TAA Investing

Tactical asset allocation – june 2016 update

Here is the tactical asset allocation update for June 2016. 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…

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Quant Investing , Stocks

Quant strategies: Q1 2016 performance

Here are the Q1 2016 total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed at the end of 2015. No changes in the holdings since that time. In the table below I list various quant strategies along…

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TAA Investing

Tactical asset allocation – April 2016 update

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…

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Quant Investing

Quant strategies: 2015 performance review

Here are the 2015 total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed at the end of 2014. No changes in the holdings since that time. In the table below I list various quant strategies along with…

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TAA Investing

Tactical asset allocation – december 2015 update

Here are the tactical asset allocation updates for December 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. No changes for GTAA5. For the timing version of the Permanent Portfolio SHY went to cash which is basically no change. Now for the more aggressive GTAA AGG3 and AGG6…

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TAA Investing

Tactical asset allocation – november 2015 update

October turned out to be quite a strong month for US stocks as the historical seasonality suggested. Lets see what that strong showing did to the tactical asset allocations for November. Here are the tactical asset allocation updates for November 2015. All portfolio updates are online as part of Paul’s GTAA 13 Portfolio New sheet. First, for the basic portfolios – the GTAA5 and…

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Quant Investing

Quant strategies – YTD performance update

Now, that equity markets have experienced a nice 10%+ correction this year I thought it would be of value to look at the performance of various quant strategies year to date, especially during a tough year for stocks as 2015 has been. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks…

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