Published: February 24, 2014
To complement our analysis of strategic asset allocation portfolios, we studied a mix of tactical model ETF portfolios. This analysis looked at tactical models that 1) rebalance monthly according to risk and return metrics and 2) select ETFs each month from a fixed set of asset classes.
Our analysis compared 29 tactical portfolios on a risk vs. return basis. The tactical portfolios use different allocation approaches in the following categories:
Risk and volatility portfolios
Momentum (trend following) portfolios
Blended portfolios using risk and momentum
Here's the main question we wanted to answer:
Which tactical ETF model portfolios produce the best risk-adjusted return?
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