TAA Model for December, 2011

30Nov11

This is a 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).

The model outperformed its benchmark in November, returning (as of yesterday’s close) -1.4% vs -1.6%.

The model was positioned mostly in cash in November, so despite holding the worst performer of all the asset classes I track (real estate) it still managed to eke out a small win over the benchmark. With both gold and real estate rallying today, the model should end the month near flat.

For December the model is dropping that small real estate position in favor of a large (low vol) position in Treasuries. This is an even more defensive allocation than November.

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Happy Trading,
ms

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One Response to “TAA Model for December, 2011”

  1. 1 Jay

    I’m curious if you think today’s wild bounce in the market is the real deal, or whether it is just another big headfake that will be given back sooner rather than later.


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