GTAA Indicators update

For those using or interested in mechanical GTAA allocation strategies involving pure momentum and relative momentum -

  • Foreign Developed (EFA etf) moved up to #1 and ahead of cash due to this week’s price action - crossing from bearish/out to bullish/“investable”.
  • Cash moved down to #2
  • US Small Caps, US Small Cap Growth, and US LC Momentum just rose above their moving averages up to ranks 3-5, but are underperforming Cash on a relative basis, so they remain on “out” signals on a Dual momentum basis.

The move in all 4 asset classes was pretty extreme last week, so it remains to be seen whether they will hold above their MAs in the next couple of weeks; this is a classic “watch for whipsaw” situation.