Quant Mashup - Allocate Smartly
Aggressive Global Tactical Asset Allocation [Allocate Smartly]
A number of readers have asked us to test the two aggressive versions of Meb Faber’s GTAA strategy from his seminal paper: A Quantitative Approach to Tactical Asset Allocation. I can’t understate the importance that Faber’s work has had in popularizing the idea of TAA with the general
- 6 years ago, 6 Oct 2016, 03:36pm -
The Perils of Backtesting with Unrealistic Data [Allocate Smartly]
As readers hear us repeat often, our results tend to be less optimistic than you’ll find elsewhere. We do our best to show backtested results that are as realistic as possible (even though showing results that are as good as possible would probably be better for business). That’s partially a
- 6 years ago, 3 Oct 2016, 05:05pm -
Tactical Asset Allocation in September [Allocate Smartly]
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
- 6 years ago, 2 Oct 2016, 05:14pm -
Alternate Trading Days: An Important Analytical Tool [Allocate Smartly]
Many of the tactical asset allocation strategies that we track are designed to only trade at the end of the month. When tracking these strategies for members however, we show the results of trading on other days of the month as well. We don’t do this to show off our backtesting prowess; it’s an
- 6 years ago, 26 Sep 2016, 12:22pm -
Adam Butler of @GestaltU: Adaptive Asset Allocation [Allocate Smartly]
This is a test of a tactical asset allocation strategy from Adam Butler and the excellent team at GestaltU, as described in the paper: Adaptive Asset Allocation: A Primer. The model combines momentum with a minimum variance portfolio to trade a diverse array of global asset classes. The paper is a
- 7 years ago, 21 Sep 2016, 10:01am -
Average TAA Allocation by Month [Allocate Smartly]
We delayed adding the latest strategy to our site (GestaltU’s Adaptive Asset Allocation) for a week due to technical hurdles running the minimum variance component of the strategy in near real-time for members. Historical results on GestaltU’s strategy are exceptional though, and we plan to have
- 7 years ago, 16 Sep 2016, 03:33pm -
David Varadi's Percentile Channels [Allocate Smartly]
This is a test of a tactical asset allocation strategy from David Varadi of CSS Analytics. I’ve been a long-time fan of David’s work. David always devises unique approaches to trading, swimming just outside the mainstream. This strategy is a good example of that. The strategy is notable for its
- 7 years ago, 9 Sep 2016, 10:48am -
Tactical Asset Allocation Performance in August [Allocate Smartly]
This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. Read more about our
- 7 years ago, 1 Sep 2016, 09:45am -
Tactical Asset Allocation Performance in July [Allocate Smartly]
This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. AllocateSmartly is
- 7 years ago, 24 Aug 2016, 10:07am -