It’s been a while since I’ve done updates for the various IVY portfolios. I’ve noticed that investors still have trouble implementing these portfolios so I decided to start doing the updates again. At least for a few months. Hopefully this helps investors who are trying to implement these portfolios or are just starting their research into these strategies. Also, I’ve changed the name to tactical asset allocation update because these strategies are independent of the ‘IVY’ models popularized by Meb Faber . As I mentioned in my last post you can apply these strategies to many other diversified portfolios. For now, I’ve added the Permanent Portfolio to my IVY portfolio updates. In the future, I will probably add other tactical asset allocation strategies. In particular, I will probably be adding a volatility weighting to some of these strategies. On to the November update.

Starting with the most basic portfolios, below are the November updates for the GTAA5 and the Permanent Portfolio. I keep a spreadsheet online that is update automatically.

IVY5 timing model Nov 1 2014 update

Perm Port timing update nov 1 2014

Now for the more broadly diversified GTAA13 portfolio. Online spreadsheet for this and the GTAA3 and GTAA6 portfolios.

GTAA13 timing update nov 1 2014

And finally for the more aggressive GTAA3 and GTAA6 portfolios.

GTAA6 GTAA3 Nov 1 2014 update

These portfolios signals are valid for the whole month of November. Also, I’m considering replacing the MTUM momentum ETF with a better option. My concern with MTUM is the small market cap and low liquidity. There are potentially some better options out there. I’m considering IUSG or PDP for the US momentum ETF and am even considering adding an international momentum ETF, for example PIE.

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13 thoughts on “ Tactical asset allocation november update

  1. I have been investing a good bit of my non-401K portfolio in the GTAA3 this year. I believe that I should re-balance the 3 selections once a year. Is that what you recommend? Thanks for all the effort you take to help communicate the info on your blog.

    1. Mike, the results in the Meb Faber study use a monthly re balance. But if you look at the FAQ on his site he states that a yearly re balance does not impact results meaningfully. Personally, I use monthly rebalance in my IRA and yearly in my taxable account.

  2. Thanks for a great blog! I have learned a lot by reading your articles! I live in Europe and I have considered to apply GTAA 6 -strategy with some added asset classes like European Large cap, small cap, European bonds etc. Changes in currencies, i.e. EUR/USD have a big impact on returns so I have tweaked your spreadsheet a bit to calculate valuations and rankings from valuations in euros. (I have used EUR/USD ratio from the same day as the asset classes value is so the value varies from month to month.) Because USD has gained recently compared to EUR, investments in USDs have gained accordingly. However, I am not sure how should asset classes be ranked. Should they be ranked based on their actual vauations in their base currencies or in our home currencies. How do you see this?

    1. Hi Niklas, I would rank them in whatever currency the ETF you choose to track a particular asset class is using. So, for example, for me if I wanted to add exposure to Japanese equities I would choose DXJ as my ETF since I don’t want the currency exposure and then use the prices for that ETF in dollars since it is listed in the US and trades in US dollars.


  3. Paul,
    I’m still liking MTUM for US Large Cap Momentum. It’s expense ratio is only 0.15% versus 0.74% for PDP (PDP is also considered Mid Cap). I realize the market cap for MTUM is small, but it appears to be headed in the right direction.

    $199M – 1/31/14
    $306M – 7/31/14
    $418M – 10/31/14

    Let us know if you think something else looks better.

    Thanks for all that you share with us,

    1. Hey Bryce, I agree it’s headed in the right direction. Just always considering other options. The biggest hole I see in the ETF list is small cap momentum. VBK is a poor proxy for the momentum factor. Would also like an international momentum ETF added.

  4. I really enjoy your thoughtful musings about investing topics. I am looking to retire July 2015 and have found your portfolio allocations and withdrawals topics of particular interest.  I thought you might enjoy this paper on optimizing retirement withdrawal strategies. Stu Koop

  5. Hi, Paul and friends…been lurking for a while. Looking to retire to half year RV adventures in a couple of years. I think I understand the basics of IVY but am a little bewildered as to how to actually put the right nuts on the right bolts to get started. Any good practical guides for a beginner who is unhappy with fees to Fidelity?

    1. Not aware of any good practical guides out there beyond the book, The IVY Portfolio, but even the book assumes a certain level of knowledge and comfort implementing investment strategies. You can send me an email with your big questions and I can probably get you most of the way there.

      paul . novell @ gmail . com

  6. Great website, thanks for all the knowledge. I was wondering why the Ivy Portfolio Spread sheets do not appear to be updating lately? Did Yahoo change something? Or is it just my computer? Anyway, I love your website.

    1. I have noticed the issues with the spreadsheets updating. I don’t know if its Google sheets or Yahoo but I suspect Google sheets. I have similar issues when accessing FINVIZ data through Google sheets. Also, my own excel versions of the spreadsheets, the use the excel web query functions, are still working well. Other bloggers are having the same issues with their spreadsheets as well.


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