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Tactical Asset Allocation (TAA)

Last Update: January 10, 2024

Volatility

4.37

Sharpe Ratio

0.51

Max Drawdown

3.66%

Last Update: January 10, 2024

Volatility

4.37

Sharpe Ratio

0.51

Max Drawdown

3.66%

No Data Found

Type of Strategy

Systematic

Risk

Low

Rebalancing Frequency

Monthly

Type of Portfolio

Multi-Asset

Performance By Asset Class

 

No Data Found

Current Allocation

No Data Found

What is TAA?

TAA is a simple long-only multi-asset strategy used for long-term portfolio management. The model combines a momentum approach and market timing filter.

 

Why to invest?

TAA aims at exposing investors to market upsides through a diversified allocation while avoiding downside losses thanks to filtering signals. Our approach includes:

  • Market Timing Signal: Reducing the exposure to asset classes during downside periods.
  • Diversification: Investing in a diversified pool of ETFs.
  • Monthly Rebalancing: Keeping the portfolio updated with regular adjustments.
  • Low Risk: Managing risks through diverse ETFs selection.

 

Who can trade TAA?

The long-only nature and cost-efficient implementation, done through liquid ETFs, of the TAA make the strategy tradable both for retails and institutions.

Volatility

4.37

Semi Volatility

3.13

Max Drawdown

3.66%

Daily Mean Return

0.009%

Sharpe Ratio

0.51

Sortino Ratio

0.72

Positive Periods

62 (50%)

Negative Periods

62 (50%)

Peak-to-valley

2023/07/31 – 2023/08/21

Back test Graph

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