- 08/09/2015 at 9:25 am #28830
we generally do not recommend using our strategies with options, and therefore do not provide details guidance for it. Main reason is the additional complexity in running backtests with option chains, which would be needed to verify the results.08/09/2015 at 9:30 am #28831
the World Top 4 Strategy is now included in both online and offline Portfolio Builder, see here
We decided not to include it in the beta signal consolidation sheet, as it would add another 40 ETF to the already long list. We´re still working on a better consolidating mechanism.08/09/2015 at 9:32 am #28832
sorry for the delay in my response. We decided not to include the World Top 4 Strategy in the beta signal consolidation sheet, as it would add another 40 ETF to the already long list, and make the sheet bearly workable. We´re still working on a better consolidating mechanism and will come back soon.08/09/2015 at 9:43 am #28833
thanks for the excellent post and detailed questions, which I answer on bold below:
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.
–> We choose bonds as “crash correction” not because of their current absolute pricing or performance, but we expect them to be the safe heaven of choice in any major market turmoil – independent on how they are priced immediately before. In this sense, we do not bet on pricing before or after a rate hike.
QUESTION: Which strategies might be expected to perform best in this type of expected market conditions?
–> We have noticed this year that the bull market has flattened out in 2015, and major markets are going sideways – while stress signals come from commodities and some overseas equity markets. Hard to predict where this will go, therefore we just do not try to predict, but remain invested in a broad portfolio of strategies.
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.
–> Yes, but you can see the contango to go down since 2011, e.g. performance boost from inverted volatility being reduced recently.
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.
–> On the three above: Yes, our effort is to make different investment options available that should work in any market environment. Choosing a broad portfolio of strategies using our Portfolio Builder should provide the best setup for stable results with reduced volatility.
As you raised some rather broad and deep questions, I would be very interestes to see comments from other followers also. If needed let’s open a different forum topic on this.
All the best,
Alex08/09/2015 at 9:44 am #28834
Richard, thanks for the excellent suggestion, will add it to our list for developments.09/05/2015 at 2:15 pm #29448RichardParticipant
Any update on the “Infamous Gold Version”? Looking forward to it!
Thanks.09/20/2015 at 1:51 pm #29635
Richard, sorry for the delay, but we’ve not been able to get to a stable version yet – but continue the development.12/23/2015 at 11:40 am #30968RichardParticipant
I am still interested in seeing the NASDAQ 100 Meta included in the “Portfolio Builder”.06/21/2017 at 6:49 am #42778
We´ll include the newly launched US Sector Rotation Strategy in both the online and offline version towards the end of June.08/19/2018 at 1:00 pm #54505chichucha123Participant
Hi, I see Alexander that you said in a comment (years ago, heh!):
“Using the SPY-TLT signals and then executing with SPXL-TMF leads to inferior performance compared to running the signals directly for SPXL-TMF. This comes from the roll-loss of the leveraged ETF, where the daily leverage leads to tracking errors compared with the underlying ETF.”
I guess that shorting -3x would give better results than going long using directly the 3x UIS strategy. I’d like to use the strategy that performs better, so: Should I short the SPXS & TMV using the SPY-TLT signals from the UIS strategy, or should I short SPXS & TMV using the SPXL-TMF signals from the 3x UIS strategy? Which approach would give the better results?08/19/2018 at 6:35 pm #54508
The best is to use our QuantTrader app, there we have all three UIS strategies (simple long, 3x long, 3x short) and the signals vary among them as stated.
Download QuantTrader from here, then log-in with the web credentials.08/12/2019 at 4:23 am #68964
We’re reopening this thread to improve the structure of the forum09/07/2019 at 11:47 am #70277R D HATHCOCKParticipant
I belong to another service on Seeking Alpha and have recommended UIS 3x to other members; I sent them your link, etc. The service recommends 3x funds of all kinds on a weekly basis, and sometimes has long stocks like TECL/SOXL together with UGLD and/or TMF. But they are not managed in the hedge, max sharpe, fashion that LI does.
I use QT to determine the proper hedge.09/08/2019 at 1:27 pm #70340
Thanks for the referral RD, very kind of you! We could certainly also do a more aggressive UIS picking individual sectors with leveraged ETF like TECL/SOXL, did you try already in QuantTrader?09/09/2019 at 9:59 am #70359R D HATHCOCKParticipant
Yes, I have built them into QT, but I keep my models simple and don’t use the mean reversion/etc. that you guys use on SPXL. So, a strategy that you guys develop would be much better than mine. Since QQQ is used in your US market, you could also develop a TQQQ/Hedge.
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