The TAAStrategies, A Short History

(Note: this the second update to a post which first appeared in 2019. It is instructive in describing the approach and priorities which I bring to my strategy development process.) “The most recent incremental upgrades were released in mid-2019 and are described in considerable detail below together with the resulting outcomes. In each case, the … Read more

TAAStrategies: The All Weather Strategies

(Updated 07/01/22) There has been no shortage of talking heads ranging from FOMC members to economists to market timers; each expounding upon their views of the future. Inflation will be up. Inflation will be down. Recession ahead. No recession. Yields are going much higher. Yields are about to turn lower. Equities still in a bull … Read more

22 Years Of TAAStrategies

We are just two years into the new decade yet it has already succeeded in repeatedly upending the expectations of most in the financial community. We’ve experienced a pandemic, a brief collapse in the credit markets, a brief equity bear market, an unprecedented easing of monetary policy, unimagined fiscal stimulus, a raging non-stop equity rally, … Read more

Compares performance of the Tactical Adaptive Strategies to the S&P 500 and Vanguard Balanced Index Fund

I provide supporting tables for Adaptive Global, Adaptive Income, Adaptive Innovation,. S&P 500 (SPY), Vanguard Balanced Index Fund (VBINX), and Vanguard Bond Fund (VBMFX). 

 

Why I Provide These Tables

"I believe that readers and subscribers have a right to as much information as possible about our strategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.

Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.

You should insist on this information before investing in any financial product."

Our results tables are constructed for three full market cycles beginning in January 2000.

The Adaptive Global table shows backtested results through July 2018 followed by actual results. More information is available in the blog article: The TAAStrategies, A Short History.

The most recent market cycle covers January 2020 to date.

The second market cycle covers October 2007 through December 2019. The Adaptive Global and Adaptive Income strategies were developed using the first 10+- years of data from this cycle while the final years are actual.

The third market cycle covers January 2000 through September 2007. This market cycle was used to provide out of sample validation of strategy results from the second market cycle. The fact that the return and risk metrics for the third cycle are statistically comparable to those for the second cycle validates the process.

The fund baskets for our tactical strategies are constructed from indexed Exchange Traded Funds (ETFs) with just two exceptions, an Open End Fund and a Closed End Fund, both with long history. A number of the ETFs we use were not created until 2007+. In each case, we infill using predecessor Open End Funds (OEFs) for which the indexing and/or subclass is substantially similar to the ETF.

We have been asked if it is possible to extend backtests to the 1970’s. While a few publishers attempt this; we believe it is not possible to produce credible results for all but the most basic TAA strategies due to the lack of funds with substantially similar indexing and/or classification. Doing so would force me to stretch the term "substantial" far beyond my comfort level.

A Caveat

A 40+- year secular bull market in both equities and bonds began in 1982 and may have ended at the end of 2021.  Returns during the 40+- year period have been historically exceptional. Market returns for the next 10 years are highly unlikely to approach those of the past 10. In fact, there is at least some evidence that market returns have a high probability of being significantly lower and that bonds and equities (which have risen together) may actually begin working at cross purposes.

Investors should not use the statistics shown for our strategies to establish expectations of specific levels of returns or drawdowns. Investors should, however, appreciate that we believe the principles which underlie the Tactical Adaptive Global, Tactical Adaptive Income, and Tactical Adaptive Innovation Strategies are enduring enough to significantly outperform the market in the future, both in lowering risk and in improving returns.

Benchmark S&P 500 (SPY)

Benchmark Vanguard Balanced Index Fund (VBINX)

Benchmark Vanguard Total Bond Market Index Fund (VBMFX)

Compares performance of the Tactical Adaptive Strategies to the S&P 500 and Vanguard Balanced Index Fund

I provide supporting tables for Adaptive Global, Adaptive Income, Adaptive Innovation,. S&P 500 (SPY), Vanguard Balanced Index Fund (VBINX), and Vanguard Bond Fund (VBMFX). 

 

Why I Provide These Tables

"I believe that readers and subscribers have a right to as much information as possible about our strategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.

Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.

You should insist on this information before investing in any financial product."

Our results tables are constructed for three full market cycles beginning in January 2000.

The Adaptive Income table shows backtested results through June 2019 followed by actual results. More information is available in the blog article: The TAAStrategies, A Short History.

The most recent market cycle covers January 2020 to date.

The second market cycle covers October 2007 through December 2019. The Adaptive Global and Adaptive Income strategies were developed using the first 10+- years of data from this cycle while the final years are actual.

The third market cycle covers January 2000 through September 2007. This market cycle was used to provide out of sample validation of strategy results from the second market cycle. The fact that the return and risk metrics for the third cycle are statistically comparable to those for the second cycle validates the process.

The fund baskets for our tactical strategies are constructed from indexed Exchange Traded Funds (ETFs) with just two exceptions, an Open End Fund and a Closed End Fund, both with long history. A number of the ETFs we use were not created until 2007+. In each case, we infill using predecessor Open End Funds (OEFs) for which the indexing and/or subclass is substantially similar to the ETF.

We have been asked if it is possible to extend backtests to the 1970’s. While a few publishers attempt this; we believe it is not possible to produce credible results for all but the most basic TAA strategies due to the lack of funds with substantially similar indexing and/or classification. Doing so would force me to stretch the term "substantial" far beyond my comfort level.

A Caveat

A 40+- year secular bull market in both equities and bonds began in 1982 and may have ended at the end of 2021.  Returns during the 40+- year period have been historically exceptional. Market returns for the next 10 years are highly unlikely to approach those of the past 10. In fact, there is at least some evidence that market returns have a high probability of being significantly lower and that bonds and equities (which have risen together) may actually begin working at cross purposes.

Investors should not use the statistics shown for our strategies to establish expectations of specific levels of returns or drawdowns. Investors should, however, appreciate that we believe the principles which underlie the Tactical Adaptive Global, Tactical Adaptive Income, and Tactical Adaptive Innovation Strategies are enduring enough to significantly outperform the market in the future, both in lowering risk and in improving returns.

Benchmark S&P 500 (SPY)

Benchmark Vanguard Balanced Index Fund (VBINX)

Benchmark Vanguard Total Bond Market Index Fund (VBMFX)

Compares performance of the Tactical Adaptive Strategies to the S&P 500 and Vanguard Balanced Index Fund

I provide supporting tables for Adaptive Global, Adaptive Income, Adaptive Innovation,. S&P 500 (SPY), Vanguard Balanced Index Fund (VBINX), and Vanguard Bond Fund (VBMFX). 

Why I Provide These Tables

"I believe that readers and subscribers have a right to as much information as possible about our strategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.

Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.

You should insist on this information before investing in any financial product."

Supporting tables for Tactical Adaptive Innovation, S&P 500 (SPY) and Vanguard Balanced Index Fund (VBINX) can be found below

The Innovation ETFs used in the Innovation Strategy were not established until 2014-2015 so our history is limited.

There are no predecessor funds which are similar enough to use for infill.

The Adaptive Innovation table shows backtested results through June 2019 followed by actual results. More information is available in the blog article: The TAAStrategies, A Short History.

A zero month indicates that the strategy was in cash.

A Caveat

A 35+ year secular bull market in both equities and bonds began in 1982. The last cyclical bull market in equities (and to a lesser extent, bonds) began 10 years ago. Returns during these periods have been historically exceptional. Market returns for the next 10 years are highly unlikely to approach those of the past 10. In fact, there is at least some evidence that market returns have a high probability of being significantly lower and that bonds and equities (which have risen together) may actually begin working at cross purposes.

Investors should not use the statistics shown for our strategies to establish expectations of specific levels of returns or drawdowns. Investors should, however, appreciate that we believe the principles which underlie the Tactical Adaptive Global, Tactical Adaptive Income, and Tactical Adaptive Innovation Strategies are enduring enough to significantly outperform the market in the future, both in lowering risk and in improving returns.

Benchmark S&P 500 (SPY)

Benchmark Vanguard Balanced Index Fund (VBINX)

Compares performance of the Tactical Adaptive Strategies to the S&P 500 and Vanguard Balanced Index Fund

I provide supporting tables for Adaptive Global, Adaptive Income, Adaptive Innovation,. S&P 500 (SPY), Vanguard Balanced Index Fund (VBINX), and Vanguard Bond Fund (VBMFX). 

Why I Provide These Tables

"I believe that readers and subscribers have a right to as much information as possible about our strategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.

Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.

You should insist on this information before investing in any financial product."

Supporting tables for Tactical Adaptive Innovation, S&P 500 (SPY) and Vanguard Balanced Index Fund (VBINX) can be found below

The Innovation ETFs used in the Innovation Strategy were not established until 2014-2015 so our history is limited.

There are no predecessor funds which are similar enough to use for infill.

The Adaptive Innovation table shows backtested results through June 2019 followed by actual results. More information is available in the blog article: The TAAStrategies, A Short History.

A zero month indicates that the strategy was in cash.

A Caveat

A 40+- year secular bull market in both equities and bonds began in 1982 and may have ended at the end of 2021.  Returns during the 40+- year period have been historically exceptional. Market returns for the next 10 years are highly unlikely to approach those of the past 10. In fact, there is at least some evidence that market returns have a high probability of being significantly lower and that bonds and equities (which have risen together) may actually begin working at cross purposes.

Investors should not use the statistics shown for our strategies to establish expectations of specific levels of returns or drawdowns. Investors should, however, appreciate that we believe the principles which underlie the Tactical Adaptive Global, Tactical Adaptive Income, and Tactical Adaptive Innovation Strategies are enduring enough to significantly outperform the market in the future, both in lowering risk and in improving returns.

Benchmark S&P 500 (SPY)

Benchmark Vanguard Balanced Index Fund (VBINX)

Benchmark Vanguard Total Bond Market Index Fund (VBMFX)