Tactical Asset Allocation - February 2016 Update

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Includes: CRED, JNK, SHY, SPY, VEU, VMBS
by: Paul Novell

Here is the tactical asset allocation update for February 2016. As I mentioned last month, I am now using a new data source for the portfolio updates. I am also maintaining the old portfolio formats, in Yahoo Finance, for a while. Here is the link to the Yahoo data. Let's dive right in.

Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. The big change here is the use of FINVIZ data and more importantly that these signals are valid after every trading day. So, while I'll maintain these month end updates, this means that you can implement your portfolio changes on any day of the month, not just month end. FINVIZ will at times generate signals that are slightly different than Yahoo Finance.

AGG3 is now 100% bonds and no cash. This is a significant change from last month where AGG3 was 66% invested. AGG6 is 33.3% cash and 66.6% bonds. AGG6 is more invested than last month's positions. Below is the YTD performance along with some popular benchmarks. Once change in the performance figures this year is that I am know including the performance of cash when the portfolio sin cash (using SHY as the cash proxy).

For the Antonacci dual momentum GEM and GBM portfolios, GEM is now in bonds, BND, and the bond portion of GBM is in cash. I've also made my Antonacci tracking sheet shareable so you can see the portfolio details for yourself. Here is the data.

Finally, I am receiving quite a bit of interest in the simple bond quant model I published previously. So, I created a spreadsheet to track one version of the model I presented. The spreadsheet ranks the bond ETFs by 6 month return and uses the absolute 6 month return as a cash filter to be invested or not. Several versions of this model work quite well as discussed in the blog post. Personally, I am now using a 3 month return, 3 month filter, top 3 model but the differences are not that big.

That's it for this month. These portfolios signals are valid for the whole month of February. As always, post any questions you have in the comments.

**Note: an observation for this week. Ever notice the percentage of self-called 'long term investors' who know what the stock market did on a daily basis? Let me tell you that is long term detrimental to your portfolio performance. It is hard to ignore market data in today's world. I try very hard to ignore it and have to take active action to avoid finding out about daily gyrations in the market. It's one of the reasons I do not blog more often. My goal is to only check one per month, that's it. And even that is too often. If I could auto trade my quant systems I would… I once heard it said that most investors would achieve higher returns if they lost their password to their investment accounts for years. There is a lot of truth in that statement….

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