Tactical Asset allocation

“Minsky Phases” tactical asset allocation model

The Minsky phases model is built on two powerful concepts from the economist Hyman Minsky

  1. The “Minsky Moment” – when in a speculative mania, the greatest fool has bought, and that there is no one left to buy
  2. Financial crisis follow each others in a loop pattern (therefore, they are not ‘accidents’)

It has three states : Long Equities, Long T-Bills, Short Equities, and tries to follow simple and logical rules.

Here’s a presentation explaining the reasoning behind the model, the indicators used, as well as the results.

As time allows, I plan to put online :

  1. Technical details about the model itself
  2. An automated monthly update of the model’s status

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