TAA Model for September, 2011
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 August, returning (as of yesterday’s close) +1.1% vs -0.4%. More importantly, the model weathered the storm in equities well, mainly as a result of the defensive position in gold.
For the upcoming month of September, the model is making 6 total trades (the most since real-time trading began), replacing U.S. and Japan stocks with real estate and commodities, and adjusting the size of the 10-year Treasury and gold positions.
There hasn’t been a significant difference in performance between the model and the benchmark in the 11 months since inception (see below). As I’ve discussed before, I think the real strength of TAA becomes obvious 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.
This month I’ve added a few simple summary statistics (see below).
I’ve also included alternative benchmarks, including Cambria’s GTAA. GTAA is the most conceptually-similar investment available to the MarketSci TAA model. It’s important to note that despite outperforming GTAA since inception, it’s way too early to compare the efficacy of either program. Remember, these are generational (and not short-term) strategies.
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Filed under: Tactical Asset Allocation | 8 Comments