AllocateSmartly


 

Tactical Asset Allocation in July [0.14]

Posted on Aug. 1, 2017, 3:31 p.m. by AllocateSmartly @ [source]

This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies.

Tactical asset allocation turned in a strong performance in July.

allocation asset classes equities exposure market performance strategies TAA tactical

 

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.

Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.

agg allocation asset defensive momentum offensive portfolio score strategy trading

 

Member Announcement: Better Data, Longer Backtests [0.12]

Posted on July 23, 2017, 7:27 p.m. by AllocateSmartly @ [source]

A big part of the value that we provide to members is the collection of historical asset data used in our tactical asset allocation backtests. Excluding the strategies I mention below, the biggest change in annualized return for any strategy was 0.3%, and the biggest change in Sharpe Ratio was 0.02.

allocation asset backtests data etf historical member strategies tactical track

 

Member Announcement: Two New Strategies Added [0.17]

Posted on July 18, 2017, 5:53 p.m. by AllocateSmartly @ [source]

This is the latest model by Dr. Wouter Keller and JW Keuning, from their new paper: Breadth Momentum and Vigilant Asset Allocation. This limits the amount of unnecessary asset overlap when members combine strategies into custom model portfolios, and we think provides an extra check on each strategy’s parameter sensitivity.

allocation asset combine member model paper strategies strategy test trading

 

Tactical Asset Allocation in June [0.16]

Posted on July 3, 2017, 4:01 p.m. by AllocateSmartly @ [source]

This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies.

Tactical asset allocation turned in a mixed performance in June.

allocation asset equities estate international market significant strategies TAA tactical

 

Does the Day of the Month Matter? [0.08]

Posted on June 30, 2017, 7:23 a.m. by AllocateSmartly @ [source]

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 and because monthly asset class data is easier to come by.

asset data guest outperformance post strategies trades trading turn versus

 

This TAA model employs Markowitz’s classic mean-variance optimization, coupled with a short lookback in order to harvest the momentum factor (I realize that’s a mouthful, more on this in a moment).

The only difference between the offensive and defensive versions of this model is the target volatility level used in determining the optimal portfolio: 5% for the defensive variation of the strategy, and 10% for the offensive variation.

allocation asset defensive markowitz momentum mvo portfolio strategy variation volatility

 

Tactical Asset Allocation in May [0.17]

Posted on June 2, 2017, 7:37 a.m. by AllocateSmartly @ [source]

This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. The two top performing strategies were only recently added to the members’ section: Classical Asset Allocation (CAA) Defensive and Offensive.

allocation asset classes equities exposure recent strategies TAA tactical time

 

This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management.

The original Permanent Portfolio, from Harry Browne and his book Fail-Safe Investing, attempts to do that using a “four seasons” approach to investing.

allocation asset drawdown ief month note portfolio results strategy volatility

 

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 graph), and in a hypothetical world where rates marched upwards in the exact reverse order (right half of the graph).

assets higher interest rate rate returns simulation upward volatility years yield

 

Tactical Asset Allocation in April [0.15]

Posted on April 29, 2017, 1:53 p.m. by AllocateSmartly @ [source]

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.

asset classes exposure include real significant strategies TAA time track

 

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.

falling instruments interest note rate rising tlt treasuries year yield

 

Philosophical Economics’ Growth-Trend Timing [0.12]

Posted on April 5, 2017, 5:24 a.m. by AllocateSmartly @ [source]

This is a test of the Growth-Trend Timing (GTT) model from the always thought-provoking Philosophical Economics. The source piece for this strategy is a masterwork in understanding trend-following.

economic gtt indicator key PE Philosophical recession results strategies trend following

 

Tactical Asset Allocation in March [0.15]

Posted on April 1, 2017, 2:18 p.m. by AllocateSmartly @ [source]

This is a summary of the recent performance of a number of excellent tactical asset allocation strategies.

Tactical asset allocation turned in a mixed performance in March, with returns ranging from +1.21% (Robust Asset Allocation) to -1.98% (Flexible Asset Allocation).

asset classes equities exposure include market real strategies TAA time

 

New Features, Including Strategy Categories [0.17]

Posted on March 27, 2017, 7:11 a.m. by AllocateSmartly @ [source]

The list of tactical asset allocation strategies that we track is growing long (33 and counting). But understanding how all those strategies stack up against one another can be overwhelming.

allocation asset feature member model portfolio strategies strategy taxable turnover

 

TAA Strategy Combining Risk Parity & Trend Following [0.12]

Posted on March 15, 2017, 5:38 p.m. by AllocateSmartly @ [source]

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 determine how much of each asset to hold), to produce one of the least volatile strategies that we track.

asset classes equities global ief market portfolio spy strategy treasuries

 

Tactical Asset Allocation in February [0.17]

Posted on March 1, 2017, 2:13 p.m. by AllocateSmartly @ [source]

This is a summary of the recent performance of a number of excellent tactical asset allocation strategies.

Tactical asset allocation turned in another strong performance in February, with positive results across the board MTD and YTD.

allocation asset classes equities include real significant strategies TAA time

 

New Feature: Historical Allocation Analysis [0.11]

Posted on Feb. 21, 2017, 4:42 p.m. by AllocateSmartly @ [source]

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.

additional data equities exposure Hover interest market rates rising strategy

 

Why TAA Has Been So Successful in Crises [0.09]

Posted on Feb. 9, 2017, 6:09 a.m. by AllocateSmartly @ [source]

Most Tactical Asset Allocation (TAA) strategies have followed the same basic storyline. To illustrate, the graphs below shows the average return of all of the TAA models that we track (orange) versus the 60/40 benchmark (grey) during the Dot-Com Bust of 2000-02 and Global Financial Crisis of 2007-09.

crisis delay equities exposure market past shows TAA track treasuries

 

We’ve added a new statistic to the backtests and screener for all of the strategies that we track: Annual Turnover.

Annual turnover measures the rate at which a strategy replaces its holdings.

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