TAA Model for July, 2012
This is a monthly feature at the MarketSci Blog.
Our Tactical Asset Allocation (TAA) model selects up to four assets from a diverse 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 June, returning (as of yesterday, 06/28) +0.9% versus 0.8%.
For July, the model will be dropping US Treasuries (IEF) in favor of cash.
Since inception, the model has stacked up well against similar active strategies like Cambria’s ETF GTAA and the Permanent Portfolio (PRPFX), but has lagged what I think is the most important benchmark, a passive investment in equities and Treasuries rebalanced monthly (see stats below).
As I’ve discussed before, the model would historically have gone through extended periods of underperforming its benchmark, especially when the benchmark has been strong. This is a “generational” model and I’m much more concerned with returns over the next decades than any one month or year (read more).
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Filed under: Tactical Asset Allocation | 5 Comments