New strategy test: "TrendYCMacro" from Durian and Vojtko of @Quantpedia This strategy leverages the idea that trend-following does a good job determining when to switch to defensive assets during economic weakness, but a poor job during economic strength.allocatesmartly.com/testing-trendy…

Deep dive into performance of 72 Tactical Asset Alloc strategies during 2022 bear mkt. Short version: Switch from offense to defense well-timed, but some opted for long duration bonds that failed to offset risk assets to a level not seen in nearly 100 yrs.allocatesmartly.com/tactical-asset…

Our thoughts on proprietary "black box" Tactical Asset Allocation strategies (i.e. strategies for which the trading rules are not disclosed to investors, nor to us). We’ve been doing this too long to be anything but skeptical.allocatesmartly.com/super-secret-p…

Long-term returns for US Treasury bond funds w/ a constant maturity (like IEF, TLT and SHY) are quite predictable simply using initial yields as an estimate. What do we do with that knowledge? That depends on whether you're a tactical or B&H investor.allocatesmartly.com/long-term-retu…

Is inflation a predictor of correlation between stocks and treasuries? We explored two recent papers, looking at whether inflation could be useful for tweaking allocations based on whether stock/treasury correlation was expected to be high or low. allocatesmartly.com/inflation-and-…

We analyze an aggressive new tactical strategy: Paul Choi's Dividend & Growth Like Keller's "Hybrid Asset Allocation", Choi's strategy uses TIPS to gauge the health of the market. On top of this, it also considers other market valuation measures. allocatesmartly.com/chois-dividend…

New strategy test: The simple version of the popular "Hybrid Asset Allocation" from Dr. Keller and JW Keuning (TrendXplorer). HAA is a classic tactical asset allocation strategy mixed with cross-asset momentum (via TIPS) to improve performance. allocatesmartly.com/dr-keller-keun…

We just released version 3.0 of our Portfolio Optimizer for Pro members and it's awesome. The user selects a pool of tactical (TAA) strategies. We produce the historically optimal mix of those strategies based on the user's optimization objective. allocatesmartly.com/portfolio-opti…

A deep dive for European investors: Most Tactical Asset Allocation research is US-centric. How can we apply those results if US ETFs are unavailable to us? We model 4 approaches to trading TAA strategies with USD, EUR and GBP denominated UCITS funds.allocatesmartly.com/european-inves…

New feature: Members can compare strategies and their Model Portfolios to alternative benchmarks like S&P 500 and Nasdaq. Previously, we only benchmarked to the 60/40. FWIW we think benchmarking to stock indexes is a bad idea, but we're all adults here😅allocatesmartly.com/new-feature-al…

New strategy test: Meb Faber's "12-Month High Switch" When the market is making new highs, it scares investors away out of fear that the market is overvalued or the trend has run its course. This strategy demonstrates that the opposite tends to be true. allocatesmartly.com/meb-fabers-12-…

New strategy test: Meb Faber's "12-Month High Switch" When the market is making new highs, it scares investors away out of fear that the market is overvalued or the trend has run its course. This strategy demonstrates that the opposite tends to be true. allocatesmartly.com/meb-fabers-12-…

📢 New performance charts are now live. We’ve radically redesigned the charts we use to show backtested performance on the member’s platform. There are a ton of useful ways members can now dynamically manipulate the charts. Learn more 👇 allocatesmartly.com/new-performanc…

Brief educational post on linear vs logarithmic charts (specifically, equity curves). We discuss when log is better and when neither is very good. 👇 allocatesmartly.com/linear-vs-loga…

How to make TAA easier to trade w/ little impact on long-term results: First, as we've shown previously, you can delay execution by a full day. Second (and the focus of this analysis): you can "roll up" small positions into more generic asset classes. 👇 allocatesmartly.com/make-things-ea…

New platform feature: We've added Max Ulcer Performance Index (UPI) to the Portfolio Optimizer. UPI is a measure of return relative to drawdowns (i.e. losses). Members can now find the combination of strategies that would have maximized historical UPI. allocatesmartly.com/maximum-ulcer-…

Deep dive into which share disposal method - FIFO or LIFO - would have been more tax efficient for the 80+ strategies we track. We find a major impact on tax efficiency, esp. when combining strategies, but the best approach has been a mix of FIFO & LIFO. allocatesmartly.com/tactical-asset…

Is month-end still the best time to trade tactical strategies? Most Tactical Asset Allocation (TAA) strategies trade once per month. Developers usually assume trades are executed on the last trading day of the month. But in recent years it's been one of the worst days to trade.

New strategy test: "Pragmatic Asset Allocation" from Vojtko and Javorská of @Quantpedia The strategy is "tactical" (i.e. changes allocation over time in response to market conditions), but also designed to ensure tax efficiency every year. allocatesmartly.com/pragmatic-asse…

New strategy test: "Excess Earnings Yield Dynamic" from White and Haghani This is a valuation strategy that dynamically splits the portfolio between stocks and TIPS based on "excess earnings yield". We test 2 variations: valuation-only and w/ momentum.allocatesmartly.com/excess-earning…