Nasdaq100 Dec-18 Update – Performance Issue

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  • #57135

    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?


    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

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