Lab Announcement

After spending ages on research a couple of exciting new developments will be published shorty:
  • Portfolio level Monte Carlo analysis
  • DIY global multi asset universe with 21 ETF-proxies covering a history of 45+ years
  • “One-Click” export from Excel to multiple csv (in R)
  • Enhanced c(r)ash protection routine for tactical investment strategies
  • Dual universe support for differentiation of risk-on and risk-off assets
  • Surveying volatility driven dynamic lookback indicators
Stay tuned!

Backtest of Mebane Faber's famous GTAA over 1971-2015 with proxies for SPY, EFA, IYR, GSG, IEF with SHY as "cash"
Manhattan Allocation Diagram for GTAA over 1971-2015

GTAA source: A Quantitative Approach to Tactical Asset Allocation