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Sampling Universes with EAA
In this post several universes will be sampled using the Elastic Asset Allocation model. The universes under review are: - CXO Advisory's 8 assets simple momentum universe - Stefan Solomons 12 assets...
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What about ads?
Inevitably the comment plugin started showing ads. Look, I get it—ads pay the bills. But they can also clutter up a space like leftover coffee cups and mystery crumbs on a shared desk. Yeah, I respect...
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Introducing Hybrid Asset Allocation (HAA)
HAA aims to offer retail investors a tactical asset allocation strategy that is both balanced and aggressive at the same time.HAA’s hybrid approach combines traditional dual momentum with canary...
View ArticleSupport message for users of the PAA/GPM spreadsheet
Due to a change in the placement of OHLC price data in Tiingo's feed, the spreadsheet should no longer be used! A revision is currently under construction.Please refer to the Strategy Signals page or...
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Exploring Smart Leverage: DAA on Steroids
The constant leverage myth is busted: there is no spoon natural decay. DAA’s fast protective momentum approach successfully detects lower volatility regimes with higher streak potential. Smart leverage...
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Announcing Defensive Asset Allocation (DAA)
Defensive Asset Allocation (DAA) builds on the framework designed for Vigilant Asset Allocation (VAA)For DAA the need for crash protection is quantified using a separate “canary” universe instead of...
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Presenting the Keller Ratio
Many traditional return to risk measures are not apt for intuitive interpretationThe Keller ratio is expressed as an adjusted return and therefore easy to interpretThe Keller ratio allows for strategy...
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Matrix Iterations for Adaptive Asset Allocation
Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952)AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified...
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Update For Global Equities Momentum Excel VBA
By popular demand a new beta update is available for the Global Equities Momentum Excel VBA spreadsheet. The new edition sources data from Tiingo's. Following the same work flow as before, the...
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Strategy Signals Powered By Tiingo's
As the new kid on the block, Tiingo is shaking up the data community. Tiingo offers Freemium access to high quality data for an extensive collection covering the full historical record. Starting today...
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Breadth Momentum and Vigilant Asset Allocation (VAA)
Breadth momentum extends traditional absolute momentum approaches for crash protection.Breadth momentum quantifies risk at the universe level by the number of assets with non-positive momentum relative...
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Strategy Signals Powered By Quandl
Just in time for EOM May the Strategy Signals page is functional again. Like before, signals are based on dividend adjusted historical data, now obtained from Quandl's premium QuoteMedia EOD service...
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Yahoo Finance API Ceased Working
Unfortunately this week the Yahoo Finance team changed the functionality of their financial data service. Apart from modifying the construction of the download link, the order and contents of the...
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Index Mapping For ETF Proxies
In order to present results as realistic as possible in our PAA-paper, we constructed long-term end-of-month data series for popular ETF proxies, like SPY, GLD and TLT (see paper appendix on SSRN). All...
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Ho, Ho, Ho: Excel VBA For Global Equities Momentum
Just in time for Santa! Based again on a foundation by InvestExcel, Denis Bergemann collaborated with me on another Excel VBA project covering Gary Antonacci's popular Global Equities Momentum...
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Flexing VBA For Quants (And Everyone Else)
Would it not be great to have the models for Protective Asset Allocation (PAA) and Global Protective Momentum (GPM) in Excel, so you can run your own backtests without AmiBroker? And not being limited...
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Prospecting Dual Momentum With GEM
Gary Antonacci popularized dual momentum with an effective and simple approach for dynamic asset allocation: Global Equities Momentum (GEM).Using simulated ETF data series, GEM’s performance over past...
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AllocateSmartly
Launched only recently, AllocateSmartly.com tracks the industry’s best tactical asset allocation strategies with thorough, up-to-date backtests. As of writing 16 (sub) strategies are tracked and...
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Deciphering Correlation Hedged Momentum
In a new SeekingAlpha contribution we combine PAA’s protective multi-market breadth approach with a generalized momentum metric based on correlation hedged returns. The resulting model is called...
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