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Hi Vangelis,
Thanks for the message, I have downloaded and found the strategy, appreciated! Interesting that you chose to use an 8 day lookback vs 48 days / and no mean rev weight in the unlevered strat. What was the reasoning for that if you dont mind me asking?
Noted on the components. Overall it wont include 2x versions of SPLV/ GSY/ TIP but I would argue only the last would really one that I would miss.
Best James
Fair point. I am not a fan of leverage ETFs, if I want leverage I will just scale up my size with traditional ETFs or futures.
Hi chaps,
Appreciate the response and transparency. I agree that equity index returns with lower volatility are a reasonable goal for all investors. It is hard to outperform in asset allocation without dialing up risk which is not my aim. Slow and steady please.
James
Hi Mark,
As well as the absolute level I find watching various indicators of the VIX cash and futures term structure to be advantageous (Vix cash vs M1, M1 vs M2, M4 vs M7 etc). I personally use a blended approach of a few indicators watching the ROC and backwardation/ contango.
http://vixcentral.com/ is a good resource. James
Hi Adrian,
A lot of valid points above. I especially agree with curve fitting using backtested data albeit I would disagree on performance and vol. Achieving equity returns with lower vol is a far superior return profile and does enable one to then leverage up the portfolio to match equity vol and theoretically achieve higher returns. a la one of the theories behind risk parity.
Frank/ Vangelis – Would you care to shed some light? Again the product looks very interesting and has so much potential but I am trying to ascertain what performance has actually been like for the strategies LIVE. Where can we see such data? The historical data pages are confusing in that they only show data forward of early 2019.
Keen to hear feedback. James
