TAA Investing

大圣电竞下注

Here are the tactical asset allocation updates for August 2015. All portfolio updates are online as part of  Paul’s GTAA 13 Portfolio New  sheet.

First, for the basic portfolios – the GTAA5 and the Permanent Portfolio. There was one change in the GTAA5 portfolio. Bonds (IEF) went back to invested this month. GTAA5 is now 60% invested and 40% cash. For the timing version of the Permanent Portfolio there were no changes this month. The TAA version of the Permanent Portfolio is 50% invested and 50% in cash just like last month.

GTAA5 and PP Aug 2015 update

 

Now for the more aggressive GTAA AGG3 and AGG6 portfolios.

GTAA AGG3 and AGG6 Aug 2015 update

There are no changes for either AGG3 or AGG6 this month. Notice that VNQ replaced VGIT in the top 6 ETFs but since VNQ is under it’s 200 day it is not an investable position thus there are no changes from last month for AGG6. AGG6 has only 5 positions like the last 2 months with the rest of the portfolio in cash.

Performance for the portfolios so far this year is in the table below. Numbers are for each month. The figures are estimates taken from a variety of sources. I don’t do detailed performance tracking until the end of the year.

TAA Portfolio Performance Aug 2015 update

 

If you’re a fan of the  Antonacci dual momentum  GEM and GBM portfolios, GEM continues to be invested in US stocks (VTI), and the bond momentum option of the GBM portfolio continues to be invested in US long term gov’t bonds (VGLT). No changes from last month. I’ve also made my Antonacci tracking sheet shareable so you can see the portfolio details for yourself.

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

Tagged , , , , , , ,

20 thoughts on “ Tactical asset allocation – august 2015 update

    1. Paul,

      It is great that you post the GEM and GBM on your new spreadsheet!

      I agree with Shawn that it would be nice to possibly include the Dual Momentum Fixed Income (DMFI) on the spreadsheet too.

      FYI – I wanted to point out that Mr Antonacci no longer looks like he is tracking a GBM portfolio on his website. Before the link was recently removed, I had emailed Mr Antonacci in June and asked about the listed bonds for the GBM portfolio. The bonds shown for GBM on the website were DIFFERENT then what was in the book. In fact, the bond options shown for the GBM on the website were the same as listed for DMFI on the website.

      Mr Antonacci replied and said “My book has an earlier version of GBM. I added more fixed income indexes to GBM after I developed my DMFI model. GBM now uses the same bonds as DMFI. This is a better way to handle fixed income. Once I upgrade a model, I don’t keep data on the older versions of it. You can read more about the models on the FAQ page of my website: http://www.optimalmomentum.com/faq.html

      THUS, the Bond options listed on the Inestingforaliving spreadsheet are the “old” ones and NOT the “new”ones.

      (Note: from the link posted by Shawn: “Our Dual Momentum Fixed Income (DMFI) model switches monthly between the strongest one of the following indexes: Barclays Capital U.S. Credit Bonds, Barclays Capital U.S. Corporate High Yield Bonds, Barclays Capital U.S. Mortgage Backed Securities, and 90 day U.S. Treasury bills.”)

      Passing all the info on. Thus, on the new Dual Momentum spreadsheet it may be good to post the DMFI as Shaun requested.

      Thank you Paul so much for all you do!

      1. Thanks B. Got it. Spreadsheet updated. I chose what I thought were the most representative ETFs.

        Paul

  1. By the way, ,what do you mean whe nyou say: “when SHY signals “invested”, then choose ETF signaled as “invested” below”…?

  2. Paul, thanks for the new spreadsheet. One question, is GEM not using an Aggregate bond index (AGG) instead of SHY which has a shorter duration? Thanks again

    1. GEM compares the stock ETF 12 month return, VTI or VEU – whichever is greater, vs the T-bill return first. If the T-bill return is greater then the GEM invests in aggregate bonds. Pg 101 in the Antonacci book.

      Paul

  3. Hi Paul,

    The new buy signal for IEF in the IVY5 portfolio raises a lingering question for me.

    The charting service I use (freestockcharts.com) shows IEF to be below the 10 month moving average as of 7/31/15. Yahoo charts, and the charts on my brokerage site, show the same thing.

    Yet I do see that stockcharts.com (unlike the other sites) has IEF above the 200 day moving average (but I am not a subscriber to that site and cannot view a monthly chart).

    I suspect the discrepancy has to do with the fact stockcharts.com plots total return (prices are adjusted to included dividends and distribution), while the other sites just plot the trading price. But I have not seen it make a difference like this before.

    Could you comment on whether it makes a difference over the long term, whether we use raw price data, or total return, in determining buy and sell signals? Or is this something makes little difference (such as using a 10 month average vs a 12 month average)?

    Drew

    1. Hola Ruben,

      Yes, I’ve read about the three way model. Its a good one I think. Meb Faber has written about it as well.

      Paul

  4. Hi Paul

    I noticed, in your GTAA13 spreadsheet VNQ was purchased
    in the middle of the month.

    I thought all signals are valid at the end of the month.
    Is there a change in strategy?
    thanks
    jim

    1. Jim,

      The spreadsheet updates daily, however, the intra-month signals are not valid, because the time periods are off (basically, it’s counting the current month as fully completed, using the most recent quotes as month-end prices). For that reason, the signals in the spreadsheet are only really valid on the last trading day of each month, after trading closes and Yahoo updates their historic price data, which is also when Paul posts his updates.

  5. Hi Paul

    I was wondering – since the AGG3/6 and Permanent portfolio signals for when to buy/sell is based on the simple moving average, is it not arbitrary we only select to check at the beginning of the month.

    Would it make more sense to get out/get in as soon as the signal changes, even mid month? Given the recent sell off… a lot of assets have “cash” signal, it would seem silly to wait 5 days to get out.

    Thanks
    JW

    1. Hi Justin, yes the beginning of month is arbitrary but the wait for a monthly signal is not. Historically a monthly system produces better returns and drawdowns than weekly or daily systems. This is due to false signals (noise) and increased transaction costs from more frequently updated models.

      Paul

  6. Hey thanks for the link to your Antonacci spreadsheet — it’s exactly what I was looking for. Very much appreciated.

  7. After reading Dual Momentum by Antonacci , do you think when applying it to the
    Permanent Port. that you are better off using a pure 12 month total return less the risk free rate of return and if that is positive you “invest ” if not moving to cash , or
    using the 200 day SMA as the filter ? Thanks

    1. Hey John, haven’t done the analysis but no reason absolute momentum shouldn’t work better. The long term studies show 6 month total return works better than 12 month, but 12 month has worked better since 1973 or so.

      Paul

Comments are closed.