[ikoskela]

So I’m trading the old Aggressive Risk portfolio (this isn’t the start of month allocation, its just what today was):

Symbol Weight
CHTR 8.25%
COST 8.25%
GLD 9.00%(x3.0)
GSY 24.00%
HD 3.00%
JNJ 3.00%
PEP 8.25%
PG 3.00%
SPXL 4.50%
TLT 16.00%
TMF 7.50%
VRSK 8.25%
VZ 3.00%
Total 106.00%

Are you saying that I’d simply use 4.5% UGL and then scale everything to 100% like this:
Symbol Weight Adj Weight
CHTR 8.25% 8.13%
COST 8.25% 8.13%
UGL 9%/2=4.5% 4.43%
GSY 24.00% 23.65%
HD 3.00% 2.96%
JNJ 3.00% 2.96%
PEP 8.25% 8.13%
PG 3.00% 2.96%
SPXL 4.50% 4.43%
TLT 16.00% 15.76%
TMF 7.50% 7.39%
VRSK 8.25% 8.13%
VZ 3.00% 2.96%
Total 101.50% 100.00%

Or would you do it this way:
Symbol Weight Adj Weight
CHTR 8.25% 7.47%
COST 8.25% 7.47%
UGL (9%*3)/2=13.5% 12.22%
GSY 24.00% 21.72%
HD 3.00% 2.71%
JNJ 3.00% 2.71%
PEP 8.25% 7.47%
PG 3.00% 2.71%
SPXL 4.50% 4.07%
TLT 16.00% 14.48%
TMF 7.50% 6.79%
VRSK 8.25% 7.47%
VZ 3.00% 2.71%
Total 110.50% 100.00%

I thought I knew how to re-scale and now I’m a bit unsure.

Thank you!

[ikoskela]

Thanks Frank. The question is about YCS, though. Is there any alternative to it that doesn’t generate a K-1? I just want to see if anyone has any suggestions.

[ikoskela]

I just copy and pasted it into excel, scaled everything down to 100%, and determined my share adjustments. Though, I had to switch from the 15% Volatility portfolio to Aggressive Risk because I’m trading in my IRA and I can’t short VXZ.

Since I also can’t use margin in my IRA, I’m a bit concerned about how using unleveraged GLD is going to affect the backtest outcome. Perhaps I have a false sense of risk/reward right now, as a result.

Any chance you guys will create any backtest performance views for non-margin, non-short, but-still-using-leveraged-asset porfolios (ie Aggressive Risk for IRAs)? I remember seeing something like that for 401ks somewhere once. I’m using my IRA because my time horizon is 20 years and I don’t want to deal with the tax implications from trading the strategies in my taxable account.

[ikoskela]

I sold this morning and I’m leaving it in cash just because we don’t much time left in the month. Just remember to limit order, not market, if it goes OTC.

[ikoskela]

Thanks for sharing this.

[ikoskela]

Gentlemen, thanks for sharing your allocations. I feel more confident know you have skin in the game and like that you each have different styles/objectives.

[ikoskela]

Guys, I figured it out. I needed to click “Actual Allocations based on Intraday Price”. They are now producing the same results. THANKS!

[ikoskela]

I finally got QT working again today by rolling back to 520S (and accepting the strategy updates). In an effort to find out why QT gave me a different allocation for the “Volatility less than 15%” portfolio than the website is indicating, I again used the consolidated allocations feature in QT to set my portfolio to:
27% MYRS-ZIV Hedged (to map to MYRS on the website)
51% Nasdaq 100 Hedged (to map to NAS100 on the website)
22% UIS SPXL-hedged 3x leveraged (to map to UISx3 on the website)

The result is:
TMF 15.40%
UGLD 13.50%
ZIV 13.50%
GLD 12.24%
TLT 8.16%
CHTR 7.65%
EBAY 7.65%
KHC 7.65%
PCAR 7.65%
SPXL 6.60%
TOTAL 100.00%

However, the website indicates the allocation for this portfolio is:
AAPL 5.1%
COST 5.1%
EBAY 5.1%
GLD 18.4%
MSFT 5.1%
SPXL 8.8%
TIP 12.2%
TMF 13.2%
UGLD 10.8%
ZIV 16.2%
Total 100.0%

Which is right? And what is accounting for the difference between the two?

Thanks!

[ikoskela]

Yeah, I understand that portfolios are derived from strategies in QT. But, if I am pointed back to QT in order to get intra-day allocations for my portfolio, then I’m already being asked to use QT for ‘portfolio purposes’, not for strategy generation, and it would make life a little easier if the portfolios were already there. It’s not like that would be hard to do at all – the data is there. (FD: I run a software dev team)

If indeed QT should function solely for strategy generation, then the more appropriate avenue for accessing intra-day portfolio allocations is the website itself. It’s not clear to me how the website is updated so I can’t comment on the potential difficulty with that.

Setting that topic aside, any thoughts on why the official allocation ended up being so different that the allocation QT produced in the last hour of trading? I wonder if I should give up on trying to trade on the last trading day of the month and just go with the crowd on the 1st day.

[ikoskela]

Also, why aren’t all the portfolios on the website simply replicated in QuantTrader out of the box? It seems like it would make this process a whole lot easier…

[ikoskela]

What historical data provider was I supposed to use for this? I obviously chose “Use End of Day Data and Intraday Prices” but I’m not sure what I chose for Historical Data Provider. BTW — when you choose EOD on the Historical Data Provider option, what exactly are you choosing? Thanks

[ikoskela]

OK, next question here. I followed this procedure and entered the “Volatility less than 15%” portfolio within 1 hour of the close on Friday. Over the weekend, I received the official allocation and its different that what QuantTrader indicated it would be. Any explanation other than that’s the risk you take when you try to get ahead of the official signal?

[ikoskela]

(This is my newly paid account btw)

[ikoskela]

OK, does the “Volatility less than 15%” portfolio always adhere to the same percentages of the underlying strategies?

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