The June 30, 2015 AAR Strategy update is now available on the AAR Subscribers page. If you are not currently a subscriber and would like to learn more about the strategy, there is a detailed description on the AAR Strategy page.
The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities. The strategy was inspired by the Ivy League portfolio and uses trend and technical filters to reduce downside risk.
If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month. Stop-loss orders are used on every trade to control losses and to facilitate position sizing and risk management.
Brian Johnson
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Recession Model Forecast: 06-01-2015
The following article updates the diffusion index, recession slack index, aggregate recession model, and aggregate peak-trough model through May 2015. In January 2015, I created a new explanatory variable for a market-based indicator and I added another new explanatory variable in April 2015. The total total number of explanatory recession model variables is now 20. The current and historical data in this report reflect the current model configuration with all 20 variables.
In July 2014, two new explanatory variables were added to the Trader Edge Recession Models and one explanatory variable was replaced. The swapped variables measured similar economic data, but the new series had more predictive power and was more forward-looking. For more information on the changes in July 2014, please see "Two New Improvements to Trader Edge Recession Models."
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