A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters. I’ll also discuss how the performance compares to other TAA strategies. Let’s dive in. First, let’s look at the TAA strategies that are part of the Economic Pulse Newsletter. The table below shows various performance statistics for…
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The Pain Factor in TAA Strategy Implementation
TAA strategies look amazing on paper. After all, what is not to like about higher absolute and higher risk-adjusted returns over a buy and hold portfolio? But in the real world when implementing TAA strategies there are a few common barriers that limit and make difficult their implementation for many investors. I call it the “Yeah, but..” or the Pain…
Combining SPY-COMP and the Volatility Curve Models
In today’ post, I’ll formally outline a model I’ve alluded to several times in the past, the VOL-COMP model. The model is a combination of the SPY-COMP model (which is the basis for all the models in the Economic Pulse Newsletter) and the VOL Curve Original model with several enhancements. While the combination of SPY-COMP and VOL Curve can be used…
VOL-COMP Global TAA Model
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Extended backtest of Volatility Curve Model
In this post I present an extended backtest of the Volatility Curve Model. To understand the methodology and investment model behind my analysis you can read the original vol curve post here. The Q&A post on the model can be found here, and the enhanced version of the model here. Let’s dive right in. The CBOE data on volatility futures…
Update on VOL CURVE Model YTD Performance
The VOL CURVE model recently closed out it’s latest trade, that was started by the risk-off signal on Feb 24th, 2020. Here I just wanted to update the results of the model including this latest trade. First, let’s just look at the current snapshot of where the model’s year to date and overall the long term compared to it’s benchmarks.…
Video Conference Call Archive
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Q&A on Volatility Curve Model
Recently, I have received a bunch of questions on the volatility curve model that I introduced a few months back. In this post I wanted to answer a few key questions on the model. Current Status What has the model done during this most recent period? The details are for subscribers only but the model did trigger risk off and…
Comparing Portfolio Performance (1973 To 2019)
Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2019 statististics. All portfolio stats were gathered using AllocateSmartly, P123, various other sites like MSCI, and the wonder that is Excel. Obviously, there are many more portfolio options out there. This is just a sampling of three main portfolio varieties;…
A first look at 2019 portfolio performance
Happy New Year! It’s that time of the year to update portfolio performance statistics. It will take me a few more days to complete all my data gathering for TAA, Quant, and Buy and Hold Portfolios before I can do my usual Comparing Portfolio performance post for 2019. I’ll also be doing an update of my TAA batting averages post.…
Greenblatt Value Strategy
Oops! You need to be a member to access this page. If you’re already signed up login with the form below. Otherwise, to learn more about the Economic Pulse newsletter see here. Or to learn more about the QuantEdge quant stock service see here. Or to learn more about the Crypto Trend Following System see here. Regards, Paul