TAA Investing


March was good month for risk assets. Let’s see if it continues in April. Here is the tactical asset allocation update for April 2016.

Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found  here . These signals are valid after every trading day. So, while I’ll maintain these month end updates this means that you can implement your portfolio changes on any day of the month, not just month end. FINVIZ will at times generate signals that are slightly different than Yahoo Finance. Note: I am not maintaining the Yahoo Finance versions any more.  All portfolios now use FINVIZ data.

Screen Shot 2016-03-31 at 7.05.48 PM

This month AGG3 has one new holding with real estate, VNQ, back in the mix. AGG6 also has  MTUM and VTV as new holdings. Approximate monthly and YTD performance is below. In a new change global asset allocation is working well in 2016.

Screen Shot 2016-03-31 at 7.10.54 PM

For the  Antonacci dual momentum  GEM and GBM portfolios, GEM is back in SPY. and the bond portion of GBM is in MBB. I have changed the MBS tracking ETF to MBB, from VMBS, due to errors in FINVIZ. I also now compare the FINVIZ data to Yahoo Finance for the bond portion. The  Antonacci tracking sheet  shareable so you can see the portfolio details for yourself.

The Bond 3 quant  model , see  spreadsheet , ranks the bond ETFs by 6 month return and uses the absolute 6 month return as a cash filter to be invested or not. The Bond 3 quant model is invested in IGOV, EMB, and VGLT.

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

P.S. Last month I was interviewed by Tim Du Toi from Quant Investing . Tim runs a great value investing service focused on individual stocks, similar to some of the individual stock quant models I discuss on my blog. You can read the interview here .

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18 thoughts on “ Tactical asset allocation – April 2016 update

  1. Paul,

    Thank you forthw awesome work. I am having calculating AGG3 return as it doesn’t match what you are getting 1.94% for March.Lets say I invest equal amount of 100$ in each of AGG3 which totals 300$ at start of March by buying at Feb closing price.

    We were to hold the following three in AGG3 for March
    IAU bought on 29feb market close at 11.99$ and March end price is 11.88$ so 100$ invested becomes 99.08$
    VGLT bought on 29 feb market close at 80.57$ and March end price is 80.41$ with 0.16$ dividend. So 100$ invested remains 100$
    IGOV bought on 29feb market close at 93.48$ becomes 97.19$. So 100$ invested becomes 103.96$
    Total investment at start of March 300$
    End value 303.09$
    The return I calculated is 1.03% which is half of what you are reporting at 1.94%.
    Please shed light on what I am doing wrong. It’s driving me crazy.

    1. The returns are approximate like I say. I spend like 10 seconds calculating them. The discrepancy is prob that I just use the 4 week return column from FINVIZ. 4 weeks is different than one month returns.


  2. Hi Paul!

    I wanted to check the Permanent Portfolio, but the old Yahoo Excel sheet returns an error (“divide by zero errror”). Do you know how to fix it?

  3. Completely lost — need to start fro scratch re-read the strategy and process. Where do I start reading?

  4. Does Faber’s paper say that for AGG3, each fund gets 33% of your portfolio? I thought it was invested at whatever % (20% for REIT for example) for the 3 top asset classes and the rest of your portfolio remained in cash.

  5. So, no cash for an AGG3 portfolio…his papers were a bit confusing and I still can’t really pull that information out of them.

    1. The portfolios still use the 200 day SMA as the cash or invested filter. Performance rank cones first, then the cash/invested filter based on the 200 day SMA.


  6. Paul,

    Thank you for posting the link above to your interview with Quant Investing.

    I’ve been following your blog about 2 years so I can remember reading some of some of the things you detailed. However, this article is great because it describes your background and approach at a comprehensive, high level.

    Based on the interview, things I would love to hear in a reply or future posts (if you have time):
    1- Your approach to the 30% Buy and Hold Bonds (you detailed your Bond TAA strategy on here already)
    2- Your approach to trailing stop losses in the individual quantitative stock strategies. I don’t remember reading anything on this here.
    3- Lastly, what are the percentages and what strategies you use in taxable vs deferred accounts. I sometimes wonder if I’m trading the appropriate strategy in my tax deferred vs individual accounts. (For example: I’m assuming a Buy and Hold Bonds would likely be in an individual account for current income but wonder about a TAA Bond Strategy)

    Again, thanks for sharing and all you do!

    Thanks — B

    1. Thanks for the feedback B. I can definitely write about some of these subjects in the future.


  7. Hi Paul,

    I still have my doubts abóut the best way to place the orders. Recently you said that the easiest and safest way is to use limit orders and wait until the market opens.
    Where do you place the limit order. Do you have any restrictions on the % above or below the last price? My “fear” is that the ETF will open above/below my limit price and never return to it.


  8. Seems like the spreadsheet is way out of whack. Maybe you mentioned that this may occur occasionally? Sorry if you’ve already covered it.

    1. I did mention it somewhere before, maybe in the comments. I am not keeping the Yahoo versions of any sheets updated any more. Only the FINVIZ versions.

  9. Must have been a weird error with pulling the data from FINVIZ. I was viewing the FINVIZ spreadsheet and the cells were reading all errored out. Next time I opened it an hour later it was fine.

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