A quick post today to let you know that my base strategy from the Economic Pulse Newsletter has been tested by AllocateSmartly and is now available on the platform. I wanted to put my base TAA model to the test on an apples to apples basis against the best TAA strategies available on the best TAA backtesting platform. I felt it was an important to validate my results and test the strategy against others on an independent basis. I’m pretty pleased with the results.
I’ll let Allocate Smartly take it from here. You can read the full post on the test of SPY-COMP here . I’ll just post some of the summary results and make a few comments. First, the big picture results.
Basically, market beating absolute and risk-adjusted returns with relatively low turnover. But not only low turnover, the average trade length of the strategy is quite long so 91% of the gains from the strategy are long term capital gains or dividends.
As far as performance vs the other 55 strategies tracked by AllocateSmarlty, in terms of annual returns, over the full period of test, SPY-COMP is tied for 6th place. Over the last 20 years, SPY-COMP is tied for 5th place. And over the last 10 years, it is in second place. SPY-COMP is a 100% US centric strategy and ideally should be combined with other strategies to build a complete portfolio. In Economic Pulse, I use SPY-COMP as the base strategy and build upon it by adding other asset classes to increase diversification and performance. You can also do that with other strategies on AllocateSmartly.
That’s about it for today.