Archive for October, 2010
TAA Model for November, 2010
This is a new monthly feature at the MarketSci Blog. Our Tactical Asset Allocation (TAA) model selects up to four assets from a diversified basket of asset classes on the final trading day of every month. Below is our position for next month. Click to read more about the TAA model. The model performed well in October, our first [...]
Filed under: Tactical Asset Allocation | 15 Comments
Bullish November
The end of October is nigh. Here’s a quick look at how the U.S. market has performed historically in November. First the (misleading) numbers… From this 30,000 foot view, November has performed more or less in line with all other months over the last 80 years. But averages can be misleading because they say nothing [...]
Filed under: Time-based | 4 Comments
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in November based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April, the monthly seasonality map has called the closing direction of the S&P 500 correct 48% of the time with [...]
Filed under: Monthly Seasonality Map | 1 Comment
One last thought on this month’s series re: Tactical Asset Allocation (TAA). Consider this backtest of our TAA model (red) vs the S&P 500 (grey) from 1971. [growth of $10,000, logarithmically-scaled] I fear that when investors look at a backtest like this one that covers such a long span of time their first thought is “wow, [...]
Filed under: Tactical Asset Allocation | 15 Comments
This is a roundup of our recent posts talking about Tactical Asset Allocation (TAA). Unfamiliar with TAA? Click for a primer. I’m very satisfied with where this research into TAA led. I’ve committed a portion of my own capital to my TAA model, and I’ll be sharing the model’s trades and tracking performance each month [...]
Filed under: Tactical Asset Allocation | 30 Comments
