The TMV ETF should stay in place for quite some long time, and it´s a great investment to harvest time decay and avoid drawdown. The big tapering drawdowns of 2013 are past history. You don’t need to look daily at the TMV short hedge. Just keep it. The ETF TMV is a loser and if you stay short it will be a long term winner. It should return about 10-15% per year. How to minimize … Read more
TMF is by far not so good as TMV short for hedging portfolio. Here is the 12 month comparison. While all treasuries had quite big losses of about -7%, a shortTMV position was flat over the year. I think for IRA accounts the better and saver way of hedging would be a part of the investment in the Bond rotation. This one should make 10-15% per year and is also good for hedging portfolio. Hedging … Read more
This monthly premium of being short volatility is the only thing which makes the ZIV price go up. Unfortunately there is a second quite strong influence on the ZIV price. This is the market volatility (VIX). In the chart below you see the green VIX chart. Every spike corresponds to a fear spike of the investors. During such spikes we also have smaller market corrections. During these market corrections ZIV is going down, because the … Read more
You can employ this strategy perfectly in your 401k investment, because it outperforms the stock market by more than double and this with one third of the volatility or risk. This means that since 2008, the return to risk ratio is about six times higher than an investment in the SPY ETF which tracks the S&P 500. Even this year, when many investors are selling bonds due to increasing yields through FED tapering, the bond rotation strategy … Read more
Update: You can see the most recent performance our our inverse volatility strategy here. Consult vixcentral for the daily VIC term curve. In this paper, I present five different strategies you can use to trade inverse volatility. Why trade inverse volatility you ask? Because since 2011, trading inverse volatility was probably the most rewarding investment an investor could make in the markets. Annual returns of between 40% – 100% have been possible which crushes any other … Read more
Update: See the current performance of this ETF investment strategy here. A new enhanced Global Market Rotation Strategy with adaptive ETF investment allocation The GMR strategy performed well during the last 10 years. Especially during years with a strong trend in one of the 5 world markets, this strategy was able to switch early to the best ETF and stay invested until another market ETF took the lead. A known problem for such monthly rotation strategies … Read more
Here are two backtests charts of the new MYRS strategy with adaptive allocation, now also suitable for your retirement account. The annual return of the old and the new strategy is more or less the same. During low volatility markets, the return of the new strategy is probably slightly lower, however during difficult volatile years like 2014, the return of the new strategy is significantly higher and the drawdowns and the risk is reduced nearly by a … Read more
I just want to share a screenshot of the new backtest software, we have written in C# to calculate and backtest the new adaptive logical-invest strategies. This software can be used to calculate the variable allocation for the MYRS, GSRS and GMRS. Since 2017, QuantTrader, this backtest software is now also available for retail and institutional investors, see here. Our backtest software QuantTrader now available Below you see a 2 year graph showing the Global … Read more
Introduction to the SPY-TLT Universal Investment Strategy (UIS) This paper discusses the simple but effective method of using adaptive allocations between stock market ETFs and Treasuries to assemble a simple yet smart Investment Strategy. This method has been developed to replace the 100% switching used in normal rotation strategies like the Maximum Yield Rotation and the Global Market Rotation strategies. The real world is just not a 100% “risk on” or “risk off” world. Most of … Read more
An analysis of Harry Browne´s Permanent Portfolio and further enhancements towards: A Permanent Portfolio ETF Rotation Strategy employing Momentum, Mean Reversion, and Volatility Targeting. It’s not just cars. It’s investment strategies like the permanent portfolio, too. Vintage “all-weather” investment strategies are often simple, easy to execute and give amble ‘out-of-sample’ data. In other words one can see how they performed in life years after they have been proposed. And like the VW bug, they are … Read more