TAA Model for March, 2011
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 each month. Below is the new allocation for today’s close. Click to read more about the TAA model.
I eat my own cooking, so I’ve devoted a healthy share of my own net worth to the TAA model (read why). On the last day of each month I share my new allocation (see above) and real-time performance (see below) excluding trading frictions and taxes.
The model outperformed the benchmark in February, returning (as of yesterday’s close) 2.5% versus 1.3%. Barring disaster today, this brings us to 4 out of 5 months outperforming the benchmark since inception.
There hasn’t been a significant difference in performance between the model and the benchmark so far. I think the real strength of the model becomes apparent when equities and related asset classes lose steam. Until then, I’m happy that we’ve kept pace with the benchmark given how diversified our holdings are.
Happy Trading,
ms
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Filed under: Tactical Asset Allocation | 7 Comments
As a frequent reader – thanks for posting this!
I appreciate that Jon. Always good to hear when folks are finding value. michael
Not a problem. I’m not usually someone who posts comments, but I occasionally see a snarky comment posted on your blog in response to one of your ideas that you’re fleshing out in public and I’m just trying to do my part to keep you from saying “This isn’t worth it” because my thinking, portfolio management, and investing skills have all improved because of the work you do.
Do you think this would improve the risk-adjusted performance:
Have multiple portfolios with different rebalance days e.g., half the portfolio you rebalance on the 15th of each month…it could only help, I would think.
P.S. I’m a big fan of your blog.
Hello Andrew – I’ve found in my (limited) testing that more frequent trading (using this particular Faber’esque approach) didn’t significantly help or hurt results. I think that’s because the benefit of getting out earlier when an asset class turns south comes with the downside of being more prone to whipsaw. I’m sure there’s a ruleset that leans more towards the former rather than the latter, but that type of more active trading is really beyond what I want the focus of this strategy to be (i.e. I want to stay strictly with those looong-term concepts that have been successful like LT trend-following/momentum and diversification). Just my $0.02. Great comment. michael