Marc Cohn developed and tested a version of TAA (Tactical Asset Allocation) that attracted quite a bit of interest. He called it "My Version of Grossman's GMR---42% With 16% Drawdown?"
This is really a variation (but an outstanding one) on a more general strategic theme that has been widely studied in the academic literature and the blogosphere (i.e., TAA). I encourage all those who are interested to familiarize themselves with the basic post linked above, and especially, with all the ensuing discussing that appears in various places on his Instablog (e.g., here, here, here, here, here, here, here, and here).
Unfortunately, Mr. Cohn is evidently rather busy, and eventually stopped updating the strategy's selections each month. He has not posted here on SA for over 3 months now. Several readers (including myself) have created our own spreadsheets that track the strategy and its selections. We have been posting these selections along with other comments/analyses of the strategy on Marc's Instablog.
From now on, I will be tracking Marc Cohn's GMR/TAA strategy here on this Instablog, and will post the monthly selections. I encourage all those who have interest in this strategy (or similar sorts of strategies) to post here. I think it important that we corroborate one another's results, since it is not difficult for errors to creep in (Yahoo's data is prone to errors, for one thing). I also think that there are a lot of related sorts of approaches that will work as well or better than this one. There are numerous examples here on SA. So, I encourage creative thinking here, but the primary purpose of this Instablog is to update the strategy's selections every month.
As we posted here, the selection for February was EDV. The next selection will be posted after the close on February 27 (and every month thereafter after the close of the last session of the month).
Update (April 5, 2015):
JW (TrendXplorer: indexswingtrader.blogspot.com/) has done some excellent analyses of the Cohn GMR strategy, and has been kind enough to share these with me. With his permission, I will post these here.
The first (Fig. 1) shows the equity curve (green) with the drawdown (red) over the last 10 years (2005 - 2014).
Fig. 2 shows the drawdown in more detail:
Fig. 3 shows the rolling 12-month returns:
You can see that the 12 month rolling returns varied over a wide range, but were almost always positive, except for a few months in 2008.
Fig. 4 shows the 95% confidence interval limits for the 12-month rolling returns:
Of note, I think it is clear that the rolling returns are not randomly distributed, but actually trend. This raises the possibility that these trends can be exploited to determine portfolio allocation to this strategy.
Fig. 5 shows the monthly returns:
Next we present these same data over the last 20 years. The ETFs used in this strategy did not exist at that time, so JW substituted mutual fund proxies that have high correlations with the ETFs.
Fig. 6 shows the equity curve (green) with drawdown (red):
Fig. 7 shows the drawdown curve:
Fig. 8 shows the 12-month rolling returns:
Fig. 9 shows the 95% CI limits for the 12-month rolling returns:
And finally, Fig. 10 shows a table of monthly results:
A very big "thank you" to JW, and I encourage anybody who is interested in these types of analyses to have a look at his blog (indexswingtrader.blogspot.com/)
Update (June 25, 2015):
JW ("TrendXplorer") has posted a spreadsheet on his blog that automatically updates the selections for a strategy very similar to the one tracked on this Instablog. That strategy is Varan's version of GMR. Varan has two variations of this strategy. He calls one "GMR", and the other GMRE (the E is for "Enhanced"). You can find more info on his Instablog here on SA. Both GMR and GMRE are now tracked in real time by JW, so anybody who wants to can view the current selections and performance (free, of course).
Thanks very much JW! Great work as always!
Additional disclosure: This Instablog does not constitute investment advice. Anybody using this information in any way does so at their own risk. Please do your own due diligence. I STRONGLY suggest anybody who is interested in this type of investing to thoroughly familiarize themselves with the details and analyses of this strategy, since it may not be appropriate for some individuals and their particular situations and risk tolerance.