Nasdaq100 Dec-18 Update – Performance Issue

[StefanM]

Hi all,

I have just booted up QT514 and accepted the strategy updates, in particular, Nasdaq100 in advance of the January 2019 rebalance.

Somewhat concerningly, performance has fallen significantly:
2 year results:
old Nasdaq100 strategy: 153% from 28/12/16-28/12/18
new Nasdaq100 strategy: 113% from 28/12/16-28/12/18.

10 year results:
old Nasdaq100 strategy: 2986% from 28/12/08-28/12/18
new Nasdaq100 strategy: 559% from 28/12/08-28/12/18.

As we are on the verge of the January rebalance, can I please recommend the strategy changes be checked at the earliest opportunity?

Thanks

[Frank Grossmann]

It is correct. One problem is that many very good performing companies we have been invested are disappearing because they are bought by other companies. I would say that you can not look back more than 5 years.
The other cause is that the balanced strategy which now is slightly more conservative, selecting more the low volatility strategy. This obviously propagates back to the past when we had a low volatility market and the leader strategy was selected much more. In a high volatility market environment going forward, the leader strategy however is quite dangerous.
Reason number 3 is that the new hedge is not using 3x leveraged Treasuries and Gold anymore, so the strategy itself is less leveraged.

Regards Frank

[Author]

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