Updated Tactical Asset Allocation Results

In November, I used the strategy in Mebane Faber's Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy's results through the end of 2009. For those interested, he expands on the paper in his book, The Ivy Portfolio.

Tactical asset allocation using blotter

blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system.The contents of this post borrow heavily from code and comments in the "longtrend" demo script in the blotter package. Many thanks to Peter Carl and Brian Peterson for their hard work.The first chart shows the result of holding an equal-weight portfolio of SPY and IEF from 2002-07-31 to 2009-10-31. The 2008 bear market led to a 30% drawdown in this portfolio.The ...