Portfolio , TAA Investing


Happy New Year! It’s that time of the year to update portfolio performance statistics. It will take me a few more days to complete all my data gathering for TAA, Quant, and Buy and Hold Portfolios before I can do my usual Comparing Portfolio performance pos t for 2019. I’ll also be doing an update of my TAA batting averages post. But I thought it would be useful to do a quick post on 2019 TAA performance for various portfolios, including my own, and compare them to some benchmarks. Let’s get right to it.

Table 1 below is a list of all the TAA portfolios tracked by AllocateSmartly , plus my Economic Pulse Portfolios, plus some of the benchmarks I use to compare TAA performance, sorted by 2019 performance. I just picked a few stats to compare the portfolios by, but there are many more available at the AllocateSmartly site. I chose 2019 returns, 20 year and 10 year returns, volatility, sharpe ratio, drawdown, and turnover. The portfolios highlighted in green are what I consider good benchmarks (benchmarking TAA is something I’ll be discussing more in another post). I chose the traditional, ubiquitous 60/40 benchmark, because it’s everywhere. I don’t think it is a great benchmark but it is used all over the place in the investment industry. A better one, is a more global benchmark, the GAA portfolio ( there is even an ETF for it ). I also added the new Newfound Resolve Robust Equity Momentum Index . It is a great new benchmark for TAA strategies. Blue highlighted portfolios are buy and hold portfolios, and the portfolios highlighted in yellow are the ones from my Economic Pulse Newsletter. OK, here is the data.

Table 1: 2019 TAA Strategy Performance

As you can see there was, as usual, quite the range in performance for 2019. The leading strategies in 2019 were basically in US stocks the as much as possible throughout the year. The leading strategy for the year, Growth Trend Timing (GTT), was in SPY most of the year. US stock performance also drove the gains in 60/40 which was a great year as a buy and hold portfolio vs most TAA strategies. Any strategies with more global asset allocations didn’t perform as well as US centric strategies. Actually, even allocations to factors within US stocks, like value, momentum, small cap, and equal weight underperformed. Also, tactically being in risky bonds or momentum in bonds worked well this year and you can see from my 2 bonds strategies ranking pretty well in an equity centric universe of strategies. That is rare.

One year performance shouldn’t matter too much when judging a TAA strategy so let’s now sort the portfolios by 10 year returns which would cover the 2010 to 2019 period. Table 2 below shows those rankings.

Table 2: TAA Strategy Performance Over the Last 10 Years

The last 10 years has been a very strong bull market in US stocks so US centric strategies are nearer the top of the rankings. The 60/40 buy and hold benchmark is near the top of the list whereas the global GAA benchmark is way further down. Also the more aggressive strategies, i.e. more equity exposure, are nearer the top of list. And as you would expect the bond strategies are near the bottom.

OK, one final cut which is probably the best perspective to judge TAA strategies, the last 20 years of performance. This period covers two big stock market crashes, a huge bull market in international stocks, and a huge bull market in US stocks, and even a big commodity bull market. Table 3 shows those rankings.

Table 3: TAA Strategy Performance Over the Last 20 Years

In the more long term cut that covers bull and bear markets is where you really see the TAA strategies show their stuff. All buy and hold strategies are pretty far down the list and you would expect across a period that covers bull and bear markets.

That’s about it for today. There many more ways to slice and analyze the data but that is a good start.

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7 thoughts on “ A first look at 2019 portfolio performance

  1. Hi Paul,
    Thanks for compiling and publishing this summary.

    If possible, what is your opinion of ROMO for a core position? The implementation is excellent but only $4M AUM, thin volume and on the BATS exchange adds risk?

    Thanks / Kevin

    1. I love the idea and I am rooting for it to succeed but I would like to see it grow in size and volume.


  2. Hello Paul
    I was curious of you will be posting the 10 and 20 year results of the Model Investor Portfolio (Getting started, Aggressive 1 and so on)performance of the economic pulse?

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