TAA Investing


Here is the tactical asset allocation update for July 2016. If you didn’t listen to the news all month or didn’t check prices during the month then you would think it was a pretty uneventful month and overall quite a decent month for almost all asset classes. Unfortunately, like most people you probably at least paid some passing interest to the event du jour. This month it was Brexit (or the referendum vote in the UK to leave the EU which passed by a slight majority which was a surprise to markets). I’ll just say a couple of things about Brexit before moving on to this month’s update.

One, if the event caused you in anyway to rethink your investments or strategy then you’re doing something wrong. I can about guarantee that there will be another event in the future that will cause similar or greater uncertainty and volatility. What is your plan? Anyone remember 2011 (Aug 5) when the credit rating agencies downgrade the US? I think the market dropped over 6% in one day. What did you do then? You need to have an investment plan. Even if it’s as simple as a diversified index based buy and hold strategy and a plan to ignore financial news. Two, this is why we diversify. Diversified portfolios contain safe assets for exactly this reason. Look at the performance (below) of safe assets this month. OK, on to the update.

Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found  here . The sheet contains the IVY5, GTAA5, and the Permanent Portfolio as well. 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. Also, year to date performance figures have been updated and are included in the sheet.

Note: I am not maintaining the Yahoo Finance versions any more.  All portfolios now use FINVIZ data.

Screen Shot 2016-07-01 at 7.13.50 AM

There is one change this month for the AGG3 portfolio. IAU is replacing IGOV. For AGG6 there are two changes, VTV and VBR are replaced by IAU and VGIT. Approximate monthly and YTD performance is below. As I mentioned above the diversified portfolios did quite well during the month driven by safe assets such as government bonds and gold.

Screen Shot 2016-07-01 at 7.15.06 AM

I’ve started to use the Performance charts in Stockcharts.com for some of the return data. Below is a histogram of June’s AGG3 and AGG6 holdings along with a couple of benchmarks.

Screen Shot 2016-06-30 at 2.09.22 PM

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 is invested in IGOV, VGLT, and EMB.

That’s it for this month. These portfolios signals are valid for the whole month of July. As always, post any questions you have in the comments. Unbelievably, we’re half way done with 2016 already so I’ll be doing some mid-year performance update posts in the near futures, in particular for the quant portfolios.

Tagged , , , , , ,

5 thoughts on “ Tactical asset allocation – july 2016 update

  1. Hi Paul,
    Thanks so much for all you do. I follow the GAA model for my investing, but am looking for some sort of tracking software to make sure my returns are matching yours given trading costs, quarterly deposits into the retirement account. Is there something easy to use that you can recommend.

  2. Great job! I love your site.

    For this month the screen shot doesn’t match the web page tho the rankings are the same.

    Do you account for dividends in the rankings?

    Thanks, Steve

    1. Sometimes the returns change slightly overnight. This is the bad part of doing the post early enough to give people more time to get ready for the next day. I’ve updated the screenshot. And yes, it is total returns.


    1. I update results once a year. See the bottom of the portfolios page for the latest snapshot with a link to the update post. I don’t include slippage and taxed because they are highly dependent on the implementation of these portfolios. I have posted about the difference between theoretical and actual returns before and what an investor can do to minimize the deltas.


Comments are closed.