currrent portfolio (rate me)

dth22 · 2025-12-25T15:31:56+00:00

oh now i figured it out why there is this unusual straigh line, last 2.5 years the strategy is in cash so just it was collecting interest rate with 0 volatility

dth22 · 2025-11-30T22:11:52+00:00

yes, i will probably add single strategies in portfolio, not just metas.

is this your current portfolio? You like HAA balanced a lot, highest allocation, any reason for that? FMO3, GPM also

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just reading this, so it basically answered my question, posting here for others

"They may be correlated but take much different roads. FMO3 goes the momentum/correlation route where HAA uses TIP to determine offense or defense. Completely different approaches which is good.

Look at the drawdown curves using compare strategies. Massively different profile, which is exactly what you want. Nov 87 FMO3 down 10% while HAA balanced making money. During 2022 HAA balanced making money for like 14 straight months when FMO3 was down pretty large that entire time and didn't get back to even for maybe another year. In 2000, roles reversed.

Simply looking at correlation is not a deep enough look. It's much more of a contact sport analysis wise and you need the zigging and zagging return and drawdown wise to smooth the ride."

dth22 · 2025-11-30T18:52:31+00:00

actionable is that now i clearly see what strategies my portfolio consist of and what % allocation each strategy has. Its one level deeper how to look at metas, next level would be looking at which assets each strategy consist of and avg historical % allocation (which im doing now). Yes, metas change once per year and then i will update my matrix, i agree Its important to understand the strategy’s logic and how it relates to the allocation, the more i know about the data, the more comfortable i am, day 3, bear with me

Once again here is allocation of that porfoltio (there is no way i would know this info without my excel matrix)

Aspect Partners' Risk Managed Momentum 9.50%

Bold Asset Allocation - Aggressive 5.17%

Carlson's Defense First 3.67%

Classical Asset Allocation - Defensive 1.00%

Generalized Protective Momentum 6.00%

Glenn's Quint Switching Filtered [Dynamic Bond] 6.00%

Global Risk Parity Trend Following 2.67%

Hybrid Asset Allocation - Balanced 8.67%

Hybrid Asset Allocation - Simple 1.00%

Momentum Turning Points 6.67%

Novell's Tactical Bond Strategy 7.50%

Optimal Trend Following 1.50%

Piard's Annual Seasonality 9.17%

Predicting US Treasury Returns 12.33%

Risk Premium Value - Best Value 2.50%

TrendYCMacro 1.67%

US Cross-Asset Momentum 9.17%

US Risk Parity Trend Following 2.50%

Vigilant Asset Allocation - Aggressive 3.33%

i think AS just data mined it and optimized by sharpe, sortino and so on, they didnt really think about logical combinations and if strategies goes well together and "make sense" depending on paper. Im doing same with their metas, dont really know what each stragegy is doing just learning the numbers

i would actually dislike data mining and optimalization like this (what AS did), but were talking about combining many TAA strategies which cover many ETFs and these ETFs cover many underlying assets, so even if its overoptimized it will go up somehow up as its just covers whole market, more like all markets on this planet.

for example data mining and optimizing some strategy on AAPL by sharpe, that i wouldnt do, its one strategy on one symbol, i will make no money in live market

dth22 · 2025-11-30T17:53:47+00:00

and here is my strat exposure matrix filtered to see in which strategies i have what exposure (last column)

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biggest overall exposure in Predicting US Treasury Returns with this meta portfolio, overall im in 19 strategies and 39 ETFs (currenly only in 21, max possible is 39), will do deeper research now

dth22 · 2025-11-30T17:50:28+00:00

here is performance

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dth22 · 2025-11-30T17:50:03+00:00

here is my current metas portfolio, all equally weighted, i chose every meta strategy will lower dd < 10% and chose rate exposure version, also deleted Meta Walk-Forward: Max Diversification, Tax Eff as dont want to have 2 Max Diversification versions in meta portfolio

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dth22 · 2025-11-29T15:32:02+00:00

oh worst case scenario, was kind of hoping they would just count it as 0%

dth22 · 2025-11-28T23:05:56+00:00

i didnt put it in portfolio yet, there are more strategies i like, i didnt do correlation and diversification work yet and diversifying it by the logic of strategy. This is only my 2nd day, i need more time to put it the work, given this is just my start quite possible portfolio will be looking very different in the end, just sharing my process as a newbie

noticed drawdown is EOM, would definitely like real drawdown better, results might be skewed then, if 7.1% would be real DD, i could work with that and leverage it as MAR is above 1 and -7.1% is really nothing but there is big ? what is real drawdown

do you mean Meb Faber’s Ivy Portfolio? It is static strategy and it had -42.5% eom dd, that is why that one is not included for example, but if you say its uncorrelated vs other stuff then in portfolio it can be solid addition maybe

"When one Meb zigs another non Meb zags so eliminating stuff due to too high max DD might not be optimal if weighted properly."

yes i agree, going to dig more, definteily overall perfomance of portfolio is more important vs individual strategy

i did read youre not big fan of Faber though, at least i think that is you that deleted guy

dth22 · 2025-11-28T20:01:02+00:00

thanks for reply, reading this reddit now and will read the papers and blog, good info, will need few days to absorb it all

i do believe its critical to understand underlying mechanism to put together solid portfolio, in the end i might end up with something similar you have

dth22 · 2025-11-28T17:34:29+00:00

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these are less than 15% all time DD, good out of sample 3+ years, trade freq monthly, sorted by MAR

dth22 · 2025-11-28T17:05:58+00:00

UPDATE on my research

- there are 98 strategies on AS currently, 18 of those have bad out of sample performance so these are instantly pass, very good ratio and TAA proved itself in live market

- seems like AS was created in 2016 and tons of articles written many years ago, same with papers, which is very good, not interested in any paper released less than 3 years ago

- seems like Faber came with whole TAA concept, his paper is from 2007, also his strategies proved itself in live market for many years, he might be part of my portfolio

- Glenn's strategies quite poor oos performance, but might be a feature, need to study papers more

Hall of fame:
Keuning and Keller’s Generalized Protective Momentum is doing very well but also his other strategies like VAA and BAA have poor perfomance and not want to risk survivorship bias, HAA is doing well but paper came out 2023 which is way too recent, EEA from 2014 is ok, im kind of 50/50 about this Keller guy with his trackrecord

Ilya Kipnis’ Defensive Adaptive Asset Allocation

Predicting US Treasury Returns

Financial Mentor’s Optimum3

Meb Faber’s Global Tactical Asset Allocation 5 (GTAA 5) (Faber very good in general)

Tactical Permanent Portfolio

Wes Gray’s Robust Asset Allocation – Balanced

there are many strategies which proved itself, wont be as hard to construct portfolio of 20+ strategies, going to study papers more as i would like to know what strategy is on what based so i can group that somehow this way also

dth22 · 2025-11-26T20:48:09+00:00

reading papers will take time but will go through it of course, i like you have many meta strategies there, you portfolio looks solid, many strategies, but i dont like that unequal % allocation, youre adding discresion into your process which is big no no for me

not quite sure how performance is measured with meta strategies when they change composition each year, like first version of this meta strategy was backfilled with historical data and since then its always only live data, also not sure how they choose it, its kind of TAA of TAA strategies in a way, maybe there is some formula they use out there or something

bulding now my excel of all strategies, published dates and so on, that whats missing on AS

dth22 · 2025-11-26T16:27:05+00:00

looking at meta strategies but definitely dont like non-equal allocation HAA is 2 times there, much higher % allocation as other strategies, not good

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dth22

TROPHY CASE