated an approach to modeling US Treasury ETF performance in an era of rising interest rates. We showed results like the ones below, simulating the performance of various constant maturity ETFs from the interest rate peak in 1981 to the present (left half of the

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

US Treasuries and other interest rate sensitive instruments form the backbone of many asset allocation strategies. Investors are justifiably concerned about a future of rising interest rates and the potential impact on those instruments. In this post we model that impact on constant maturity

This is a test of the Growth-Trend Timing (GTT) model from the always thought-provoking Philosophical Economics. GTT combines trends in price and key economic indicators to switch between US equities and cash. Results from 1970, net of transaction costs, follow. Read more about our backtests or let

This is a summary of the recent performance of a number 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 the

This is a test of a tactical asset allocation strategy from the excellent paper: The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (1). The strategy combines two important tools: trend-following (to determine what assets to hold) and risk parity (to

This is a summary of the recent performance of a number 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 the

We’ve added a major new feature to our members area: historical allocation analysis. Every strategy that we track now includes a brand new subpage, which is updated daily and devoted to helping members better understand how each asset class has contributed to the strategy’s performance. In this