TAA Investing


Here are the tactical asset allocation updates for June 2015. All portfolio updates are online as part of  Paul’s GTAA 13 Portfolio New  sheet.

First, for the basic portfolios – the GTAA5 and the Permanent Portfolio. Only one change in the GTAA5 portfolio. REITs (VNQ) went to cash this month. GTAA5 is now 60% invested and 40% cash. For the timing version of the Permanent Portfolio long term bonds (VGLT) went to cash this month. The TAA version of the Permanent Portfolio is now 50% invested and 50% in cash.

IVY5 GTAA5 June 2015 TAA Update

Now for the more aggressive GTAA AGG3 and AGG6 portfolios.

GTAA AGG36 June 2015 Update

Another big turnover in AGG3 this month and a new situation in AGG6. For AGG3, 2 of the 3 holdings changed again. VWO and VTV have been replaced by VBK and VBR. AGG6 has two changes this month. VWO dropped out and the last holding which would be VGLT is now on the cash signal. So, AGG6 now has only 5 holdings. The last 16.67% position should now be in cash. This hasn’t happened in a while so take special note of this.

Performance for the portfolios so far this year is in the table below. Numbers are for each month. I also added the YTD figures and added a new ETF, GAA, as a proxy for the Global Market Portfolio I posted on recently. The figures are estimates taken from a variety of sources. I don’t do detailed performance tracking until the end of the year.

YTD Performance TAA June 2015

If you’re a fan of the  Antonacci dual momentum  GEM and GBM portfolios, GEM continues to be invested in US stocks (VTI), and the bond momentum option of the GBM portfolio continues to be invested in US long term gov’t bonds (VGLT). No changes from last month.

That’s it for this month. These portfolios signals are valid for the whole month of June. As always, post any questions you have in the comments.

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26 thoughts on “ Tactical asset allocation – june 2015 update

  1. This is absolutely fantastic. It reflects much thought and work, and is well presented. For those of us that manage finances on our own and work with the various portfolios this information is both helpful and priceless. For me it has become an invaluable dashboard. And I love the way you are constantly evolving what you present in an attempt to improve and clarify. I cant thank you enough. We are so lucky to have you. You are acting as a fiduciary to anyone smart enough to listen. Best wishes.

  2. Hi Paul,

    Thanks as always for your post. As you know, I have taken your work and made an excel spreadsheet to generate the same data (rather than using google sheets). What’s interesting is that when I use a 200-day SMA instead of 10-month SMA criteria, the VGLT signal to go to cash goes away in AGG6 because the signal goes from -0.5% using 10-month criteria to +0.33% in 200-day SMA. Like your previous post describing the work on look back windows, it makes me wonder, what is the “right” look-back window? Should it be 10 months, 200 days, or some other value? Or perhaps there should be a threshold before you go to cash, like it has to be less than -1% to switch to cash. That way you would minimize the “thrashing” associated with a noisy signal. Short of doing the type of work you described previously by Zakamulin, I’m not sure how I would figure it out, or how much difference it would make. Any thoughts?

    1. Will, there is no ‘right’ look back window. The best look back period changes over time. The average best look back period for the simple moving average signal is 10 mo. But it varies a lot as shown in Zakamulin. Also, the difference over the long term between 200 day and 10 mo is insignificant.


  3. Hi Paul,

    Great work. One question regarding the AGG6, why make the change? Looks like there was no change in the top 6 ranked holdings from May. While VGLT did go to a cash position it seems like that would only impact the GTAA13 not the AGG6. Based on your spreadsheet, and what I understand of the AGG6 strategy, you would be invested in VWO as the 6th holding. However, I may be missing something. Thanks again for your work and insight.

    1. Hi Lloyd, the simple answer is because that’s what the rules say to do. You rank the portfolios first, then determine whether to invest in them or not based on the SMA signal.


  4. Hi Paul,
    please excuse my english, and if you answered that point already.

    Considerations about the SSRN-id962461 paper of Meb Faber:

    Table page 17: return T-bill is 5,41%
    Table page 46: return WITH 10 Years is 13,41%
    Page 50: GTAA Aggressive, « The assets are only included if they are above their long-term moving average, otherwise that position of the portfolio is moved to CASH.

    What about GTAA 13 AGG Top 3 or 6 if we would put cash on 10 Year ?

    1. Salut Eric, pas problem.

      I have not run the numbers on your question but I can say that putting the cash in the 10yr when the AGG3 or AGG6 portfolios are not invested would not make a big difference. If we look at the percentage of time the AGG3 or AGG6 portfolio was invested in the 13 asset classes since 1973, it is over 95% of the time. Basically a few asset classes always are on a buy signal. So, whatever we do with the cash, it is not going to make a big difference.

      When I have some time I’ll run the actual numbers and post them.


        1. Hi Paul,
          in the same paper i mentioned above,
          page 42, Faber says:
          “… we do not include TIPs, junk or high yield bonds, emerging bonds, foreign REITs, fundamental indexes, managed futures, currencies, or other asset classes we might otherwise consider.”

          And page 60:
          “Trading lower volatility bonds doesn’t have much of a benefit, but timing higher volatility bonds (junk, emerging, corporate) tends to work well.”

          Since the date of the paper, do you know if Faber published something (results) with this others sub-assets classes ?

          1. Eric, Faber has not. But many others have. Momentum works across all asset classes. Many studies have confirmed that. The best intro study to look at IMO is the ‘Fact, Fiction, and Momentum’ study from AQR research. There are many other studies out there to look at. Antonacci writes a lot about the strength of momentum as well. Fama has written about it at length as well.


  5. Hi Paul
    Can you tell me what ETF’s do you use in the GBM portfolio? Can you use Vanguard etfs to cover the bond categories and world stocks?

    1. Steve, VTI and VEU are used for the GEM portfolio, both Vanguard ETFs. For the GBM piece, Vanguard only has a long term bond ETF, VGLT.


      1. As an FYI – I previously questioned Paul about the bond etf’s he is using for Antonacci’s GBM. Paul stated he is using:

        VGLT (Vanguard – mentioned above),
        JNK, SHY, and IGOV.


  6. Thanks Paul and B. Thinking of Tweaking GBM to also use the 10 month SMA as a filter. Without that Would still be exclusively invested in VGLT under GBM rules and taking a significant loss.

    1. GBM already uses a filter. 12 mo abs momentum. If you really want to tweak it I would just shorten the abs momentum length. Abs mom works better than SMAs.

  7. Paul
    What do you think of adding some currency ETF’s to the GTAA13. I was thinking of adding UUP and FXE for additional diversification.

    1. Don’t think it’s worth it. The additional diversification is small (look at past correlations) especially when weighed against the increased cost and slippage to the standard model.


  8. Hey Paul

    Do you know where you are getting the adjusted close price? I can’t seem to match the close prices you provided versus retrieving it from Yahoo.


    1. Of course, the spreadsheet uses Yahoo for month end adjusted closing prices. You can see the formulas in the A2 cell for each individual ETF.


      1. Hi Paul,

        have you ever consider using this etf DWAS. small cap momentum..
        It’s relative new but….i think it’s worth to test it.

  9. Hi Paul.

    have you ever consider increase the GTAA13 to other assets classes like: Japan ETF,
    Europe propertys ETf
    small cap momentum USA: DWAS

    This last etf is new, but, do you think that worths the risk?

    (sorry my english, from Portugal- Land of Ronaldo)

    1. Hi Jorge,

      I have considered it and have done some looking into adding different ETFs. But nothing has made that much of a difference to warrant me changing anything yet. I do think the addition of some more international ETFs could be a good move to more closely match the global market portfolio but I don’t have anything definitive I want to do yet.


    2. Like you say DWAS is new. And it has no advantage over the VBK ETF, small cap growth. It has has much higher fees than VBK. The best constructed ETF can’t get over super high fees.


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