A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters . I’ll also discuss how the performance compares to other TAA strategies. Let’s dive in.
First, let’s look at the TAA strategies that are part of the Economic Pulse Newsletter . The table below shows various performance statistics for the strategies and how they rank versus the universe of strategies tracked by AllocateSmartly . For returns, I show performance for 2020, 20 year, and 10 year performance. The rest of the figures, such as vol, UPI, trades, are for the full 20 year period.
As for the rankings, I ranked my strategies versus all of the strategies tracked on AllocateSmartly over the periods of 2020, 10yr, and 20yr returns. I then combined the 2020, 10yr, and 20yr return rankings to get an overall ranking. As an example, the VOL-COMP Global TAA strategy ranked 3rd in 2020, 1st over the last 10yrs, and 1st over the last 20yrs among 50 or so strategies ranked, including all of mine. The strategies highlighted in green are my strategies that are available on AllocateSmartly .
All in all, the Economic Pulse strategies did very well in 2020 and over the long term are ranked among the top TAA strategies. Also, here is a list of the strategies that are ranked above the 60/40 benchmark across the three periods I considered; 2020, 10yr, and 20yr performance. You can find the detailed stats on these other TAA strategies on AllocateSmartly .
Of course, it’s not all about returns so below are the rankings using UPI (Ulcer Performance Index) , a better measure of risk-adjusted performance than the Sharpe or Sortino ratio. Also, on UPI the Economic Pulse TAA strategies do quite well all while keeping the number fo trades relatively low.
Now, let’s look at the performance of the more aggressive TAA strategies that are part of the QuantPulse membership . These strategies are newer than the ones on Economic Pulse and use a daily model based on the VIX futures curve to make risk-on and risk-off decisions. Because of the more aggressive and frequent risk management the models can get more aggressive by allocating to leveraged ETFs. Basically, the aggressive versions of these strategies are seeking to maximize return while keeping risk and drawdowns similar to or less than SPY. Alternatively, using the non leveraged ETFs yield better than 100% stock returns while keeping risk quite low.
For more information on the Vol Curve model take a look at these introduction posts, here and here . The table below shows the performance of these models over various time periods and the other relevant portfolio stats. The limited history of these strategies, back to 2008, is due to the limited history of the certain VIX futures products that are used in the models.
OK, that about does it for this quick roundup of model performance for 2020. In the next week or so I’ll follow this up with an update on quant portfolio performance for 2020 and then I’ll post my annular long term portfolio performance comparison like I do every year.