TAA Investing


Here is the very quick version of the tactical asset allocation update for Sept. Signals are valid for until the end of the month.

Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found  here .

Screen Shot 2016-08-31 at 10.27.02 PM

One new change for AGG3. IAU is out and VWO is in. One change for AGG6. IAU is out. VTV is in.

For the  Antonacci dual momentum  GEM and GBM portfolios, GEM remains in SPY, and the bond portion of GBM is in CRED. 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 remains invested in JNK, VGLT, and EMB.

A brief look at performance for Aug is below. A lackluster month overall.

Screen Shot 2016-09-01 at 9.48.16 AM

And approximate performance for 2016 so far.

Screen Shot 2016-09-02 at 9.06.38 AM

Oh, and since I waited two days to complete this, the latest unemployment rate is out this morning. The unemployment rate held steady at 4.9% and is still below its 12 mo moving average. This is still positive for risk assets in the UI model.



2 thoughts on “ Tactical asset allocation – sept 2016 update

  1. Thanks Paul.

    PS- I’m sure you got all the emails and saw all the news about Meb Faber’s Trinity Portfolio and it being used in his new Digital Advisory Service using Betterment. Since alot of the models here are based on Meb Fabers research, I’m wondering in the future if you could consider including a monthly comparison to Trinity Portfolio. It sounds like the “classic” Trinity portfolio (Trinity #4 in his new scheme) would be 50% GAA (world portfolio with value and momentum tilts) and 50% GMOM (world momentum). Also, any relevant thoughts you have on it would be good. Thanks!

    1. Hey Brian, I have seen all the news but haven’t had much time to look at it. I took all of August off and am taking most of September as well. I’ll put it on the list…thanks.


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