TAA Investing


Here is the tactical asset allocation update for February 2016. As I mentioned last month, I am now using a new data source for the portfolio updates. I am also maintaining the old portfolio formats, in Yahoo Finance, for a while.  Here  is the link to the Yahoo data. Lets dive right in.

Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found  here . The big change here is the use of FINVIZ data and more importantly that 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.

Screen Shot 2016-01-30 at 9.46.00 AM

AGG3 is now 100% bonds and no cash. This is a significant change from last month where AGG3 was 66% invested. AGG6 is 33.3% cash and 66.6% bonds. AGG6 is more invested than last month’s positions. Below is the YTD performance along with some popular benchmarks. Once change this year in the performance figures this year is that I am know including the performance of cash when the portfolio sin cash (using SHY as the cash proxy).

Screen Shot 2016-01-30 at 9.50.33 AM

For the  Antonacci dual momentum  GEM and GBM portfolios, GEM is now in bonds, BND, and the bond portion of GBM is in cash. I’ve also made my  Antonacci tracking sheet  shareable so you can see the portfolio details for yourself. Here is the data.

Screen Shot 2016-01-30 at 9.55.31 AM

Finally, I am receiving quite a bit of interest in the simple bond quant model I published previously . So, I created a spreadsheet to track one version of the model I presented. The 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. Several versions of this model work quite well as discussed in the blog post. Personally, I am now using a 3 month return, 3 month filter, top 3 model but the differences are not that big.

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.

**Note: an observation for this week. Ever notice the percentage of self-called ‘long term investors’ who know what the stock market did on a daily basis? Let me tell you that is long term detrimental to your portfolio performance. It is hard to ignore market data in today’s world. I try very hard to ignore it and have to take active action to avoid finding out about daily gyrations in the market. It’s one of the reasons I do not blog more often. My goal is to only check one per month, that’s it.  And even that is too often. If I could auto trade my quant systems I would… I once heard it said that most investors would achieve higher returns if they lost their password to their investment accounts for years. There is a lot of truth in that statement….

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14 thoughts on “ Tactical asset allocation – february 2016 update

  1. Hi Paul,
    How do you calculate the IVY B&H13 monthly return? I had thought it was the average return of the 13 ETFs for the month but that doesn’t seem to be the case. I tried a blog search but had no luck. Thanks for this update as always.


    1. IVY buy and hold 13 is not an equal weight portfolio. The portfolio definition is here . Or you can see the return calculation in the old Yahoo Finance sheet on the right hand side.


  2. Hi Paul. You’re so right on your closing comment. I love reading about portfolio/economic stuff and found these timing methods interesting but I couldn’t resist logging into my account way too often and thru some dumb moves I could see the potential for emotional and financial disaster way to clear. I deleted the market app from my phone and put the access device I need to open my account in a safe deposit box. Hopefully going in once a year to rebalance isn’t too much meddling. I may even try to get someone else to do that for me. It’s still difficult to avoid the daily market news but without being able to log in I can start to tune it out. A guy just has to be willing to admit when he’s his own worst enemy and not let one’s day, month or year depend on how well the money is doing. I’m still going to read your blog though. It’s the best source of information I’ve come across. Thanks.

  3. Awesome update as always Paul! I like the new finviz data source- good stuff!

    Have you taken a look at Meb Faber’s “investing with the house” new book on 13F investing?

    I just finished the read and am toying with the idea for my IRA – it is an interesting way to make an algorithmic process out of guru stock picking.

    Curious your thoughts?

    1. Yes, I read it. Faber has discussed 13F investing for years. To me its just another quant/automatic investing model. It’s not bad although other quant models are just as good if not better. To me the downside would be the manual nature of implementing it. I can’t just run a screen or algorithm to get me the stocks to invest in.


    1. There seems to be something quirky with VMBS price data in FINVIZ. It could be their of 4 week, 13 week, 26 week, and 52 week price as opposed to pure calendar based pricing as in Yahoo Finance. I don’t use the portfolio so I haven’t paid much attention to it. When I get the time I’ll compare it to a model using Yahoo Finance data and see what it says.


  4. Paul, when I look up VNQ, for example, it appears to be to be below its 10-month and 200-day SMAs. Is the discrepancy due to this not accounting for dividends? If the FINVIZ data accounts for dividends, is it factoring those into *both* the SMA calculations and the price of the instrument, or only with respect to the price of the instrument?

    Also, if I’ve identified the issue here (using total return data that is factored into both the price and the pricing for the applicable SMA), did Faber recommend that or is that just an adjustment that you’ve made (and, presumably, backtested)?

  5. Hi!

    Thanks for the update 😉

    What about the Permanent Portfolio with timing? I did not find it.



  6. Great job as always Paul. Your observational comment at the end is sooo true. We are our own worst enemy. Interestingly, the AGG3 bond portfolio is appealing to me now, and I had overlooked it until the bears took over.

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