Tactical Asset Allocation
GTAA Agg. 6 represents a more assertive iteration of Meb Faber's GTAA 13 approach, as detailed in his influential paper titled A Quantitative Approach to Tactical Asset Allocation. This strategy melds together the concepts of relative momentum (evaluating asset returns concerning other assets) and absolute momentum (assessing asset returns in isolation), enabling it to assume concentrated positions within a varied selection of global asset categories.
Strategy current allocation
| Asset | Allocation | Change |
|---|---|---|
| Emerging Market Equities (EEM) | 16.7% | - |
| International Equities (EFA) | 16.7% | - |
| US Large Cap Value (IWD) | 16.7% | - |
| US Small Cap Equities (IWM) | 16.7% | - |
| US Small Cap Value (IWN) | 16.7% | - |
| US Momentum (MTUM) | 16.7% | - |
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Tactical Asset Allocation Equity Curve
Tactical Asset Allocation strategy statistics
| Annualized Return | 11.4% |
| Annualized Volatility | 10.3% |
| Sharpe Ratio | 0.7 |
| Maximum Drawdown | -10.5% (02/2023) |
| Ulcer Performance Index | 1.42 |
| Best Month Return | 11.0% |
| Worst Month Return | -19.5% |
| Average trades per year | 26.4 |
The strategy rules for tactical asset allocation are:
- Calculate the 1, 3, 6, and 12-month returns for each of the 13 global asset classes at the end of the month's final trading day.
- Determine the mean value of the four preceding data points for each asset class. Initiate a long position in the six asset classes that exhibit the highest average values, allocating an equal 1/6 share of the portfolio to each (based on relative momentum). However, if any of those assets are expected to dip below their 10-month moving average, reallocate the corresponding portion of the portfolio into cash (according to absolute momentum).
- Maintain your positions until the last trading day of the next month, and adjust the entire portfolio on a monthly basis, even if there are no changes in the positions.
Tactical Asset Allocation returns
| retid | id | Year | January | February | March | April | May | June | July | August | September | October | November | December | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 982 | 21 | 1980 | 11,00 | 0,70 | -14,20 | 2,90 | 4,30 | 6,80 | 2,90 | 3,50 | 2,20 | 2,10 | 4,00 | -3,60 | 22,50 |
| 983 | 21 | 1981 | -0,90 | 1,40 | 4,20 | 1,20 | 0,70 | -0,50 | -2,00 | -3,20 | -0,10 | 1,20 | 3,90 | -2,60 | 2,90 |
| 984 | 21 | 1982 | -0,80 | -0,60 | 1,40 | 2,80 | 0,50 | -3,00 | 3,40 | 5,80 | 3,20 | 8,20 | 5,00 | 1,90 | 30,90 |
| 985 | 21 | 1983 | 3,20 | -0,30 | 2,10 | 6,90 | 1,70 | 3,30 | -2,00 | -1,60 | 1,60 | -2,30 | 2,20 | 1,60 | 17,10 |
| 986 | 21 | 1984 | 4,00 | -1,70 | 2,40 | 0,40 | -3,10 | -1,40 | -1,30 | 2,40 | 3,10 | 2,80 | 1,10 | 1,90 | 10,80 |
| 987 | 21 | 1985 | 2,80 | 1,10 | 0,20 | 0,50 | 6,60 | 1,70 | -0,90 | 0,70 | 2,90 | 4,10 | 3,10 | 2,70 | 28,50 |
| 988 | 21 | 1986 | 1,40 | 8,60 | 8,30 | 1,20 | -1,30 | 2,70 | -2,60 | 3,00 | -4,90 | -1,20 | 1,00 | 0,10 | 16,70 |
| 989 | 21 | 1987 | 3,20 | 1,60 | 3,20 | 1,30 | 1,20 | 4,00 | 4,20 | 5,10 | -5,10 | -19,50 | 1,50 | 0,30 | -1,80 |
| 990 | 21 | 1988 | 0,30 | 0,60 | 3,00 | 1,10 | -0,60 | 2,70 | -0,40 | -2,50 | 1,70 | 1,00 | -0,80 | 2,60 | 8,90 |
| 991 | 21 | 1989 | 2,70 | 0,60 | 3,30 | 6,70 | 2,70 | -2,20 | 3,90 | 0,50 | 2,90 | -2,50 | 0,20 | 2,70 | 23,20 |
| 992 | 21 | 1990 | -3,50 | 0,50 | -4,10 | 0,90 | 1,10 | 0,80 | 2,90 | -5,30 | 1,60 | -0,80 | 0,80 | 0,80 | -4,60 |
| 993 | 21 | 1991 | -0,10 | 1,70 | 2,60 | 0,60 | 4,30 | -4,20 | 3,50 | 2,30 | -0,40 | 1,40 | -3,30 | 6,80 | 15,90 |
| 994 | 21 | 1992 | 4,60 | 2,20 | -1,20 | -0,20 | 1,10 | -1,70 | 3,40 | 0,40 | 1,20 | -1,40 | 2,70 | 2,90 | 14,60 |
| 995 | 21 | 1993 | 3,60 | 2,20 | 3,40 | -0,80 | 1,50 | 1,10 | 2,00 | 2,70 | 1,50 | 2,30 | -3,00 | 4,40 | 22,80 |
| 996 | 21 | 1994 | 2,30 | -1,40 | -5,60 | 1,70 | -0,10 | -0,50 | 1,50 | 1,80 | -1,40 | -0,60 | -3,20 | -1,00 | -6,60 |
| 997 | 21 | 1995 | 0,90 | 2,20 | 2,50 | 2,10 | 3,60 | 1,30 | 1,80 | 0,90 | 2,60 | -0,90 | 3,30 | 2,20 | 25,00 |
| 998 | 21 | 1996 | 0,40 | -0,40 | 2,20 | 3,20 | 1,20 | -0,10 | -3,90 | 2,90 | 3,30 | 1,30 | 5,00 | 1,80 | 17,80 |
| 999 | 21 | 1997 | 2,60 | -1,30 | -3,40 | 1,30 | 3,90 | 4,80 | 5,10 | -2,30 | 6,30 | -2,10 | 1,90 | 2,60 | 20,50 |
| 1.000 | 21 | 1998 | -0,50 | 2,60 | 4,00 | 0,80 | -1,70 | 1,70 | -0,30 | -5,40 | 3,40 | -0,50 | 1,90 | 3,30 | 9,30 |
| 1.001 | 21 | 1999 | 0,90 | -3,50 | 4,00 | 5,30 | -2,60 | 4,60 | -2,00 | -0,40 | -0,30 | 1,80 | 2,40 | 8,30 | 19,10 |
| 1.002 | 21 | 2000 | -1,00 | 6,10 | -0,20 | -5,50 | -1,60 | 1,50 | -1,00 | 4,20 | -1,30 | -2,70 | 0,60 | 3,00 | 1,60 |
| 1.003 | 21 | 2001 | 1,30 | -0,20 | -0,70 | 0,40 | 1,10 | 1,80 | -0,60 | 0,70 | -2,10 | 0,70 | -2,00 | 0,10 | 0,40 |
| 1.004 | 21 | 2002 | 1,00 | 1,00 | 2,50 | 1,40 | -0,60 | -0,40 | -0,30 | 3,10 | 1,20 | -1,60 | -0,30 | 5,10 | 12,50 |
| 1.005 | 21 | 2003 | 2,30 | 1,20 | -2,20 | 0,00 | 5,50 | -1,00 | 2,30 | 3,80 | 0,00 | 5,70 | 3,20 | 4,50 | 27,90 |
| 1.006 | 21 | 2004 | 2,90 | 2,20 | 1,20 | -6,20 | 1,90 | 2,50 | -1,80 | 2,00 | 2,90 | 3,50 | 5,30 | 2,30 | 19,60 |
| 1.007 | 21 | 2005 | -2,50 | 4,10 | -1,80 | -3,40 | 0,90 | 3,70 | 4,70 | 0,00 | 2,70 | -3,90 | 3,40 | 2,70 | 10,40 |
| 1.008 | 21 | 2006 | 8,70 | -1,80 | 4,10 | 3,40 | -4,40 | 0,10 | 1,90 | 0,70 | -0,10 | 3,20 | 3,50 | 1,40 | 21,90 |
| 1.009 | 21 | 2007 | 2,40 | -1,60 | 1,30 | 2,30 | 2,00 | -0,70 | -4,10 | 0,60 | 4,30 | 6,30 | -2,70 | 1,80 | 12,10 |
| 1.010 | 21 | 2008 | -0,10 | 3,20 | -0,10 | -0,70 | 0,80 | 0,30 | -1,50 | -2,70 | -3,30 | -9,20 | 3,70 | 3,10 | -7,10 |
| 1.011 | 21 | 2009 | -3,40 | -1,00 | 0,80 | -1,80 | 5,30 | -1,00 | 6,80 | 2,10 | 5,70 | -4,00 | 5,90 | 2,30 | 18,40 |
| 1.012 | 21 | 2010 | -5,50 | 3,30 | 8,00 | 4,40 | -7,80 | -3,60 | 1,10 | 1,40 | 3,10 | 2,70 | -0,30 | 6,00 | 12,10 |
| 1.013 | 21 | 2011 | 0,50 | 4,60 | 1,10 | 4,40 | -2,00 | -2,50 | -0,90 | 2,00 | -2,40 | 0,50 | -0,40 | -0,30 | 4,20 |
| 1.014 | 21 | 2012 | 1,50 | -0,60 | 1,50 | -0,50 | -0,40 | 1,20 | 2,20 | 0,40 | 1,20 | -1,90 | 0,60 | 3,70 | 9,20 |
| 1.015 | 21 | 2013 | 4,30 | 0,80 | 3,80 | 2,20 | 0,10 | -1,30 | 5,20 | -4,00 | 4,30 | 3,10 | 2,30 | 1,80 | 24,70 |
| 1.016 | 21 | 2014 | -4,40 | 4,60 | -0,10 | -0,20 | 1,80 | 1,80 | -3,00 | 3,10 | -4,30 | 3,30 | 1,70 | 0,80 | 4,60 |
| 1.017 | 21 | 2015 | 0,60 | -2,40 | 0,60 | -2,70 | 0,00 | -1,00 | 0,40 | -4,30 | 0,00 | -0,10 | -0,10 | 0,20 | -8,70 |
| 1.018 | 21 | 2016 | -1,30 | 0,70 | 2,80 | 0,80 | -0,80 | 4,00 | 1,70 | -0,50 | 0,10 | -2,60 | 2,00 | 2,40 | 9,60 |
| 1.019 | 21 | 2017 | 1,60 | 1,60 | 0,10 | 1,30 | 1,00 | 1,70 | 2,50 | -0,30 | 1,00 | 1,90 | 2,00 | 0,90 | 16,20 |
| 1.020 | 21 | 2018 | 5,10 | -4,00 | 0,30 | 0,10 | 2,20 | 0,60 | 0,60 | 2,90 | -0,50 | -7,30 | 0,90 | -2,40 | -2,20 |
| 1.021 | 21 | 2019 | 1,20 | -0,60 | 2,40 | 0,50 | -1,40 | 3,00 | 0,80 | 5,10 | -1,20 | 0,70 | -0,80 | 1,20 | 11,30 |
| 1.022 | 21 | 2020 | -2,70 | -2,80 | -2,00 | 1,40 | 0,60 | 1,60 | 5,70 | 0,60 | -2,60 | -0,90 | 6,30 | 6,00 | 11,00 |
| 1.023 | 21 | 2021 | 2,10 | 4,70 | 1,70 | 3,20 | 2,30 | 0,80 | -1,20 | 1,40 | -2,00 | 5,80 | -4,40 | 3,30 | 18,60 |
| 1.024 | 21 | 2022 | -3,60 | 0,30 | 2,20 | -2,40 | 0,30 | -1,10 | -0,20 | 0,00 | -1,00 | 0,30 | 0,80 | -2,60 | -7,00 |
| 1.025 | 21 | 2023 | 3,30 | -3,90 | -0,30 | 0,80 | -2,50 | 0,30 | 4,10 | 1,50 |