Experienced investors: Investment Portfolios

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    Alexander Horn

    Yes, you are correct. This periodic rebalancing – to keep stable fixed weights – means you add to the lagers taking from the top-performers. I have no particular article about this in mind, but generally there is a lot on rebalancing portfolios on the web – one of the items MPT academics most love.

    On MYRS maybe I did not properly explain myself. In Jan – Feb this year the enormous jumps in volatility (ZIV) and fixed income (EDV) would have caused a big divergence between rebalancing the strategy itself monthly, bi-monthly, weekly or even daily. We use bi-weekly just because of these volatility jumps, e.g. to be more reactive compared to the other monthly strategies. Now, with this periodic rebalancing at the strategy level being in place already, the effect of changing the rebalancing period at the portfolio becomes less significant.

    Now, what about reverting this – adding to the leaders, taking from the lagers, e.g. a ‘trend-following approach? This is exactly what we’re about to finish and publish – our (long-teased) Meta-Strategies. Main argument for ourselves is that strategies might outperform or contrary stop working in different market environments – and you nicely see this even in the 2008-2015 period in the charts. So we dynamically allocate more to the leaders, and even might not allocate anything to a (relatively) underperforming strategy. You can see some preliminary ideas in the post above.


    HI LI; Greatly anticipating the MetaStrategy and targeted volatility calc. Regarding the portfolio optimizer that looks back to 2008. Several of the LI strategies (MYRS, GMRE) have changed from top picks to a sharpe optmized pair. Also the UIS strategy goes through the same variation with time with a sharpe optimization. I assume the archived data on the portfolio optimizer incorporates these changes over time ?
    Cheers, Greg

    Alexander Horn

    Greg, yes, based on several suggestions the equity lines in the Portfolio Builder show the ‘adaptive allocations’ in GMRS, MYRS and BRS.

    In contrast, on the charts of the individual strategy pages we highlight when these new algorithms were introduced, and show the allocations a long time follower would have been invested in, so kind of ‘fixed’ history.


    Hi Guys! How difficult would it be to add a time slider to the bottom of the portfolio builder graph results above, like you have on the individual strategy pages? That way we could slide time around, zoom in, and see how the portfolio did during certain times, as opposed to just seeing the big picture. Thanks.

    Alexander Horn

    Matt, do your mean like this? Slicing and dicing on the timescale and then getting CAGR,Volatility, Sharpe, etc for the selected timeframe?


    Stay tuned for the infamous ‘Gold Version’… :-)


    There is an error in the Custom Input option at the top table:

    1. Select Custom input
    2. Enter a number for BRS strategy
    3. Same number appears for BUGST strategy in the bottom table where it calculates volatility, drawdowns etc..

    Please check…

    Please also add the World Top 4 strategy when possible.


    Alexander Horn

    Hi Tapan, thanks for the hint! Found and corrected it. Can´t protect the sheet enough, there is always someone who finds a new way to overwrite a cell unwillingly :-) Sorry for that!



    Clueless Newbie here. Do you have any examples of how to use your UIS strategies with options?

    You mention selling OTM puts, but I don’t see how they would participate significantly in moves of the underlying.

    My first inclination would have been to buy deep ITM calls to take advantage of changes in intrinsic value.

    So, I’d like to see some examples of how you do it.

    Supal Patel

    Any plan to update this tool to include newly introduced top 4 countries strategy?

    Michael Cave

    Is there an update on the ‘meta-strategies’?


    Hi, World Top 4 is missing in the column of Consolidated Portfolio worksheet – it was there last month. Could you please check? Thanks.


    Will be back up shortly; sorry for delay.
    It will be here https://logical-invest.com/blog/strategy-signals-consolidated/


    Hi, World Top 4 is missing in the column of Consolidated Portfolio worksheet – it was there last month. Could you please check? Thanks.


    Greetings! I am a new subscriber and this is my first post. I am curious to hear other opinions on strategy selection/mix going forward if we expect lower returns from US equities over the next few years and believe that the long bull market in bonds is coming to an end. Let me try to formalize the question as follows:

    THESIS: The post-crisis rally in U.S. equities has run far and long, and we should expect lower returns for the next several years. In addition, it is difficult to imagine that bond yields will continue to decline during this period.

    QUESTION: Which strategies might be expected to perform best in this type of expected market conditions?

    I list below the strategies that I prefer given the thesis above, but am very interested to hear the opinions of others.

    MYRS: In a sideways or slowly grinding market, the VIX futures should remain in a state of contango and we can still capitalize on the monthly roll yield.

    Top 4 World: If the U.S. Stock market under-performs over the next few years, perhaps it will pass the baton to some other country or countries.

    Global Market Rotation: Similar argument as Top 4 World strategy.

    Global Sector Rotation: In any sideways market, one can usually find individual sectors that out-perform.

    Any thoughts?



    Once again excellent work and a most helpful tool.

    Another suggestion: Include a date slider on the plot for the “built” portfolio like is provided on the individual strategies, and also present the stats for the date period selected.


Viewing 15 posts - 61 through 75 (of 91 total)
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