TAA Investing

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What else do I have to do on an NFL playoff weekend? Yesterday I decided not to wait any longer for the Google god to bless my GTAA 13 spreadsheet with an upgrade to the newest version. Good thing I found a workaround – create a new sheet from scratch and re-do all the formulas and tables in the new sheet. Long and tedious but pretty simple.

The new version of the spreadsheet is called Paul’s GTAA 13 Portfolio New and can be found here . I have not added all the functions I had in the old sheet yet but the important stuff is there. I also consolidated the summary returns and signals into one table. This new sheet can be used for the IVY buy and hold 13, GTAA13, GTAA AGG3, and GTAA AGG6 portfolios.

On another note. I was told by a reader that the ETF MTUM is on the restricted list at some brokers. This is most likely because it is a relatively new ETF, dating back to only April of 2013. For those that encounter this issue I recommend using IUSG as an alternative ETF to MTUM.

Have at it.

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17 thoughts on “ GTAA 13 spreadsheet back in business

  1. Thanks for doing this! Are you now able to quantify performance data for Paul’s GTAA 13 with the portfolios listed on previous post? Would love to see them all together.

    1. Shawn, the only portfolio I didn’t include the performance of was GTAA 13. If that’s what you’re referring to, then I’m not keeping track of the performance of that portfolio anymore. I’ll wait to Meb Faber updates it. The buy and hold version is easy but the GTAA version is a pain do the unequal weights which I can’t run simply in Portfolio123.

      Paul

  2. Hi Paul,

    I hope you and Nina are well. Thank you for creating and maintaining both websites, they are interesting, useful, and a joy to read.

    I have a question on your post above. You suggest IUSG as a substitute for MTUM.
    What are your thoughts on using the SP500 based IVW as the proxy for Large Cap Growth?

    Thanks!

    1. Alan, Outside of MTUM I prefer IUSG over IVW for two reasons. One, it’s half the fees. Two, it’s more of a large cap ETF where as IVW is a mega cap ETF. I think IUSG better represents the asset class. Neither one however is a great proxy for Large cap momentum. I would only choose them if I couldn’t invest in MTUM for some reason.

      Paul

  3. Hi Paul….How do you determine your weighting of investments in each portfolio for GTAA13, AGG6 and AGG3? Based on the Asset Allocation paper you shared late last year, assuming you are not doing an equal weighting across each invesment in the various portfolios. If not, what criteria are you using to weight and adjust your investments each month within a given portfolio?

    Thanks
    Mark

    1. Mark, AGG3 and AGG6 are equal weights. GTAA13 is not equal weight. It’s a modification of a basic 60/40 portfolio. In Mebane’s paper the asset allocations are as follows:

      US Stocks (20%) US Large Cap Value 5.00% VTV
      US Large Cap Momentum 5.00% MTUM
      US Small Cap Value 5.00% VBR
      US Small Cap Momentum 5.00% VBK
      Foreign (20%) Foreign Developed 10.00% VEA
      Foreign Emerging 10.00% VWO
      Bonds (20%) US 10yr Govt Bonds 5.00% VGIT
      Foreign 10yr Govt Bonds 5.00% IGOV
      US Corporate Bonds 5.00% VCIT
      US 30yr Govt Bonds 5.00% VGLT
      Commodities(20%)Commodities 10.00% GSG
      Gold 10.00% IAU
      Real Estate (20%)REITS 20.00% VNQ

      Paul

    1. Ilya, I’m not that familiar with the Schwab ETFs but taking a brief look your implementation looks reasonable.

      Paul

      1. Thank you for your opinion, Paul. I’ve decided to give it a try and test it with real funding starting this month.

        If anyone is interested in monthly snippets tracking this portfolio performance, you can find them here .

  4. Just wanted to say thanks for the interesting and useful information presented on this website. As a new-ish reader I look forward to future posts.

  5. Hi Paul,

    You blog is amazing! Thank you so much for your insights and the spreadsheet you post.

    A quick question: do you have an excel version of the spreadsheet? If so, could you share it? If not, I’d be happy to work on one with you, even automating it so it is easier to update.

    1. Will, I have an excel spreadsheet but never use it. The web import tool in excel is clunky compared to the database function in Google sheets.

      Paul

  6. Hi Paul,

    Just looking at the agg3 indicators on the return tab and it appears the agg3 selected stocks are not inline with rankings, why is this?

    Also, do you think it’s worth weighting certain timeframes as opposed to equal weighting?

    Thanks,

    Kunal

    1. Because I’m lazy… 🙂 I don’t sort the rankings until the end of the month since the signals are not valid anyway. And, no, equal weighing the time frames is the best approach.

      Paul

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