Well, the market took a huge dump today. If you are following my model you are 80% in cash/bonds, and by the end of the day tomorrow (unless commodities rip back up), you will be 100% in cash and bonds.
I asked readers who utilize the model for their comments the other week in my "Yawn" post, and I have heard from everyone from little retail accounts to billion dollar hedge funds that have implemented the strategy. (And yes, I am still waiting on any thank-you bottles of nice tequilla...)
Here are some below (and if you haven't left a comment, do so now):
"I'm following a 10-asset class, 130% GTAA model using leveraged funds based on Meb's white paper. I use a 4-week cycle instead of a monthly cycle. I'm currently 100% in bonds and cash. Took profits on DJP on 8/11/08 and on GSP on 9/08. Portfolio is +2.3% YTD and +4.1% YoY with a maximum drawdown of 4.7% measured on a weekly basis from peak to trough. Compared to a 60% IWB / 40% AGG benchmark, GTAA rocks!"
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"My "Strategy 3" is a variation of your white paper idea - you can view weekly allocations here: http://www.regimenia.com/
My TAA model has been 100% cash the past 2 weeks. In actuality I've been net short."
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"I'm in cash (and speakers). I talk about my strategies at kirznerfervor.blogspot.com (which you've seen). Most of this year, though, I was day trading energy and financial companies, but with more leverage than I felt comfortable with given the volatility. So I made a better trade, Senior Economist at an insurance company too conservative to blow up."
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"My TAA Portfolio,
VTI (Total Stock Market)
VWO (Emerging Markets)
IEF (7-10 Year Treasury)
RWX (Intl Real Estate)
DBC (Commodity)
Right now, Long 20% IEF
I love this strategy."
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"Long time reader, first time poster....
Count me in as a huge fan of the system."
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"I had followed the 5 asset-class strategy for a while but in EUR (instead of USD). Actually, I lost money and stopped the experiment this summer.
I continue to monitor the strategy as it seems sound to me.
The reason for my losses was the cost of trading Euro ETFs (bid-ask spread mainly).
My experience tells that you should invest in ETF from the USA, in USD then hedge your currency (if you want to)."
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"Here is the strategic asset allocation for a 130% GTAA model, which is one of three models I publish:
Symbol Percent
ULPIX - 5.0%
UAPIX - 5.0%
UNPIX - 5.0%
UUPIX - 5.0%
URE - 10.0%
DJP - 10.0%
GSP - 10.0%
SHV - 12.5%
SHY - 12.5%
IEF - 12.5%
TIP - 12.5%
I use a 4-week period and a 40-week SMA for the timing signal. The last period ended on 9/05/08, when the model generated a sell signal for GSP. The model had previously generated a sell for signal for DJP on 8/08. The portfolio is currently 50% long bonds, 50% cash."
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