Questions on UI Strategies

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  • #82221
    math_champ
    Participant

    Hi,

    I really appreciate your work. Looking at the Universal Investment strategies, with and without leverage, I noticed a few things and wanted to ask about it:

    – It seems that any ticker in these strategies can have a maximum allocation of 60%. If I remember correctly, the previous versions without gold allowed going to 100%. What was your thought process for doing so? Reducing volatility at the expense of returns?

    – Have you retested recently the old versions of the UIS to compare their performance against the new versions? What would be your conclusions in this case?

    Kind regards,

    Matt

    #82231

    The reason or this change was that we always wanted to be hedged even if there is a sudden crash after a long bull period. Allowing a 100% SPY allocation we would have no hedge during the Covid crash and also during the 2018 December crash. There is nearly no difference between 60% and 100%. 2018 drawdown was 6% with the actual 60% setting and 10% with the 100% setting.

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