Cliff Smith Quarterly Tactical Asset Allocation

Jan 30, 2015 Update: Thanks to a reader, the spreadsheet has been corrected to use 3-month SMA instead of 63-day SMA as the filter.

Here's another quarterly rotation strategy that Cliff Smith presented on Seeking Alpha and backtested on ETFreplay.com, resulting in a CAGR +28.7% and Max Drawdown of -19.1%. The idea is to invest in the top asset of a basket of seven funds (or their corresponding ETFs) at the beginning of each quarter (January, April, July, October), unless the adjusted close price of the top ranking asset at the time of switching is below its 3-month simple moving average, in which case the allocation is VUSTX (or TLT/TLO).

The rankings are based on 105-day returns (weighted 50%) and 20-day returns (weighted 50%), based on adjusted close data from Yahoo Finance. As usual, I've created an automatically updating, dynamic Google Spreadsheet to help with the rotations.

QH Cliff Smith Quarterly TAA Spreadsheet