Tactical Asset Allocation – January 2017

by

Performance

Global Core finished January up 1.25% and US Core was up 1.25% with holdings identical to Global Core.

Upgraded Global Core

The upgraded Global Core is an incremental improvement to US Core. I believe that the upgraded Global Core Strategy will better serve subscribers (including our personal portfolio) than US Core. The tax consequences of shifting holdings from US Core to the upgraded Global Core are not material. Effective with the December 30 rebalance, I moved all of our TAAS Strategy investments to the upgraded Global Core. I will continue to publish the US Core Strategy for subscribers who are not comfortable making the shift at this time.

Markets

Treasury ETFs have declined sharply from their all time highs last July. While the drop in Treasury prices has reduced our Strategy return; I am pleased that the decline is occurring while equity prices are rising. This will provide more room for Treasuries to cushion a future decline in equities.

Equity valuations remain extremely high; however investors are showing few signs of concern (per my Weekly Market Analyst blog). We remain in conservative strategies which emphasize capital preservation over growth.

Website update

TAAStrategies is undergoing a major upgrade. The email upgrade was completed in December, performance charts and tables were upgraded in January, and an all new website will appear in February.

Tactical Asset Allocation Fund Basket Performance

Global Core

Month-to-date: 1.25% gain
Year-to-date: 1.25% gain
Full cycle-to-date (Sep 2007): 10.22% CAGR, 6.53% Max Monthly Drawdown

Performance table (updated after the close each month)

Global Satellite Strategy

Month-to-date: hibernating since Nov 2014
Year-to-date: hibernating since Nov 2014
Full cycle-to-date (Sep 2007): 25.90% CAGR@Risk, 8.2% Max Monthly Drawdown

Performance table (updated after the close each month)

Other Strategies

US Core Strategy

Month-to-date: 1.25% gain,
Year-to-date: 1.25% gain
Full cycle-to-date (Sep 2007): 10.37% CAGR, 7.14% Max Monthly Drawdown

Performance table (updated after the close each month)

 

3 thoughts on “Tactical Asset Allocation – January 2017”

  1. Thanks Earl. What do you mean by CAGR@Risk? I realize the Satellite strategy is more risky, with higher MAX DD, etc.

    • CAGR@Risk excludes months not in invested in Strategy or in cash (no risk). There are 113 months in the period Sep 2007 – Jan 2017. CAGR@Term of 11.85% is the CAGR over the entire 113 months. CAGR@Risk of 25.90% is the CAGR during the 55 months the Satellite Strategy was invested. Since we can incur Drawdown only when the Strategy is invested, it is useful to relate Drawdown to the CAGR during the same period.

      We can compare Core CAGR@Risk of 10.63% and Max Drawdown of 6.90% to Satellite CAGR@Risk of 12.90% and Max Drawdown of 13.22% and see that while we are taking additional risk in the Satellite Strategy, we are being compensated for it.

      A companion comparison is the Up/Down Ratio of 339.64% for Core versus 409.33%. While both are exceptionally high ratios, the higher ratio for the Satellite Strategy tells us that it is more efficient per unit of risk.

Comments are closed.