Portfolio showcase

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This topic contains 73 replies, has 10 voices, and was last updated by  Tony Walker 9 months, 2 weeks ago.

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  • #49769

    reuptake
    Participant

    This thread is meant as a showcase (and discussion) of portfolios composed of various LI strategies.

    So, to start, my portfolio for 2018 (after changes to strategies made in January):

    15% GMRS
    15% GSRS
    10% Nasdaq100
    10% UIS 3x
    30% US sectors
    20% World Country Top 4

    QT backtest results are: 19.04% CARG, 2.33 Sharpe, 8.18 Volatilty (for period of last 5.5 years).

    I wanted to create a medium aggressive strategy. Got rid of MYRS which was always component of my strategies since the risk of very high volatility is in my opinion very real. Also, I didn’t want to have more exposure to GLD than hedge part of strategies gives me, so I haven’t included GLD USD. Other than that I want it as broad and global as it could be.

    My investment is large enough to have so many strategies included (some components can have just 1% share). That said today only 1 out 20 is green ;) and guess what? It’s the one with the lowest allocation :)

    Still this is the best I can do for now.

    Comments? And I’m very interested in your portfolios!

    #49771

    Richard
    Participant

    Thanks for starting this thread.
    I think this portfolio works well; its good to keep both ZIV and TMF out for now. In QT, how did you set the history range to 5.5 years? the drop down shows only 5, then 10 years.

    I’ve been doing some tweaking as well and hope to share an updated portfolio soon.

    #49772

    reuptake
    Participant

    The dropdown is one thing, the other is the actual data period that is available. Since both Nasdaq100 and 3xUIS use TMF, the first day of backtest is 29 Sep 2012.

    #49813

    Mark Faust
    Participant

    Utilizing the following portfolio across 3 different scenarios/tools
    10% – BRS
    10% – GSRS Hedged
    10% – MYRS
    10% – NASDAQ (non-hedged)
    10% – UIS-SPXL-TMF (3x)
    25% – GLD-USD
    25% – US Sectors
    ——————–
    Non-3x Hedge ini file in QT from 1/31/11 – 2/2/2018 (Max)
    CAGR – 21.699%
    Sharpe – 2.693
    Vol – 8.059%
    Max DD – (6.39%)
    ———————-
    3x Hedge ini file in QT from 9/28/12 – 2/2/2018 (Max)
    CAGR – 20.157%
    Sharpe – 2.182
    Vol – 9.236%
    Max DD – (7.79%)
    ———————-
    Portfolio Builder (old Way…not sure if GLD has been introduced as a hedge in portfolio builder yet…it has in the online allocation tool)
    CAGR – 21%
    Sharpe – 2.68
    Vol – 7.9%
    Max DD – (5.5%)
    ———————

    Prior to QT Lite, I was utilizing the last option above with Portfolio Builder and the Excel Tool. Going forward, I know we are looking at utilizing GLD and UGLD as hedges instead of Bonds. I have setup my portfolio with the 3x hedge (option #2 above for now) while I continue to dabble..

    Mark

    #49817

    Alexander Horn
    Keymaster

    I´m working on a small tool to extend the most used tickers with recent inception by synthetic data automatically. Got a first version ready, but still doing some testing and verification.

    Idea is to have an batch input list like:

    TLT VUSTX (which means extend TLT data by the mutual fund Data using a return multiple of 1)
    TMF TLT 2.8 (which means extend TMF history by TLT using a return multiple of 2.8)
    ZIV ZIV_S 1 (which means extend by the synthetic data we´ll make available on our server)
    .. same for SPXL, UGLD, and all other tickers which currently hamper longer backtests..

    Output will be synthic symbols like TLT$, TMF$, ZIV$ which you can use in backtest versions of strategies.

    Will first develop as small app in order to allow Frank to work on other QT “hot list” items, but then hopefully we get it into QT later.

    Hope to have the tool ready next week, then I need some brave and geeky subscribers to test and verify. Interested volunteers pls send a note to BraveAndGeeky@logical-invest.com.

    #49839

    reuptake
    Participant

    I was always using GLD/USD in my portfolios, but now, when this is significant part of Hedge strategy, I decided to abandon it. Time will show if this was a good decision.

    #49851

    Mark Faust
    Participant

    I realize my LI portfolio puts a large % in GLD as a hedge. (probably around 28% counting UGLD as 3x)
    Since I am not utilizing GLD as a hedge in my other investment accounts, I am using the GLD hedge in LI to cover my overall investments.
    This brings my overall GLD hedge down to the order of 13%…
    Now…a good question would be could we diversify the hedges with other precious metals like Silver, Palladium or Platinum. I will be looking at the possibility of diversifying the GLD hedge with at least some SLV next month…..

    Mark

    #49991

    arvind suthar
    Participant

    Mark,

    Thanks for the inspiration with this strategy! I think it’s really interesting and I like the balance between the return and volatility/DD. I’m trying to play around with a few variations and was just wondering how you back-tested it in QT…I’m only able to test the top 6 ETFs (as you cannot select more than the top 6 ETFs in QT) but there are 7 ETFs here.

    Any help would be appreciated!

    Arvind

    [attachment file=49992]

    #49999

    reuptake
    Participant

    Use Consolidated Signals from newest version of QT.

    #50002

    Mark Faust
    Participant

    Reuptake is correct,
    I only use the QT Lite version, so my backtesting is done on the Consolidated page of the newer version. It allows percentages across all loaded strategies and gives the backtest numbers at the bottom…
    Mark

    #50012

    arvind suthar
    Participant

    Thank you both! I appreciate the help.

    Below is the strategy I am planning to implement in the beginning of March:

    US Sectors multi momentum: 30%
    GSRS Hedged: 20%
    World Country Top 4 Hedged: 20%
    BRS: 10%
    Nasdaq 100 (non-hedged): 10%
    UIS 3x: 10%

    I also took GLD out of my portfolio as with the new hedging strategy, gold still accounts for ~13% of my entire portfolio. I wanted to diversify a bit more with bonds and cut down on volatility which is why I allocated a small percentage to the BRS as well.

    Backtesting this over a period of 5.5 years gives me a CAGR of 19.6%, Sharpe of 2.31, and volatility of about 8.4.

    Would be interested to hear your thoughts!

    Arvind

    #50023

    reuptake
    Participant

    This is very close to my portfolio. My question is why you use non-hedged Nasdaq 100 instead of hedged?

    #50025

    arvind suthar
    Participant

    My portfolio already has ~17% weight in gold and treasuries not including the hedge if I use the Nasdaq100 Hedged strategy. Additionally, I don’t mind taking on a little bit more risk for the potential of higher return (my investment window is more than 10-15 years) since I am only allocating 10% of my entire portfolio to this strategy.

    #50071

    Patrick
    Keymaster

    Would like to know if the LI principles would share their personal portfolios? I realize everyone’s situation is different, but would love to see how you utilize the strategies and your rationale behind it. Also, it’s always reassuring to know that advisers are eating their own dog food. :)

    #50077

    Alexander Horn
    Keymaster

    Hey, here comes the challenge, like it. Mine is not much of a surprise if you watched the recent video tutorials and previous comments. I´ve been following the Max CAGR <15% volatility with slight variations for quite a while now. But since some months felt the low vol "trap" was growing with spectacular returns but muted volatility in 2017 so did a management-override to lower the MYRS portion and put some protective puts in place early Jan this year. Probably still not enough, dog food got a bit sour recently, but sticking to plan so far ...

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