Tactical Asset Allocation Performance In 2017

by: Paul Novell

It's that time of year to update the performance stats of investment systems. In this post, I'll cover various Tactical Asset Allocation strategies and how they performed in 2017. Let's jump right in. As usual, I'm using data from the great folks at Allocate Smartly.

2017 was definitely a risk-on year for worldwide risk assets. In particular, equities. The higher number of aggressive risk-on assets that were in a TAA strategy, the better it performed. Table 1 lists the TAA strategies that are tracked by Allocate Smartly that beat the 60/40 benchmark. Data is from their December 2017 TAA post.

Table 1: Top TAA Performance in 2017

19 of the 39 (about 50%) of the strategies beat the 60/40 benchmark in 2017. And only two strategies beat or matched the SPY's performance of 21.71% for the year. I'm not including my own TAA Bond strategy in the above list because it's not a risk-on strategy. I was quite happy that the TAA Bond strategy brought up the rear at a respectable 5.1% for the year. That's a bit better than I expected in the kind of environment we had in 2017. As far as the simple global TAA strategies go, which I covered in this post on getting started with TAA, there was only one strategy that made the above list - Antonacci's GEM strategy.

2017 was one of those years where pretty much any switching between risk assets reduced performance in TAA strategies. This can be seen by looking at broad risk asset class performance for the year. Table 2 below shows the performance of some of the larger risk asset ETFs and how they performed in 2017.

Table 2: 2017 Performance of VEA, VWO, QQQ, SPY

This is normal during very strong bull markets and shouldn't come as a surprise. It's one of the compromises of choosing TAA strategies. It's a small price to pay.

And finally, a little shameless plug, below are the results for the strategies I use in my Economic Pulse Newsletter.

That's pretty much sums of 2017. A banner risk-on year with very little volatility. In my next post, I'll update 2017 performance for the various quant portfolios that I track.