We constantly scan the web and investment research papers to stay ahead of the curve, improve our service and develop new strategies.
Today, I came across a very interesting piece elaborated by Empiritrage, LLC called “A Horse Race between Tactical Asset Allocation Models”. The title is quite self explaining: the paper highlights how various models have performed since 1978. Here we have another paper validating the underlying concepts upon which our strategies are build: momentum, volatility and moving averages.
It is striking to note that most models returned positive performance almost every year since 1978 across the full range of market conditions and financial events. Interestingly, 2011 is the worst year on record for most models (and sometimes the only negative year in the sample) and 2012 YTD performance is disappointing. The same arguably applies to some of our strategies: with the exception of our Retirement Portfolio, our other strategies are clearly trailingvtheir historical performance since 2011. Nevertheless, all our strategies have outperformed by a comfortable margin the models presented in the Empiritrage paper in 2011.
When is the best time to start investing following a time-tested strategy? After an extended run up? or after an extended period of below average performance? I bet you know the answer! If you do, you know the next step.
JUL
