Portfolio Builder – Old

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Portfolio Builder – Old 2017-09-30T15:55:11+00:00
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  • Alexander Horn
    Keymaster
    Post count: 323
    #45997 |

    This is a backup thread for the Portfolio Builder Tool

  • daniel morton
    Participant
    Post count: 18

    Hi Alex,

    do you know what is the tracking error with EPG? As you know I have been following your signals for several years, my tracking is very far off and I believe 80% negative as compared with your reported earnings. Other than order error e.g. wrong amount, wrong ticker, and my purchase/sale price being different is there anything else you can think of that can attribute to this tracking error? Presumably the difference in timing on purchase/price i.e. close vs opening bid should somehow net out. Thanks.

    • Alexander Horn
      Keymaster
      Post count: 323

      Hi Daniel,

      we´re just doing an article about the first 6 months of being live with the EPG managed accounts – will include real performance so everybody can track.

      There are only three variables which can lead to a tracking error, here with some comments on how to minimize:
      – Execution prices: Our signal subscribers indeed have a delay between at-close and at-open, but as we stated before this should balance out. Using QuantTrader you can cut signals intraday, let´s say 2pm EST, and implement yet before close.
      – Transaction costs: With our monthly rebalancing and using a low-cost broker this should be in the range of 0.1% p.a.
      – Taxes: Depends whether you´re running cash or tax deferred account, where and how you´re taxed – hard to estimate for us, but indeed can be a main source of a tracking error.

      Other than that we cannot identify any other factor which would lead to what you observe – but happy to track jointly for some months if you´re willing to share your account.

  • Alexander Horn
    Keymaster
    Post count: 323

    Please share feedback, further enhancements and any error you might encounter.

  • rkpagadala
    Participant
    Post count: 1

    What do the following mean?

    Lev 2: Max Sharpe
    Lev 2: Min Volatility
    Lev 2: Max 15% Volatility

    Also clicking on “See Notes and help” does nothing.

  • Alexander Horn
    Keymaster
    Post count: 323

    The ‘Lev 2’ options simulate a 2 times leverage, that is allocating 200% of the amount you input. I´ve written about them in the last Post, see here, middle of post. Thanks for reporting the issue with the button, fixed.

  • Sunil Bhatia
    Participant
    Post count: 27

    In the Custom Portfolio tab, when I input my chosen percentages, the tool works great.

    The Portfolio Options tab is not working for me on Internet Explorer.

  • Mark
    Participant
    Post count: 7

    Thank you, good tool. Any progress on reducing the number of strategies without significantly impacting performance? I’d like to use 3-4 strategies to keep the number of etfs manageable.

  • Greg
    Participant
    Post count: 6

    Hello LI – really like the tool and ease of us but I don’t see any functions to exclude certain portfolios like the Excel version permits. Am I missing something or is it an all or nothing comparison? Cheers, Greg

  • Sunil Bhatia
    Participant
    Post count: 27

    Hello Alexander,

    I need your help. This Portfolio Builder is an amazing tool and works so well.

    I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

    I would like to be able to see Annual returns, and drawdowns every year from 2008-2016. Can I download the data in Excel and it will show me that info? Because the tool at the bottom only shows a chart and shows correlation data.

    Thanks for your attention to this request.

  • Richard Brucker
    Participant
    Post count: 1

    Alexander, fantastic tool.

    In order to keep the number of monthly share changes reasonable, I would like to deal with a smaller number of portfolio options, but yet utilize “Portfolio Options” rather than “Custom Portfolio” when using the portfolio builder tool. Would it be possible to eliminate some of the portfolio options and still utilize the “Portfolio Options” aspect of the builder tool?

    I can accomplish the same thing using “Custom Portfolio” and then running multiple iterations to achieve the desired characteristics, but this approach is labor intensive.

    Thanks for your help.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Richard, have you had a look at the Excel Portfolio Builder? This allows you to choose the Strategies you want to include, and then optimize for return with constraints on volatility and drawdown. I guess this is what you are looking for. As mentioned above I will also publish some new portfolio with only 3-4 strategies employed.

  • reuptake
    Participant
    Post count: 40

    Is it possible to simulate the MYRS before 2012? Does the fact that pre-2012 data for MYRS is not available affects results a lot?

  • Alexander Horn
    Keymaster
    Post count: 323

    From a performance perspective, both are about the same, but fundamentally the are quite different (3x Bond/3x Equity vs Bond/Inverse Volatility). Both are very aggressive, and should therefore be used only for a fraction of ones investment.

  • Alexander Horn
    Keymaster
    Post count: 323

    Oh yes, I´m also invested in both among others and today was indeed ugly!

    Both strategies have a Bond Component which acts as crash-protection during longer drawdowns. But keep in mind that this does not protect from days like today when everything goes south!

    Today:
    SPY – 2.45%
    TLT -1.65%
    Gld -0.66%

    There are many acticles about record-high cross-asset correlation, today was a nice example: http://www.bloomberg.com/news/articles/2016-09-08/asset-contagion-worse-than-2008-as-markets-held-hostage-to-rates

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil,

    this is a very good question which is one of the main motivations for us to research – our own skin (and money) is in also!

    What are your options in a drawdown?
    – Go to cash inmediately after any drop using stop-loss: You will suffer horrible whipsaws, and/or get stopped out at the worst possible moment.
    – Permanently hold hedges through options or shorting equity: Eats into profits over long-term.
    – Employ cash rotation algorithm to go to cash: Best you can do is limit your loss, but cash value will not increase
    – Or: Use rotation algorithm to safe haven (Treasuries, Gold, JPY) as we do – and here comes the correlation to play.

    Here two charts, one for:
    Short-term, 10days, cross-asset correlation (what Bloomberg and other articles refer to) and
    medium-term, 60days, cross-asset correlation,
    both for correlation betwen S&P500 SPY and each TLT, EDV, TMF, Gld

    You can see that the current 10day correlation is high for all (0.57 to 0.7), but 60day correlation quite low (-0.4 to -0.52). So even if short term correlation is high, the flight into safe havens will help you not only to limit losses, but due to negative correlation also offset part of it.

    Diversification among several strategies is another way to limit losses and/or benefit from volatility and cross-strategy correlation as I´ve shown in the recent post about correlation.

    Here a short live video from an AAII presentation: https://www.youtube.com/watch?v=EceUsc4CBtk, and here the Excel data for the charts above.

    Hope this helps, happy to further discuss.

  • reuptake
    Participant
    Post count: 40

    This is very interesting, thank you. I had the same question in my mind, Sunil asked it first.

    And I had an idea, but after looking at this chart I wonder if it’s still valid. My idea is to check the correlation for some past period (eg. 1 month) and slightly adjust allocations based on it. Example: let’s assume that allocation for next month would be 50/50 SPY/TLT and let’s assume that “typical” (long term) correlation between SPY and TLT is -0.6. If in the previous month the average correlation was higher (eg. -0.2) we’d allocate 40/60 SPY/TLT, using bit more hedge – because we’re assuming that TLT is for some reason less efficient hedge.

    Another idea is to use different hedges (again, based on short term correlation). So if recently GLD is a better hedge use GLD.

    This of course has to be backtested. I don’t have much hope it will improve results, but who knows?

  • James Vitale
    Participant
    Post count: 4

    Hi Alex

    I read that the Custom Portfolio Builder and the Consolidated Signals were still being tested. Are they out of beta and confirmed ready to use at this time??

    Many thanks
    Jim V

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Jim, yes, both tools are ready to use thanks to the many feedback. I´ve taken the ´beta´status comment out.

  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    The monthly returns for September in the Online Portfolio Builder tool are understating the returns for the Portfolio that I have. Is there a bug in the monthly calculations for September or has it perhaps not been updated yet for September monthly returns?

  • Sunil Bhatia
    Participant
    Post count: 27

    Alex,

    In the Max. Yield Strategy you folks wrote ZIV & TLT in the email and the Online Portfolio Builder tool was also picking TLT. It has since been corrected to TMF from TLT. No email revision was sent out. Please clarify. Thanks.

  • James Vitale
    Participant
    Post count: 4

    Hi Alex

    I read and understand that the Portfolio Builder Online vs Excel gives (significantly) different results for a portfolio and why…….But I’m not sure what one is most valid. I’m making some major investment decisions soon and need your recommendation on whether to use the online or the Excel results.

    Thanks
    Jim

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Jim, thanks for your understanding. I´d suggest you use the Online Portfolio Builder for performance analytics then. We´ll continue developing it in the next months with further features, so it´s the tool to use.

  • Alexander Horn
    Keymaster
    Post count: 323

    Here a short summary on how to build some of the portfolio options from the Portfolio Builder in QuantShare, and further enhance them with different algorithms: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-38652

  • Michael Wagner
    Participant
    Post count: 1

    I am new to this and have a question about re-balancing in the 15% max DD portfolio. In order to stay true to the back tested results, when the mid month signal comes for the “maximum yield rotation” portion of the strategy, do I re-balance the entire portfolio TMF position or just the portion of TMF that is allocated to the MYR position?
    Thanks. Mike

  • reuptake
    Participant
    Post count: 40

    You should only rebalance the MYRS part of it. It’s a bit tricky, I have my own Excel sheet to do this. To be honest, when there’s no allocation change to TMF/ZIV I sometimes skip mid month rebalancing.

  • Derrick Scheid
    Participant
    Post count: 17

    I noticed my returns have been different than your portfolio builder tool reflect, I thought it was just normal timing and slippage differences however the discrepancy was larger in March. When I compare the numbers on this portfolio builder tool to those on the strategy signals page they are different. For example when I enter 100% UIS on the custom portfolio tab above I would expect the monthly numbers to match those on the simple strategy signals page but they do not.
    Jan.-Mar. custom port. builder shows: 1.40%, 2.45% -.78%
    The strategies signals page shows: 1.34%, 2.52% -.19%
    Not a huge difference, but when combined with my other 2 strategies that are also slightly different the discrepancy grows. (My custom portfolio returned 2.92% in March, when I input my custom portfolio above it shows just .57% for March)

    Any idea why this is happening? I have found this to be a very helpful tool, so I just want to be sure I understand how it works.

    Thank you.

  • reuptake
    Participant
    Post count: 40

    From what I understand performance tables are using closing price from the day before we receive the signal email. Eg. if we get the signal on April 1, for strategy performance table price on close March 31 is used.

    This is unrealistic, since we cannot trade on closing price as we don’t have signal.

    Please correct me if I’m wrong. If not, I think it should be corrected.

  • John McLean
    Participant
    Post count: 2

    Note also posted on FB direct message.

    I am a subscriber to all portfolios and have chosen 25% each in Bond Rotation, Nasdaq 100, Global Sector and Max Yield.

    Through the 24th of April the returns for each from your website were as follows:

    BRS 1.27%
    Nasdaq 1.86%
    Global Sector 1.52%
    Max Yield 3.41%

    Yet the return shown for the month from the custom portfolio table for this allocation is 3.05%. This is incorrect. My calculations using your returns (not mine which seem lower) show it should be 2.015%. Please check this out and see what the problem is. I am making financial decisions based on the information you are presenting. The presumption is that this information is correct. Now I am wondering about all of the returns you are representing. Are they correct??

  • Mohamed Yosry
    Participant
    Post count: 7

    Hi Alex,
    If I want to get the latest allocation for certain portfolio (i.e. CAGR 15% Vol) at 3 PM to rebalance before the end of trading day, which portfolio builder would I use, online or Excel version? Is there a plan to integrate these portfolios with QuantTrader software in the futures? Thanks.

  • Mohamed Yosry
    Participant
    Post count: 7

    Thanks Alex but QuantTrader will not give you for example Max CARG with variable Vol% unless there is a way to get it taht I am not aware of.

  • daniel morton
    Participant
    Post count: 18

    Hi Alex,

    Can you please add drawdown duration. Thanks.

  • Don Krafft
    Participant
    Post count: 4

    Hello Alexander,

    What is the source of your stock quotes? I thought you were getting them from Yahoo finance but I see that their API is no longer working for providing stock quotes. I was using that source for a separate analysis spreadsheet that I use. I’m looking for a new source for historical quotes.

    Thanks,

    Don

  • daniel morton
    Post count: 0

    Hi Alex,

    Can you pls add Sortino ratio as a variable and allow the ability to maximize on Sortino. Thanks.

  • Trent
    Participant
    Post count: 2

    Hi Alex,

    Are there plans for the new USA Sector Rotation Strategy to be included within the Portfolio Builder options?

    Regards, Trent

  • Richard
    Moderator
    Post count: 22

    Hello Alex,

    Would you provide a pointer to the latest Excel version of Portfolio Builder, my latest download was around the first of the year and I can’t locate the link on the web site.

    Regards, Richard

  • Mark Charles
    Participant
    Post count: 1

    Hello Alex,
    Would you provide a pointer to the latest Excel version of Portfolio Builder, my latest download was around the first of the year and I can’t locate the link on the web site.
    Regards, Richard

    try here Richard…..

    Strategy Signals Simple

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks to both, was too late 🙂

  • Richard
    Moderator
    Post count: 22

    Looks like NASDAQ100 line in PB online is improperly reporting. Note that the statistics are reporting out as 0% See att.

    Attachments:
  • Justin Jung
    Participant
    Post count: 1

    I have just noticed that Custom Portfolio builder has missing data for Nasdaq 100 (CAGR, volatility, sharpe, max DD).
    Thanks
    Justin

  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    In the Online Portfolio Builder, is the Max. Drawdown number based on weekly or monthly drawdowns in the latest version?

    Thanks.

  • daniel morton
    Participant
    Post count: 18

    Hi Daniel,
    the Sortino ratio and Days-to-Recover / Drawdown duration are already in the Excel tool, I do not want to overload the online tool with them for the time being. Let me do some tests with optimizing for Sortino to discuss with you, if it´s showing superior performance we can include the feature.

    Thanks.

  • Richard
    Moderator
    Post count: 22

    Hello Alex,

    It appears On-line portfoliobuilder is mis-reporting monthly return dates. (08/09/2017)
    Note, as shown in the attachment, that returns are shown through 8/2016 rather than 8/2017.

    Attachments:
    1 user thanked author for this post.
  • BL SMITH
    Post count: 0

    Why are the Year Dates in the return matrix apparently off by one year?

    1 user thanked author for this post.
  • trr
    Participant
    Post count: 8

    This page is very useful and a pleasure to use, but I’d like to echo Greg’s comment from a year ago: it would be even more useful if there were a way of excluding some strategies from the calculations. Perhaps a column of toggle-buttons added to the strategy table at the top of the page would do this neatly? I know this functionality exists in the Excel spreadsheet, and you are trying to keep this page simple, but it is far preferable to use this page than mess around with Excel.

  • R D HATHCOCK
    Participant
    Post count: 6

    Alex,
    I am curious to know whether or not you have considered calculating and using the Sortino vs./or together with/ the Sharpe Ratio?

  • Richard
    Moderator
    Post count: 22

    Hello Alex,
    Here’s another conundrum for you: I noted an inconsistency between the on-line PB’s YTD CAGR for a 100% MYRS portfolio and the return reported in the strategy summary, i.e., 39.72% vs 45.72%, respectively. The relevant screens are shown in the attachment.

    Looking forward to the re-optimization.
    As always thanks for the good work.

    Attachments:
  • Alexander Horn
    Keymaster
    Post count: 323

    Have just updated the Excel Portfolio Builder, see thread here.

    This includes the new optimization of the portfolios now considering also the US Sector Strategy. Will summarize in a post next week and then update in the Online Portfolio Builder after month-end rebalancing – but feel free to review in the offline tool already.

  • Calvin Elmore
    Participant
    Post count: 4

    What is the look-back period for Portfolio Builder.

    Specifically what time-frame is used by the optimization routine for CAGR, Volatility, Sharpe and MaxDD. It would appears from the strategy data on Portfolio Builder Options matrix that it used data averaged since inception.

    If that is the case then intermediate-term (3-9 months) results have minimal effect on objective results. Is this correct? Or do I misunderstand how the algo works?

    Cheers! Cal

  • Sunil Bhatia
    Participant
    Post count: 27

    Hello Alex,

    We just received the monthly emails for all strategies. These emails report YTD performance numbers.

    When I go to the Online Portfolio Builder and choose the Custom option and if I select 100% toward MYRS, the numbers for YTD performance in the table below the chart are smaller than YTD returns reported in the emails.

    Example:
    MYRS – Online tool shows 37.57%. Email says it is 43.96%.

    Please fix the Online Portfolio Builder to reflect the correct numbers. This is a valuable tool.

    Thanks.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil, yes, there are still some compatibility issues with some versions of Internet Explorer – actually it should give you a warning at the top. Best to use Chrome or Firefox till we got this ironed out.

  • Sunil Bhatia
    Participant
    Post count: 27

    Thanks. Yes, it’s working better in Chrome. By the way, where do I find the annual CAGR & Max. Drawdown in numerical form (instead of graphical) for each year 2009-2016 for the Custom Portfolio. When I scroll down I only see graphs.

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks Sunil, will put the yearly stats on my evergrowing todo list 🙂

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil,

    have added a monthly and yearly CAGR matrix above, think this also is ok for seing the MaxDD. Please let me know if this is what you´ve been looking for.

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks Mark! Have some portfolios ready, will post them within a week. I also think 3-4 strategies is the maximum reasosable number to handle.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Greg, the idea of the preconfigured portfolios in the online version is rather to be used as a starting point for your own custom portfolio. I do not want to overload it with solver optimizations, but rather keep it simple and easy to understand. You can always do advanced analysis in the Excel tool and then simply copy over your final Custom Portfolio, this is how I handle it for my own – but always open to suggestions.

    Next Excel version is basically ready, will post it over the weekend.

  • Alexander Horn
    Keymaster
    Post count: 323

    Sunil, will try to quickly put some simple performance statistics into the tool, and then we go from there to further enhance them based on community feedback, ok?

  • Sunil Bhatia
    Participant
    Post count: 27

    ONLINE PORTFOLIO BUILDER Vs. EXCEL PORTFOLIO BUILDER: DIFFERENT RESULTS DISTURBING. WHICH TO TRUST.

    I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

    The Excel version gives 29% CAGR and 12.4% Max. Drawdown.

    Please help resolve my confusion and uncertainty. I think you guys are doing a great job and after you rolled out these tools, I have increased the AUM utilizing your strategies, but now feeling nervous i.e., what is the results are too good to be true.

    Helping provide some details on how the drawdown goes down to 4.8% when each strategy has double digit drawdowns will help. If you want to do this offline, send me an email and we can one on one communication and not bore the rest of the subscribers. Thanks

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil,

    thanks for your interest in the tools, appreciate the feedback. The differences are due to different timeframes and granularity between the Excel and Online tool, when looking at performance data both need to be always considered.

    The Excel tool is based on daily returns of our strategies, while online I can only use the weekly returns to avoid making the tool too slow. This causes two effects, one being a 3 month offset of the timeframe (Excel from 4/25/2008, Online from 1/22/2008, both till last trading day) and a change in granularity which affects especially Volatility and Max DrawDown.

    The results in CAGR ( and volatility) are basically from the 3 months offset, the difference in MaxDD might need an additional explanation:

    What is MaxDD actually? There is a realized MaxDrawDown, i.e. the peek-to-valley you see in your account balance when you rebalance monthly, e.g. not considering the unrealized gains and losses, And then there is unrealized DrawDown, the peek-to-valley you observe on a daily, weekly or even intraday when you look at your account including currently invested.

    Online you see a small weekly DrawDown of 4.8% (e.g. on a weekly level the max “reduction” including unrealized gains/losses), while the Excel tools give you the opportunity to see daily drawdown – much bigger dives of up to 12.4%. See here a previous post including a chart and Excel to explain.

    More confused now? Good! We´ll always try to make you deep-dive into and reflect on the numbers – there are no easy answers – sorry.

    Happy to further discuss,
    Alex

  • Alexander Horn
    Keymaster
    Post count: 323

    The issue is that ZIV was only issued in 2011, so any synthetic backtest (data is available) would be meaningless. For the portfolio builder we´re taking a very conservative approach and ignore any allocation to the MYRS prior to inception, that is we exclude the allocation from the calculation. This is the reason the strategy performance only shows 27% instead of the 42.9% real performance 2011-2016 on the strategy page.

  • Sunil Bhatia
    Participant
    Post count: 27

    Thanks Alex. Yes can see the monthly & annual performance. Where can I see the Max. Drawdown, I am not sure where to find that.

    By the way has this feature for monthly and annual performance & MaxDD been added to the Excel version as well?

  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    Thanks for adding monthly and annual returns to the Portfolio Builder tool. This is a great enhancement.

    I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

    Can you please check October, 2011. The matrix shows only -0.55% as the monthly return. The actual for this month is closer to -5.00%

    Thanks again.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil,

    Thanks for the feedback, appreciated as always!

    Had a look into this in depth, and the data is right as shown. Monthly Return versus DrawDown sometimes is not very intuitive though, it depends on when the HighestHigh (Peak) and the Low (valley/through) has occurred, and also whether the data is on daily, weekly or even monthly frequency.

    Below a chart and attached an Excel table, will also write a short post as I guess many people have the same question:

    Here comes the science:
    In the case of the Excel tool where you can see the data, the peak in the equity line of 202 was reached 9/22, so the drawdown vs the Low on 10/27 indeed is 6.9%. At the same time, the monthly return between 9/30 (196.7) and 10/31 (194) was -1.3%. So the drawdown started before October, and partly recovered before end of October, it was not fully realized in October

    Now, in the Online version I only use weekly data to keep the tool fast enough, second graph:
    There the peak in the equity line of 199 was reached 10/3, so the drawdown vs the Low on 10/24 is 4.2%. The monthly return between 9/26 (195) and 10/31 (194) was -0.5%, what I show in the Online tool. So the drawdown started in October (the peak of 202 during the week of 9/22 is ignored), and partly recovered before end of October, also here, it was not fully realized in October

    Hope this explains,
    All the best,
    Alex

    Return and DrawDown

    Attachments:
  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    Thanks for the detailed explanation. I agree with you that the monthly returns are not the same as max. drawdown.

    If in the matrix you just created at the bottom of the tool for monthly and annual returns, if you can please add one column for max. drawdown for each year and indicate month in which that drawdown occurred, then everything becomes crystal clear.

    Thanks again for all you do. Much appreciated!

  • Alexander Horn
    Keymaster
    Post count: 323

    Have just added the Drawdown as requested, please have a look.

  • Sunil Bhatia
    Participant
    Post count: 27

    Alex,

    You guys are awesome. The addition of drawdown makes this a complete tool and a great one at that.

    By the way, in the Online Portfolio Builder (weekly numbers) vs. Offline Excel Portfolio Builder there will be differences in max. drawdown numbers, but why are there differences in CAGR numbers? For my custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%), the online version gives a CAGR of 22% and Max. drawdown of 4.8% and the Excel version gives CAGR of 27.5% and Max. Drawdown of 6.96%.

    Finally, is there a way you can please add the monthly & annual returns as well as max. drawdown information as a separate tab to the offline Excel version of Portfolio Builder?

    Thank you so much. Much appreciate every effort you put in towards customer requests.

  • Alexander Horn
    Keymaster
    Post count: 323

    My Pleasure! “Tu me dices rana y yo brinco” – You tell me frog and I jump 🙂

    The differences between Excel and Online version come from the different timeframes, there is a three months off-set in the Excel tool, so some of the flat days in early 2008 are excluded, which increases the CAGR. Think I will rather move the Excel version also to weekly data and exactly same timeframe to eliminate these confusing differences. We´ll loose some details but then everything matches.

    Will include the statistics by year/month in the Excel tool also.

  • Sunil Bhatia
    Participant
    Post count: 27

    Thanks Alex. I understand the differences much better now.

    By the way, my 2 cents – You don’t need to move the Excel version to weekly just to match with online version. The daily details on returns are good to have in that version if anyone wants to refer to them for whatever reasons.

    “Best Quantitative Strategies available today combined with the best in class tools like The Online Portfolio Builder & The Online Allocation Tool. Makes it easy for an investor to just spend a few minutes every month and the algorithms do the rest. Unbelievable ease of use combined with Fantastic risk-adjusted results”.

  • reuptake
    Participant
    Post count: 40

    Thanks. So in fact MYRS is more aggressive than 3xUIS?

    BTW: the monthly/yearly profit table is very helpful, thanks!

  • reuptake
    Participant
    Post count: 40

    The reason I ask is because I wonder which one would perform better in case of crisis like 2007/2008. Today wasn’t a good day for both strategies…

  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    Based on the Bloomberg article link in your post above, if the negative correlation between stocks and treasury bonds breaks down, then would not all Logical-Invest strategies produce negative returns at the same time, causing huge drawdowns?

    Since the strategies do not employ shorting the equity or bond markets, the only way to escape those drawdowns would be to go to cash, right?

    Can you or Frank comment on how the strategies would react in a scenario (worse than 2008) from a breakdown in correlations, as the Bloomberg article is predicting is happening right now?

    Thanks for your insights!

  • Sunil Bhatia
    Participant
    Post count: 27

    Hi Alex,

    Thanks for the recap on the 10-day and 60-day correlations between asset classes. Appreciate the Youtube videos as well from the AAII conference.

    Do you keep this correlation data on the website for subscribers to access? If so is it the same links as indicated above?

    By the way, the reason I have part of my portfolio in a basket of 5 Logical-Invest strategies is that you, Frank and others at LI invest your own money in these strategies and are fully incented to improve them and add strategies.

    Are you rolling out the monthly system which will advise which strategies to overweight in the upcoming month?

    Thanks again for all you do. Truly appreciate it.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil,

    here a quick tool for tracking correlations of several instruments. You can save your own copy on google drive after opening: https://docs.google.com/spreadsheets/d/1zGNXdyqicycmU6ywee9dxO9bGf3MsEaUquPi0_amg64/edit#gid=0

    I can also put something more stable on our site if there is interest.

  • Sunil Bhatia
    Participant
    Post count: 27

    Alex,

    Thanks for providing the correlation link. Any page you can put up on the web site regarding correlation data would be extremely useful.

  • Sunil Bhatia
    Participant
    Post count: 27

    Alex,

    As an example if you input 100% into the Online Portfolio Builder Tool for Nasdaq 100 strategy, it shows a monthly return of only 0.77% for September, 2016. It is thus showing the YTD 2016 return of 16.46%

    Was the return not closer to 2.9% for September, 2016 and the YTD 2016 return was 18.23% as reported in the email yesterday?

    Can you please update numbers for September or fix the bug if any.

    Thanks very much for all you do. Much appreciated!

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil, you are right, this is once again due to the weekly data used in the Online tool. By next week the MoM and YTD numbers will be updated.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hello Sunil, it had been right in the signal post and email, but wrong in the tools and tables. Vangelis has adressed it here.

    Sorry for the error, will monitor more closely in future.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Michael,

    excellent question, also came up yesterday in this post: https://logical-invest.com/forums/topic/quants-more-technical-details-facts-and-discussion/#post-38951

    Generally all strategies and portfolios of strategies should be rebalanced monthly. If you trade Maximum Yield, then this should be rebalanced every two weeks. If you have a portfolio of different strategies, with one being Maximum Yield, then rebalance the Maximum Yield ETF every two weeks, but the overall portfolio only once a month.

    If you use the “Consolidated Signals” page, then everything is done in one step, just use the “Total Weighting” column, which is considering the allocations of ETF within Strategies as well as the weighting between strategies.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Derrick,

    thanks for the comment! The tool works on a weekly base vs the performance calculations for the strategy signals which are daily, so the rebalancing and compounding is slightly different. Especially if you only look at one month you will also have a shift of several days.

    I currently cannot put the online tool on a daily mode, it becomes too slow. So for exacter analysis please use the Excel Portfolio Builder for the time being. This reflects the daily data from the strategy signals so you can verify the daily performance and prices.

    Hope this explains,
    All the best

  • dfbrobst
    Participant
    Post count: 3

    Sir, I had similar issues, ie slippage and market movements from last day of the month close to first day of the month open. I chose to subscribe to the QT (an extra $500 per year), and now I run the signals 90 minutes or so before the close.

    I’m now able to use Market on Close orders at my broker, and get the exact same results as the systems.

    Good luck. D

    1 user thanked author for this post.
  • reuptake
    Participant
    Post count: 40

    Thanks for the suggestion, it’s worth considering. $500 is quite a price for this. Theoretically it shouldn’t impact performance that much, and this impact shouldn’t be always negative (in my case it’s mostly negative, but maybe in the long term it will average to zero).

    That said I think it’s bit misleading to use price that is not available to subscribers. Open price from next day would be more realistic.

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks for the comment, had a similar discussion over email recently.

    The portfolio builder is based on weekly data to make it speedy enough for real-time queries. Thus the base for the performance calculation in the monthly table is always the last week of the preceeding week, here March 27. So for April the calculation is currently for the three weeks since 3/27 until 4/21 (week of 4/17).

    Doing the math on daily data you probably took 3/31 until 4/24, this explains the gap. Below the underlying data so you can reconcile, see especially the 1.74% in the week of 3/27.

    The initial idea for the tool was for building a portfolio with long-term data, not real-time performance tracking – which undoubtly is raising now questions. Let me see how I can match better between the daily strategy performance and the portfolio builder.

    Here an Excel file with the data.

    Attachments:
  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Mohamed, the Portfolio Builder (both online and Excel) and Consolidated Signal tool is driven by the signals we publish only after end-of-month, e.g. for trading at the next open.

    If you want to trade at the close, you´d need to use QuantTrader. We just introduced a new feature which allows you to download intraday data for example at 2pm last day of the month, create signals for all your strategies and trade them before close, see here: https://logical-invest.com/forums/topic/getting-started/#post-39984

    To repeat something we´ve stated before several times: The difference between trading at close, or next open, or even somtimes during next trading day is long-term not significant (<+/-0.5% p.a. in average). But it might be important for you depending on your trading type. Some people like it relaxed, receive our signals, analyze and trade next day. Some others prefer to have it near-real-time, especially before going into a weekend. Your call at the end.

  • Alexander Horn
    Keymaster
    Post count: 323

    Of course our baby QuantTrader does support the Max CARG with variable Vol% (.. and much more!). Have a look here: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-38652.

    Let me know if there is a special version we´ve not covered. Just working on an article on portfolio composition in QuantTrader, can include it.

    I also recommend you to have a look at “The beast”, the Biotech strategy and soon the Morpheus strategy as we´ll dub it in another in-progress article by Tom Gnade, our current Top1 QT contributor (.. anybody else, eh?):

    The Beast: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-39611
    BioTech: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-40451

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Daniel,

    the Sortino ratio and Days-to-Recover / Drawdown duration are already in the Excel tool, I do not want to overload the online tool with them for the time being. Let me do some tests with optimizing for Sortino to discuss with you, if it´s showing superior performance we can include the feature.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Trent, yes, the US Sector Rotation will be included in both the online and offline tool – I plan to do so by the end of June, as it means a change in the optimizations for all subscribers, and I want everybody to feel comfortable with the new strategy till then.

  • Richard
    Moderator
    Post count: 22

    Many thanks for the pointer, Charles.

    RM

  • Sunil Bhatia
    Participant
    Post count: 27

    I am noticing the same thing. Nasdaq 100 data is not loading into Online Portfolio Builder, thereby rendering this tool NOT WORKING Mode.

    I am surprising that Alexander has not responded for 2 days, neither has the problem been fixed.

    Alexander & Frank – Can you please fix this. We are approaching month end.

  • Alexander Horn
    Keymaster
    Post count: 323

    Alex to the rescue, sorry, was travelling. Problem is fixed, a script was halted, give me 30 min to reload all data.

  • Sunil Bhatia
    Participant
    Post count: 27

    Thanks Alex. Agreed always prompt response and quick to rescue the situation.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Sunil, it´s weekly base.

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks for the hint to both, have updated the table rows.

  • Alexander Horn
    Keymaster
    Post count: 323

    Thanks for the feedback! Will consider for the next update, makes a lot of sense.

    1 user thanked author for this post.
  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Richard,

    compared to other conundrum from you, this is a fairly easy one 🙂

    The Total in the monthly return table shows the simple sum of the monthly returns, not the compounded, e.g. re-invested performance. If you compound the returns you get a total of 47.1% for the year, the delta to the 45.7% shown in the other table is due to the weekly cut of the underlying data, e.g. performance is from Dec 27 till Sept 11, while the other value is from Dec 30 till Sept 15.

    I think it´s best to stick to this visualization, if not the total will not add up, but will add a note. Any other thought?

    Below the data for you to be able to reconcile.

    Attachments:
    2 users thanked author for this post.
  • Alexander Horn
    Keymaster
    Post count: 323

    Yes, indeed the optimization is based on 2008-2017 data, that’s in line with the MPT framework – and still rather a short period from that perspective. Keep in mind that this is a second-level optimization, the underlying strategies have short to medium term lookback periods, so both trend horizons are captured.

  • Alexander Horn
    Keymaster
    Post count: 323

    Hi Sunil, the returns in the table of the online tool are not compounded, see response to Richard some posts above.

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