Tactical Asset Allocation + HBPP an intriguing combo

[mathjak107]

all i know is whatever they are doing seems to be working

[ochotona]

all i know is whatever they are doing seems to be working

I was referring to my strategies are unstable. But I did look at your links... there's not enough data, Mathjak! I can show you a 55 year theoretical backtest of mine, to me that's enough data. 2023-Present no way is enough data. Data even close.

My strategy gives 10% CAGR, sharpe ratio 1.2, sortino 2.4, max dd -9%, dd length 11 months. The only "problem" is me... I have to have enough commitment to stick to it and just shove my short-term emotional misgivings into a corner and trade it.

[mathjak107]

these strategies go back decades …..but they were used by hedge funds to protect their private clients .

the sec has researched and approved the methods these funds use now .

technology has been moderning investing by bringing more sophisticated strategies to the small investor

[ochotona]

these strategies go back decades …..

I understand, I just need to see that data. If I have to pay lots of money to see it, or have some special investor status, then... I will pass.

[mathjak107]

the proof is in the pudding i say .

run a small portfolio and see what you think .

data in the past wasn’t bad for the pp . but would i use it based on today ? nope not anymore

[ochotona]

the proof is in the pudding i say .

run a small portfolio and see what you think .

data in the past wasn’t bad for the pp . but would i use it based on today ? nope not anymore

Where do I get data going back to say 1970? Annual returns so I can plug them into Tyler's Excel charts? No data, no interest.

[mathjak107]

it’s going to be hard unless you are a hedge fund manager who has been tracking these strategies thru the years .

but all i want to know is did they do what they were supposed to in 2022 when every conventional portfolio crapped the bed


the answer is yes

have they done anything they weren’t supposed to in the subsequent bull market ,, nope

to me that’s enough of a litmus test to say we already know conventional investing failed and where it’s weak and leaves you exposed , so i say give technology a chance

[yankees60]

all i know is whatever they are doing seems to be working

I was referring to my strategies are unstable. But I did look at your links... there's not enough data, Mathjak! I can show you a 55 year theoretical backtest of mine, to me that's enough data. 2023-Present no way is enough data. Data even close.

My strategy gives 10% CAGR, sharpe ratio 1.2, sortino 2.4, max dd -9%, dd length 11 months. The only "problem" is me... I have to have enough commitment to stick to it and just shove my short-term emotional misgivings into a corner and trade it.

" there's not enough data, Mathjak! I can show you a 55 year theoretical backtest of mine, to me that's enough data. 2023-Present no way is enough data. Data even close."

Share that concern.

2022 is not enough support.

[mathjak107]

well stay old school if you want to go by what was …….hedge funds have been using these techniques for decades to protect clients … these are all pretty standard strategies with the addition now of being enhanced by modern technology

[ochotona]

I swear, I'll give it a try, if I can find enough data from the older mutual fund offerings, and build some of these portfolios, and backtest them, I'll post the results. But it's just being too trustful if you accept whatever marketing pitch any financial firm has to offer and devote your hard-earned money towards it. "Enough data >= 25 years".

[mathjak107]

i highly recommend listening to frank vasquez at risk parity radio .

loads of pod casts and information on these strategies

for starters , here is the link , but on youtube there are about 400 pod casts .

frank created the optra portfolio

https://www.riskparityradio.com/podcast

[mathjak107]

so here’s how my work in progress sits as more cash was invested all week

my conventional investing model sits at 46% of investments not including cash . nothing new here , same old investments that are totally unhedged

fidelity puritan a 60/40

schd schwab us equity dividend fund , a value play , very very little magnificent seven , technology is about 10% of the fund

mags , the magnificent seven , i can control how much coverage i want

fidelity high income fund

individual treasuries laddered out to 5 years max in the taxable account.. bulk is 1-3 years and average duration 2.4 years

vti total market fund in the taxable account

berkshire in the taxable account

fidelity floating rate high income


now on to the alternatives

the reaper

13% tyd 3x treasuries

20% upro 3x stock

67% dbmf managed futures


THE OPTRA portfolio

16% upro 3x leveraged s&p fund

24% avgv avantis world equity value fund , a mix of avantis funds , only 6% technology

24% govz extended duration treasury strips

18% gld gold

18% cta managed futures .


both contain the same amounts committed .


then an assortment of alternative funds . some in the reaper and optra , some not and stand alone


HARD a long short commodities fund , likely the only one of its kind

PFIX interest rate hedge .. if rates creep up on bonds this goes up in value

QDSNX a mix of aqr alternative funds

QLENX fund buys what it thinks will go up and shorts what it thinks will go down

IBIT. bitcoin , one of my most profitable funds

GLD gold

DBMF managed futures

CTA managed futures with a different strategy and investments than dbmf


an interesting mix combining old school investing and new alternative investing .

combined , all the models can mitigate the draw down even if the stock market crashes

still have a lot of cash looking for a home but for now just sitting on the sidelines as the fact leverage is used it has greatly reduced my own money invested in the stock side

[mathjak107]

optra is interesting the sense it does not get rebalanced on a schedule or by bands .

it only gets rebalanced once , when the fed changes rate direction. all withdrawals come each year from the best performer

it is designed with withdrawals in mind and has no cash position holds for withdrawals in advance

it can go many years before being touched

here is optra

[ochotona]

The strategies I use for Tactical Asset Allocation are, unsurprisingly, going risk-off. That said, I don't trade next until the last trading day of March, there could be a bounce back before then.

End of February,
14% US large cap equities (some SPY, some RSP)
20% International equities (doing well compared to US... those are somewhat making up for US equity losses)
6% Commodities
60% Fixed income & cash

End of March? I have an international "sell in May, go away" strategy which would keep me pegged at 8% International equities, but it could end up being 92% fixed income and cash if there is no bounce. Then the international "sell in May, go away" goes to Cash on April 30.

If it turns out to be a Cash summer, and my Gold keeps going up, that would be nice.

[ochotona]

I currently have a light allocation to exUS stocks... 6% to IEFA, and 6% to EMXC (Emerging Markets exChina). No US stocks. The rest gold, short term bonds, cash equivalents, and IGOV (exUS government bonds).

I have to say, my ideas from years ago of combining TAA and the cash, bonds, and gold from the HBPP has worked out super well. I'm still bumping up against all time highs. My gold pile has grown itself to 20%, I'm just going to let it grow to an HBPP-like rebalance band upper limit of 35% then chop it in coming years.

The bond holdings haven't been fixed on TLT. I have used momentum to dance between different durations of US Treasuries, and now I've thrown IGOV into the mix. This approach allowed me to escape Bondmageddon in 2022, when bonds started to die in 2022 I dumped them and went to T-Bills.

But if you have physical gold, you can't trade in and out. That I just hold, until I rebalance someday. That's the lazy component.