TAA Investing

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And there goes January. That was sure quick. There were a few developments over January  in a few of the tactical asset allocation portfolios so let’s get right to it. Here is the February 2015 tactical asset allocation update. As of this month all the data is coming from new versions of my Google spreadsheets which are updating correctly. Glad those issues are behind me. Also, this month I’m adding some more commentary to the recent portfolio developments so investors get a feel in real-time for the changes happening in the various portfolios.

Starting with the most basic portfolios, below are the February updates for the GTAA5 and the Permanent Portfolio. These portfolios are now part of the main Paul’s GTAA 13 Portfolio New sheet. Just thought it would be easier to have all of these in one place.

IVY5 and GTAA5 Feb 2015 update

There was no change for the GTAA5 portfolio from the January update. In the Permanent Portfolio IAU went on a buy signal, for those rare few who choose to time the Permanent Portfolio. VTI is getting closer to it’s 200 day SMA. Also, VNQ and IEF continue their strong trends with further increases over their 200 day SMAs. Commodities did even worse this month falling even further below their moving average.

Now for the GTAA AGG3 and AGG6 portfolios. I’m not tracking GTAA13 here in the monthly posts anymore but all the information for that portfolio is in the online spreadsheet for those interested.

GTAA AGG3 and 6 Feb 2015 update

There were no changes for the GTAA AGG3 portfolio. VGLT, VNQ, and MTUM continue to be the top 3 ETFs, although MTUM is struggling with the recent US market weakness. AGG6 had some big changes this month. 50% turnover this month. The bottom 3 ETFs all changed. The three new ETFs for AGG6 this month are IAU, VCIT, and VGIT. Gold, IAU, was one of the strongest performing ETFs this month and is moving up the ranks.

As far as performance goes, I’ve decided to keep track of the performance of the main portfolios on a monthly basis. It will make my life easier at the end of the year and I think it gives investor a better feel how these portfolios behave over time. Below are the January performance numbers for the portfolios and some benchmarks. AGG3 is leading the pack at the end of January with the Permanent Portfolio also doing quite well.

TAA Jan 2015 perf update

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). Since these portfolios are based on 12 month returns there is a long way to go before they signal any change. I may put up a spreadsheet soon that automatically tracks these portfolios.

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

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19 thoughts on “ Tactical asset allocation – february 2015 update

  1. Paul,
    I updated my spreadsheet too if anyone is interested (same data just presented a little differently).

    https://docs.google.com/spreadsheets/d/1bN6OWUTsCwDu8th2WlibwHJ5GOPKitVJPq5li1TZGKg/edit#gid=88118579

    Also, I believe your January performance for the AGG6 is incorrect. You’re calculating it on the current Top 6 going forward for February, not the actual Top 6 that we were invested in during January (the bottom 3 changed). The AGG3 performance is correct because there was no turnover.

    Bryce

    1. Thanks Bryce. Your spreadsheet is always great. And thanks for catching the bonehead mistake on AGG6 performance. It is fixed in the post now.

      Paul

    2. Just curious why your and Pauls monthly and average returns don’t match. They appear to be directionally correct, but off considerably in some cases. Not wanting to get into a reconciliation exercise but like the data you both capture, but curious about the discrepancies.

      Thanks
      Mike

      1. Footnote….not your actaul spreadsheets but the screenshot that Paul has in this post under 13 asset classes. I don’t see how those returns match up.

        Mike

      2. Mike, these numbers change every single trading day. I just compared the monthly and average returns as of this morning from Bryce’s ‘status’ sheet to my ‘Returns’ sheet and they are exactly the same.

        The screenshot that is posted in the monthly update is only valid for that one day/weekend, until the close of the next trading day. And sometimes the spreadsheets don’t update for some reason on a given day. You can only compare screenshots to the actual specific spreadsheet update on a given day.

        Paul

  2. Paul –

    Thanks so much for posting your ideas. It’s helped me reconsider my allocations (for the better). Quick question: you look at sell signals based on month end prices. Is there any improvement/ value to tracking the 200 day SMA on a daily basis?

    1. Mike, short answer, probably not. Me Faber took a look at more frequent time frames in his study and although he doesn’t explicitly give numbers, he states that the whipsaws and extra fees of a daily system are not worth it over the long term. I agree with that and my backtests show that as well. I have seen other similar systems that use weekly updates that have decent performance over a monthly system but have not been able to verify them in my backtests.

      Paul

  3. A thanks to Paul and Bryce for the posts and spreadsheets. The effort is greatly appreciated and put to use.

  4. So am I reading this data correct? The S&P 500 for Jan lost 3% and your permanent portfolio was up 4%? A 7% difference?

    1. You are reading it correctly. Both the Permanent Portfolio and the AGG3 portfolio were up over 4% in January. Also, it’s not my portfolio – these are all well known portfolios. The Permanent Portfolio was created by Harry Browne decades ago. The GTAA portfolios are recent examples of trend following portfolios that have been around for decades as well – most recently brought to life by Meb Faber in his papers and book, The IVY Portfolio.

      Paul

  5. Paul –

    Just found your blog yesterday and spent a good portion of the afternoon and evening reviewing the many interesting and useful entries. As a retiree trying to self-direct investments, this is a wonderful resource.

    Although I need to more closely review the portfolios and spreadsheets and may have a question or two, I do want to thank both you and Bryce for your time and efforts.

      1. Hi Paul –

        I’m back with a question regarding portfolio implementation. If I wanted to invest in one or more of the portfolios, is it better to just step into the selected portfolio at month’s end following the latest signals or, knowing it may take many months, wait and only invest in those ETFs within the portfolio that have been below the 10 month SMA and just crossed above at month’s end?

        1. Hey Ken,

          The history and my own analysis says it’s better just to jump in an implement the portfolio. In strong trends the signals won’t reverse for a quite a while. For example, VTI has been on buy since the end of Jan 2012. To smooth out performance you could average in the dollars over a period of say 3 months.

          Paul

  6. Uh oh I should have waited for rebalancing. I went ahead and rebalanced my AGG6 based off the post and didn’t notice Bryce’s correction… I only noticed it when Google informed me about the spreadsheet update today. I’m trying to figure out what to do now – sell VCIT/VGIT and go back into VBR/VBK or wait it out until the end of the month.

    In any case, thanks for the update and thanks to Bryce for catching the issue.

    1. Bryce’s correction was for the performance of the AGG6 portfolio in January and had nothing to do with the end of the month signals. The holdings for the AGG3 and AGG6 portfolio are correct in the post.

      Paul

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