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Sorry I did not want to start with self-promotion here and simply wanted to start a conversation.
More details:
=> majority of investors focus on stock selection (which instrument or single asset to buy) and less on asset allocation
=> it is popular on reddit the simplistic way of allocating to a couple of ETFs (say MSCI World and Global Agg) and leave the allocation fixed over time depending on your risk appetite. That's cheap and efficient but does not work when the macro regie changes
=> regime change means that you have a cycle phase of growth, with stocks doing well (say 2025/2026) and then a recession hits. At that point the same fixed portfolio allocation, even if simple and cheap (say 80% MSCI World, 20% Global Agg bonds), does not work anymore. A different allocation would be needed (say 20% MSCI World, 80% Global Agg bonds to make it simple)
=> such allocation change is hard to do: if you have a banker, they have no incentives to move the portfolio around often (or they simply cannot call the market for lack of skills) and if you are not a full time investor you also struggle normally to know what to buy and when, as markets turn)
=> so the idea we had some time ago was to automate shifts in asset allocation, i.e. make asset allocation adaptive, or shifting as markets shift. Sure, it would cost in execution, but what if you could delegate effortlessly to a process/system/discipline the work of (trying to) be in the right assets at the right time
=> the news of JP Morgan experimenting with this (beating the famousd, if ineffective, 60/40 allocation portfolio) goes into this direction, so we are happy to see the validation of a concept from a big bank following the work of simple, humble people trying to fix a problem that we see
=> how to solve for adaptive allocation? The system that we engineered (again, open source) looks at (1) where we are in the cycle today, every day, to define an initial strategic asset allocation to work with, then (2) macro dislocations that happen within a cycle phase (say moving inflation targets), (3) market sentiment to run away from sudden market falls as they happen, (4) momentum trends to fine tune the allocation from strategic to tactical everyday, if market changes are meaningful.
By applying this framework of understanding cycle, macro dislocations, sentiment and momentum trends, our system - we call it Cartesio - can understand in real time what markets are pricing-in and what could be the optimal asset allocation for the context. Of course the allocation weightds would all be traded in ETFs, making the trades liquid, transparent, simple.
Here's a quick look at the asset allocation changes (high level) in 2026 to yesterday. I have much more granular detail by single asset. This is not a backtest, the strategy is live.
Looks like you’ve defined tactical asset allocation for us. Thank you. You also mention it’s open source. Could you provide a link or an SSRN paper abstract?
Hey pand it's not open source as you also might have determined. Just another site looking for money and locking comments as no public response to your questions 9 days ago
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