RAA Follow-Up

Last week I announced the Robust Asset Allocation, or RAA, portfolio tracker which is inspired by Alpha Architect,

The original article cited by Alpha Architect used 7-10 Treasury Bonds for the bond holding. I chose a broad-based bond bond (BND) in lieu of a 7-10 year treasury ETF like the iShares 7-10 Year Treasury (IEF).

Also, the Alpha Architect article timing signals for both the value and momentum equity positions were based on the moving average of the underlying index. For US equities the S&P 500 TR Index was used and for international equities the EAFE TR Index.  I chose to use the moving average signal of the actual value and momentum ETFs.

5 thoughts on “RAA Follow-Up”

  1. Great job as always. However, doesn’t changing the underlying equity timing signals invalidate the original articles results? Also, do you know why they chose to use broad index results in the study instead of the specific factor based indexes such as you are using?

    1. It’s not an attempt to duplicate the Alpha Architect article precisely. In addition, individual signals should closely coincide with index timing signals. They chose broad index signals to give greater flexibility in security selection. For example, if a security has less than 12 months of data you won’t be able to get an adequate timing signal. By using an index timing signal a newly launched value or momentum ETF can immediately be used in the system.

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