TAA Model for May, 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 April, returning (as of yesterday’s close) +4.2% versus +2.2%. For the upcoming month of May I’m reducing the size of the position in gold (because it has grown to about 30% of the portfolio) and selling out of real estate, in favor of U.S. Treasuries.
There hasn’t been a significant difference in performance between the model and the benchmark so far. As I’ve discussed before, I think the real strength of the model becomes apparent when equities and related asset classes go through a protracted downturn. Until then, I’m happy to keep pace with the benchmark given how diversified our holdings are.
Happy Trading,
ms
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Filed under: Tactical Asset Allocation | 5 Comments
“…..and selling out of real estate, in favor of U.S. Treasuries”
Interesting: what is the empirical basis for these types of changes; ie the decision making process?
Hello Tom – this is talked about in length in this series of posts:
http://marketsci.wordpress.com/2010/10/20/roundup-tactical-asset-allocation/
ms
Hi Michael,
I always enjoy your posts. How about your geekery posts ? Those are the ones that I enjoy most, but it’s been some time.
Regards,
Bart
Hello Bart – thank you sir for the kind words. I’ve stepped back a bit the last few months from blogging new ideas. Not sure exactly when I’ll get the bug to get back in the saddle but it will happen (it always does). In the meantime, I’ll keep doing these “scheduled” posts.
All the best,
ms
Hi Michael,
I have read your excellent series of posts about TAA model. Was IEF really in an uptrend at the end of April ? VNQ seemed to be rising more.
Thanks
Henry