In Beyond 60/40 I argued that the classic balanced portfolio rests on an assumption — that stocks and bonds will hedge each other — and that the assumption fails when the macroeconomic regime changes.
Another very well-written and relevant article. It would be quite interesting to see what an overlay of the conditional Friday GLD, TA Tuesday and the EOM SPY/TLT rebalancing trade (described by Kris L) would add to the return and risk metrics over the same extended period. A basic (no Bayesian) implementation with 10% allocation to the overlay (first come/first serve - most overlay positions don’t overlap anyway) is something a retiree could maintain with an Excel sheet and an IB account.
One thing is: the weekday trades were conditioned on VIX and VIX 3M, they just go back into the 2000s.
Another thing : the synthetic data on tlt have a certain tracking error on daily return level that washes out over a month, see my previous article. So daily signals on that are not very reliable.
The good thing: just trade it into the future and size it based on your conviction. Consistency beats accuracy, if you don’t fully automate your trading. Hope that helps!
Another very well-written and relevant article. It would be quite interesting to see what an overlay of the conditional Friday GLD, TA Tuesday and the EOM SPY/TLT rebalancing trade (described by Kris L) would add to the return and risk metrics over the same extended period. A basic (no Bayesian) implementation with 10% allocation to the overlay (first come/first serve - most overlay positions don’t overlap anyway) is something a retiree could maintain with an Excel sheet and an IB account.
Thank you for the nice feedback!
One thing is: the weekday trades were conditioned on VIX and VIX 3M, they just go back into the 2000s.
Another thing : the synthetic data on tlt have a certain tracking error on daily return level that washes out over a month, see my previous article. So daily signals on that are not very reliable.
The good thing: just trade it into the future and size it based on your conviction. Consistency beats accuracy, if you don’t fully automate your trading. Hope that helps!