Quantitative Tactical Asset Allocation
[http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461](http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461)
IVV IEFA DBC IEF IYR %Cash IEMG IGOV EMB IFGL
AUG no no yes no no 80 no no no no
JUL no no yes no no 80 no no no no
JUN no no yes no no 80 no no no no
MAY no no yes no no 80 no no no no
APR no no yes no no 80 no no no no
MAR yes no yes no yes 40 no no no no
FEB no no yes no no 80 no no no no
JAN yes no yes no yes 40 no no no no
DEC yes no yes no yes 40 no no no no
NOV yes no yes yes yes 20 no no no no
OCT yes yes yes no yes 20 no no no yes
SEP yes yes yes no yes 20 no no no no
IMPORTANT NOTE: I use a 10 month moving average, NOT 200
days or any other permutation. Also, it is based on closing price only
and NOT dividend adjusted. CAVEAT EMPTOR.
The 5 assets are: international equities (IEFA),
commodities (DBC), US Treasuries (IEF), US equities (IVV), and
US REITS (IYR). Your portfolio is divided equally among the 5 assets,
20% each. The decision to move in or out is based on a 10 month
look back monthly SMA.
For those wishing to expand, I added IEMG (emerging markets),
IGOV (foreign treasuries), EMB (emerging market treasuries),
and IFGL (foreign REITS)
JLC
14 Likes
What have your results been like?
1 Like
QTAA has had a great year. The moves to DBC (August 2020) and Cash (Feb 2022) have paid off.
2020 https://discussion.fool.com/qtaa-202012-34709151.aspx
2021 https://discussion.fool.com/qtaa-202112-35013112.aspx
“Tactical asset allocation model results from Jan 2014 to Aug 2022 are based on relative strength model holding the best performing asset. The model uses a single performance window of 10 calendar month(s). Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for iShares Core MSCI EAFE ETF (IEFA) [Nov 2012 - Aug 2022].”
Portfolio CAGR Stdev Best Year Worst Year MDD Sharpe Ratio Sortino Ratio Market Correlation
Momentum Model 8.6% 13% 29% -11% -17% 0.63 1.00 0.37
Equal Weight Portfolio 3.1% 9% 16% -13% -16% 0.30 0.42 0.87
Vanguard Balanced Index Inv 7.2% 10% 22% -15% -17% 0.70 1.07 0.99
https://www.portfoliovisualizer.com/test-market-timing-model…
7 Likes
What have your results been like?
I haven’t used this model personally for several years. When I got within retirement striking distance, I started concentrating more on dividend paying stocks for the income reliability. Everyone will have their opinions about that.
I did use the model for many years after the initial paper was published and it got advertised returns, i.e., average S&P 500 returns with about 1/2 the GSD. The author did do an update on the model maybe 5-6 years ago and it was still holding true to form.
JLC
3 Likes
Those are superb results. Thank you.
1 Like
It is doing what it was designed to do: play defense.
1 Like
While DBC was a good performer YTD it has since lost Momentum.
Today UNITED STATES NATURAL GAS FUND, LP is about the only Commodity that is still positive 13weeks.
**Total Price**
**Market Net Returns Perf**
**Symbol ETP Name - Commidity Asset Class Price Assets (YTD) (13 Weeks)**
1 UNG UNITED STATES NATURAL GAS FUND, LP $30.34 $564.3M 129.14% 10.25%
2 BNO UNITED STATES BRENT OIL FUND, LP $29.68 $230.8M 54.85% -15.89%
3 DBE INVESCO DB ENERGY FUND $24.94 $241.4M 49.71% -14.93%
4 USO UNITED STATES OIL FUND, LP $72.56 $2.3B 43.58% -18.68%
5 GSG ISHARES S&P GSCI COMMODITY-INDEXED TRUST $22.03 $1.8B 34.02% -15.38%
6 DBO INVESCO DB OIL FUND $16.82 $402.9M 32.03% -17.46%
7 COMT ISHARES GSCI COMMODITY DYNAMIC ROLL STRATEGY ETF $38.27 $2.6B 29.47% -15.64%
8 USCI UNITED STATES COMMODITY INDEX FUND, LP $54.27 $307.6M 25.93% -12.47%
9 DBC INVESCO DB COMMODITY INDEX TRACKING FUND $25.51 $3.7B 25.65% -14.97%
10 PDBC INVESCO OPTIMUM YIELD DIVERSIFIED COMMODITY STRATEGY NO K-1 ETF $17.23 $8.4B 25.32% -15.06%
11 BCI ABRDN BLOOMBERG ALL COMMODITY STRATEGY K-1 FREE ETF $27.70 $1.0B 22.62% -11.25%
12 COMB GRANITESHARES BLOOMBERG COMMODITY BROAD STRATEGY NO K-1 ETF $30.91 $325.3M 22.42% -11.23%
13 BCD ABRDN BLOOMBERG ALL COMMODITY LONGER DATED STRATEGY K-1 FREE ETF $37.15 $296.6M 21.96% -10.68%
14 CMDY ISHARES BLOOMBERG ROLL SELECT BROAD COMMODITY ETF $58.59 $319.9M 19.62% -12.30%
15 FTGC FIRST TRUST GLOBAL TACTICAL COMMODITY STRATEGY FUND $26.63 $4.5B 17.55% -11.36%
16 CORN TEUCRIUM CORN FUND $26.65 $202.1M 16.06% -4.13%
17 WEAT TEUCRIUM WHEAT $8.35 $329.0M 14.48% -24.02%
18 GCC WISDOMTREE ENHANCED COMMODITY STRATEGY FUND $22.43 $303.5M 11.77% -16.11%
19 PALL ABRDN PHYSICAL PALLADIUM SHARES ETF $187.51 $359.0M 11.69% -2.59%
20 COM DIREXION AUSPICE BROAD COMMODITY STRATEGY ETF $30.13 $332.3M 8.71% -11.00%
21 DBA INVESCO DB AGRICULTURE FUND $20.48 $1.6B 2.23% -8.02%
22 GLDM SPDR® GOLD MINISHARES $34.11 $5.2B -3.77% -9.37%
23 AAAU GOLDMAN SACHS PHYSICAL GOLD ETF $17.05 $577.5M -3.80% -9.40%
24 BAR GRANITESHARES GOLD TRUST $17.02 $935.9M -3.80% -9.34%
25 SGOL ABRDN PHYSICAL GOLD SHARES ETF $16.46 $2.4B -3.87% -9.32%
26 IAUM ISHARES® GOLD TRUST MICRO $17.16 $1.1B -3.88% -9.38%
27 OUNZ VANECK MERK GOLD TRUST $16.67 $623.2M -3.88% -9.47%
28 IAU ISHARES GOLD TRUST $32.60 $28.2B -3.91% -9.46%
29 GLD SPDR® GOLD SHARES $159.95 $56.7B -4.01% -9.45%
30 GLTR ABRDN PHYSICAL PRECIOUS METALS BASKET SHARES ETF $81.13 $1.0B -4.72% -11.85%
31 PPLT ABRDN PHYSICAL PLATINUM SHARES ETF $78.45 $1.0B -7.65% -19.11%
32 DBB INVESCO DB BASE METALS FUND $18.69 $358.5M -11.64% -20.47%
33 SIVR ABRDN PHYSICAL SILVER SHARES ETF $17.54 $945.5M -12.99% -20.36%
34 SLV ISHARES SILVER TRUST $16.81 $9.7B -13.06% -20.45%
35 KRBN KRANESHARES GLOBAL CARBON ETF $43.00 $994.5M -13.48% -13.36%
36 KCCA KRANESHARES CALIFORNIA CARBON ALLOWANCE ETF $22.93 $196.1M -14.80% -17.24%
GD_
3 Likes
It is doing what it was designed to do: play defense.
I don’t know if I would call it “play defense”. I guess it depends on your viewpoint, but getting market returns involves risk and you don’t get that by being cautious. Its design was to decrease volatility and increase your ability to sleep at night.
JLC
2 Likes
“Play defense” = “decrease volatility and increase your ability to sleep at night.”
FC
1 Like