Should we all hire dart-throwing monkeys or investment managers peddling tactical asset allocation models?

Should we all hire dart-throwing monkeys or investment managers peddling tactical asset allocation models?

August 19, 2013 Tactical Asset Allocation Research
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(Last Updated On: November 16, 2014)

Looks like dart-throwing monkeys are a viable alternative…

Boot out the 2008 Financial Crisis (a sample of n=1) and you have pretty “blah” returns…

Are tactical asset allocation systems actually timing massive drawdowns or is it all luck? Moving average rules look promising (as always), but finding effective tactical asset allocation is still the most challenging I’ve run into yet!

Our old link doesn’t work, but here is an updated report on a variety of tactical asset allocation models.

http://www.alphaarchitect.com/blog/2014/09/23/morningstar-2014-etf-conference-slides/#.VGjfsPnF9MU

Why can’t making money be easier than this?


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Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.


  • Peter Hegel

    Hello. I am unable to link to the “empiritrage.com” article that is referenced here. I get automatically redirected back to this site. Is this paper somewhere on the site? If so, I can’t seem to locate it. Could you please direct me?

    Thank you

  • Hi Peter,

    We made a transition to Alpha Architect and some of our content was lost in transition.

    http://www.alphaarchitect.com/blog/2014/09/23/morningstar-2014-etf-conference-slides/#.VGjfsPnF9MU

    That deck compares the performance of various TAA models. We’ve been researching TAA models for 5 years now. Happy to share our research/findings