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Comments On GTAA Model
By: World Beta   Monday, September 29, 2008 5:53 PM

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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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The above story is the opinion of the author only and it does not reflect iStockAnalyst opinion. Further, the author is not personally advising you regarding the suitability of the story for your investment needs. In no event iStockAnalyst will be liable for any loss or damage including without limitation, indirect or consequential loss or damage, or any loss or damage whatsoever arising from or arising out of, or in connection with the use of this information. Please consult your investment advisor before making any investment decision.
  
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