Is there a best way to select and weight asset classes for long-term diversification benefits? These blog entries address this strategic allocation question.
October 30, 2026 - Calendar Effects, Momentum Investing, Strategic Allocation
We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy.
We have updated the Trading Calendar to incorporate data for October 2026.
October 30, 2026 - Fundamental Valuation, Momentum Investing, Strategic Allocation
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for November 2026. SACEMS rankings could change by the close. SACEVS allocations are unlikely to change by the close.
October 30, 2026 - Investing Expertise, Strategic Allocation
Can Claude as a leading representative of large language models, easily beat the Simple Asset Class ETF Momentum Strategy (SACEMS)? To investigate, we pose the following prompt to Claude:
Please take the month-end dividend-adjusted prices in the attached Excel file [the SACEMS universe] and construct the best strategy you can find that:
Initiate your portfolio at the end of February 2007. Focus on compound annual growth rate (CAGR), annual Sharpe ratio and maximum drawdown (MaxDD) as key performance metrics.
Using the SACEMS dividend-adjusted asset class ETF price dataset and Claude’s response to this prompt, we find that: Keep Reading
October 29, 2026 - Momentum Investing, Strategic Allocation
A subscriber suggested that the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) may each exhibit return momentum at the strategy level, such that an investor considering both as in Combined Value-Momentum Strategy may want to pick the one with a stronger recent return. To investigate, we test a SACEVS Best Value-SACEMS Equal-Weighted (EW) Top 3 combination strategy that each month picks the strategy with the higher return over a specified lookback interval (SACEVS-SACEMS Momentum). We consider lookback intervals of 1 to 12 months, with returns starting in March 2008 to accommodate the longest interval. We use monthly rebalanced 50% SACEVS Best Value-50% SACEMS EW Top 3 (SACEVS-SACEMS 50-50) as a baseline. We focus on gross compound annual growth rate (CAGR) and maximum drawdown (MaxDD) as key performance metrics. Using SACEVS Best Value and SACEMS EW Top 3 gross monthly returns during March 2007 (limited by SACEMS) through September 2026, we find that:
October 28, 2026 - Bonds, Equity Premium, Momentum Investing, Strategic Allocation
Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly:
We consider as a benchmark a simple technical strategy (SPY:SMA10) that holds SPDR S&P 500 ETF Trust (SPY) when the S&P 500 Index is above its 10-month simple moving average and 3-month U.S. Treasury bills (Cash, or T-bills) when below. We also test sensitivity of results to deviating from equal SACEVS-SACEMS weights. Using monthly gross returns for SACEVS, SACEMS, SPY and T-bills during March 2007 through September 2026, we find that: Keep Reading
October 22, 2026 - Bonds, Equity Premium, Strategic Allocation
Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by Vanguard, as follows:
We consider as benchmarks SPDR S&P 500 ETF Trust (SPY), iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) and both 80-20 and 60-40 monthly rebalanced SPY-LQD combinations. We look at monthly and annual return statistics, including compound annual growth rate (CAGR) and maximum drawdown (MaxDD). Using monthly total returns for SPY, LQD, three target retirement date funds since October 2003 and four target retirement date funds since June 2006 (limited by Vanguard inception dates), all through September 2026, we find that:
October 21, 2026 - Investing Expertise, Strategic Allocation
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to generate contrarian investment ideas? As a simple exploration, we pose to each of Grok, ChatGPT, Claude, Perplexity and Gemini the following prompt:
Please very concisely identify the three most promising under-the-radar, contrarian investment opportunities exploitable by retail investors using ETFs over a planned holding period of one year. Include a rough estimate of the expected return.
Compiling and comparing responses from the AI panel to the prompt as posed in mid-October 2026, we find that: Keep Reading
October 20, 2026 - Strategic Allocation
“Using AI Panel to Screen Investment Strategies” reports AI Panel responses to the following prompt:
Please concisely describe and quantify the one most promising tactical asset class allocation/tilt strategy for an individual U.S. investor with typical risk aversion who is accumulating wealth for retirement in a tax-deferred account. Focus on exceptional simplicity, high liquidity, high net compound annual growth rate [CAGR] and shallow maximum peak-to-trough drawdown [MaxDD] as essential criteria.
Two of the AIs select dual momentum strategies based on exchange-traded funds (ETF). Both switch between U.S. stocks (e.g., SPY) and international stocks (e.g., EFA) according to which has the higher return over the prior 12 months. One (Dual 1) moves to bonds (e.g., IEF) if the winner does not beat short-term U.S. Treasury bills (T-bills) over the last 12 months. The other (Dual 2) moves to T-bills if the winner is below its 10-month simple moving average (SMA10). Using monthly total returns for the selected ETFs and T-bills to validate performances of these two strategies during July 2002 (limited by IEF) through September 2026, we find that: Keep Reading
October 13, 2026 - Investing Expertise, Strategic Allocation
Can the evolving set of artificial intelligence (AI) platforms based on large language models (LLM) plausibly assess how widespread investor use of AIs to screen investment strategies will affect markets? As a simple exploration, we pose to each of Grok, ChatGPT, Claude, Perplexity and Gemini the following prompt:
Please concisely assess the implications for individual investors of the effects on financial markets from an ever-growing share of all investors using advice from you and other AIs.
Compiling and comparing responses from the AI panel to the prompt as posed near the end of September 2026, we find that: Keep Reading
October 12, 2026 - Investing Expertise, Strategic Allocation
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to identify attractive investment strategies? As a simple exploration, we pose to each of Grok, ChatGPT, Claude, Perplexity and Gemini the following prompt:
Please concisely describe and quantify the one most promising tactical asset class allocation/tilt strategy for an individual U.S. investor with typical risk aversion who is accumulating wealth for retirement in a tax-deferred account. Focus on exceptional simplicity, high liquidity, high net compound annual growth rate [CAGR] and shallow maximum peak-to-trough drawdown [MaxDD] as essential criteria.
Compiling and comparing responses from the AI panel to the prompt as posed near the end of September 2026, we find that: Keep Reading