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
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| Backtest of Mebane Faber's famous GTAA over 1971-2015 with proxies for SPY, EFA, IYR, GSG, IEF with SHY as "cash" |
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| Manhattan Allocation Diagram for GTAA over 1971-2015 |
GTAA source: A Quantitative Approach to Tactical Asset Allocation