TAA Model for September, 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 underperformed its benchmark in August, returning (as of yesterday, 08/30) +0.1% versus 0.6%.
For September, the model will be moving a portion of its position in 10-year US Treasuries (IEF) to Gold (GLD), chasing the recent momentum in the precious metal.
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 (as it has been over the last couple of years). 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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Happy Trading,
ms
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Filed under: Tactical Asset Allocation | 2 Comments
When you place a order the first day of the month, what kind of order you wil place? Market order or limit order?
Hello Ellis – I use a market-on-close order on the last day of the month (not the first). michael