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A negative position indicates a short position. The short position in this portfolio comes from the inclusion of the Maximum Yield Strategy (MYRS). Be sure you understand the risks of shorting before trying it, since you can actually lose more than your original investment. Click the link above to read more about it.
Richard, you can find all versions here:
https://logical-invest.com/quanttrader-application/download/
If you open download the latest zip file, you can look in the ini folder for strategy updates.Our data providers figure out adjustments. XLG is not a component of any of our standard strategies, but we have asked EOD to take a look at the dividend data you provided. In the mean time, you may want to try using Tiingo for XLG data.
Here is the link A Low Volatility Option based Permanent Portfolio Strategy
Sorry, but there are no filter options currently, but we will consider that feature for future improvements.
You are correct that users can only track a single portfolio. We are considering allowing multiple portfolios in a future release. For now, you would need to create a new user account to track another portfolio. Thank you for your question.
It was part of the allocation in December for GSRS, but it is not in the new allocations for January. I checked your portfolio and it is not showing up in January. You may need to refresh the page in your browser.
The unadjusted closing prices are available immediately after the markets close. However, adjusted prices, which adjust for dividends and stock splits, can take several hours to update, which is why we wait until a few hours before the next open to generate our monthly rebalance allocations.
Tiingo claims to support over 4,100 crypto tickers. I could not find a definitive list, but these links may help you form the tickers you need:
https://api.tiingo.com/documentation/appendix/symbology
https://api.tiingo.com/products/crypto-api“Invested” refers to the allocations from the last rebalance date (typically, several hours after close on the last day of the month). “Actual” is the allocations based on the most recent closing prices. “Actual” can be useful if you want to rebalance on a different date, such as before close on the last day of the month or a week into the normal rebalance period.
Another option is the Grayscale Trusts (ETHE and GBTC) which should be available through most brokers. They are both currently trading at significant discounts to their NAV. Here is a brief analysis on Seeking Alpha that talks about the discount.
There was a stock split yesterday that has not yet been adjusted by our data provider. We will make sure they get it corrected soon. Thanks for pointing it out.
Good question. Today’s announcement from Moderna was very unfortunate, but our strategies are all driven by back-tested algorithms and we publish their signals as-is and don’t make our own judgement calls. Hindsight being 20/20, we think it is best to stick to a plan and avoid making “gut” calls. Of course, each investor has their own level of knowledge and experience and should make their own decisions based on that. A few more observations…
- The NAS100 strategy uses the current components of the NASDAQ 100 Index and since MRNA is part of it, it must be part of the strategy.
- All algorithms will pick winners and losers, but we believe that the long-term performance of our strategies will approximate their historical performance.
- NAS100 is currently hedged 40% and MRNA is one of four stock picks, so the impact of any one stock is mitigated. The Aggressive Core Portfolio is even more diversified.
- If you look at the Nasdaq100 leaders sub-strategy in QuantTrader software you will see that the lookback period is 78 days. Over that period, MRNA was up 44% at the end of last month, which is why it ranked highly.
- Subscribers can use QuantTrader to view the stock rankings of any strategy and choose to add or remove individual stocks or substitute a lower ranked stock. For example, this month XLNX was the 5th ranked stock in the Nasdaq100 leaders sub-strategy which uses the top 4 ranked stocks.
I hope that helps and would be interested to hear other subscribers’ thoughts on the topic…
Yes, the All Portfolios subscription does include access to the Crypto Strategy. Can you try to force reloading the page in your browser in case it is using a cached version? On Windows, press Ctrl+F5 and on Mac, Apple+R.
Please let us know if that works or not.
Yes, the Grayscale offerings are decent proxies for owning the actual crypto currencies. After a volatile start, they have been tracking pretty closely to their respective cryptos over the past few months.
https://stockcharts.com/freecharts/perf.php?GBTC,$BTCUSD&n=80GBTC is currently trading at a healthy discount to its NAV which could benefit its holders if the discount narrows over time.
https://ycharts.com/companies/GBTC/discount_or_premium_to_navInteractive Brokers recently announced the ability to trade cryptos. They are the only broker I am aware of that allows trading stocks and cryptos from the same account.
https://www.interactivebrokers.com/en/index.php?f=49513Hi Andrea,
There does not appear to be any issues with our site at this time. Our security layer does run some javascript on the browser when you first connect to validate the client is not a bot. We have not heard of this causing any issues for other users. Please make sure your browser has not disabled javascript or redirects or is using any ad blocker that is preventing this security check from completing. You can also try using Chrome’s Guest or Incognito modes.
Thanks,
PatHi Rob,
After taking a closer look it turns out that we calculate “1 month” returns using a 31 day period. In this case, since April is only 30 days, our returns included March 31 as well. So the data is accurate, but the “1 month” period was not aligned with the calendar month. We’ll see if we can change this for the next newsletter so returns reflect the most recent month. Sorry for the confusion.
Best,
PatSorry, we don’t provide the statistics you mentioned. We focus on strategy and portfolio’s overall return, volatility and drawdown.
@bmessas: It is possible that the official allocations could be different due to last minute price movements or after-hours dividend adjustments but that should not occur very often. If month-end rankings are so close that a minor price movement or adjustment does makes a difference, then it is probably a coin flip anyway and over the long-term should not make a significant difference.
@Nelson-Brady: QuantTrader does not have an indicator of when final dividend adjustments have been made even though EOD price data is available shortly after close of trading. We run our web site updates at 6am ET because we are confident that all our data provider adjustments have been made for the previous day by that time.“Invested Allocations (based on end of period close)” are the allocations at the beginning of the current period, which is typically the first day of the month.
“Actual Allocations (based on intraday price)” or “(based on last close)” are new allocations using the current date as the end of the period. For example, if it is November 10th and the strategy uses a 30 day lookback it will do the rankings based on the period from Oct 12 to Nov 10, whereas the Invested Allocations were based on Oct 1 to Oct 31 rankings.
It typically makes little difference if you rebalance a day or two after the Invested Allocation date, but if you missed that date and want to rebalance on the 8th or 14th, it may be better to use the current Actual Allocations. You may also want to get a head start and rebalance on the 31st of the month before everyone else.
The portfolio allocations only update at the beginning of each month, which is when you would make your trades. There is no need to track them daily.
Welcome to Logical-Invest!
QuantTrader is a Windows application that is used to create the strategies that we provide on our web site. You can also use it yourself to modify our strategies or create your own custom strategies. The web site provides the signals (allocations) for our core strategies and portfolios and also allows you to combine multiple strategies to create your own portfolio.
You can use the web site without QuantTrader or QuantTrader without the website. We occasionally publish articles to Seeking Alpha, but do not publish trading signals there.
Hope that helps.
-PatAllocations for your portfolio are emailed to you the morning after the last trading day of each month. You can also look online at any portfolio or strategy and scroll down to Allocations to see current allocations. You can also enter your account value and it will calculate the shares to buy for each allocation.
UISx3 is a leveraged strategy. It used to use a 3x leveraged gold ETF, but it was recently discontinued, so now it requires using account leverage (margin) instead. As an alternative, UISx2 does not require account leverage.
Other than MYRS, which requires shorting an ETF, the other strategies use 100% long allocations.
That appears to be a browser cache issue. On Google Chrome, pressing ctrl-F5 updates the last update date.
When I paste into Excel 2013 it does paste values and sets the format to dollars or percent. I am able to use formulas and do totals without any problem.
For MINT, TQQQ, etc. it appears to be an issue for symbols that do not have a description. The quick fix is to go to Setup Tools -> Symbol Manager in QuantTrader and add descriptions. We’ll work on QT update to address that as well.
Hope that helps.
Yes, the backtest will be updated with the strategy. The strategy has not changed since the July update. GLD is still part of the strategy, it just did not receive an allocation in the current period. It may reappear in future allocations and will continue to be leveraged when it does.
Thanks,
PatYes it is current. The strategy replaces UGLD with a triple allocation of GLD, which in some cases will require using leverage in your account when the total allocations exceed 100%.
TAIL behaves very similar to a leveraged TLT. I did a quick test of SPY/TAIL 70/30 and SPY/TLT 50/50 you can see here at Portfolio Visualizer. TAIL only started in Jan 2018 so there is not a lot of history, but you can see for similar Stdev, the TAIL portfolio lags in CAGR, MaxDD, Sortino, etc.
The web site has now been updated to use the new allocations for the backtest data. Thanks for you input.
Apologies for the confusion. The web site was not using the new allocations for the full backtest. It has been updated and now matches QT.
We hear you and we are reviewing our portfolios to provide choices that do not required leveraged ETFs. Stay tuned…
It is because they are using different starting points. If a stock goes from 100 to 150 it has a 50% return (+50/100). If it goes back to 100 from 150, it has a 33% drawdown (-50/150).
Hi Benjamin,
Although the backtest do not show the mid-month MYRS allocations, the returns and performance data does take them into account since portfolios use the strategy-level data rather than the individual holdings. I’m afraid I can’t give you a definitive answer on if/when we can display the mid-month update on the web site. It is a difficult technical challenge to rebalance one strategy in a portfolio mid-month without rebalancing the whole portfolio, but we are still looking into it.
#1. Correct. There is a table in this article which provides three different options with different degrees of leverage.
#2. We are referring to account leverage. When the total allocation exceeds 100% you create leverage by buying more than the value of your account by borrowing from your broker on margin. The amount of leverage will vary each month depending on the allocation to GLD. Because SPXL and TMF are both 3x leveraged ETFs we need a corresponding exposure to gold for balance. For a non-leveraged version of this strategy, you can simply use the UIS strategy.
The new backtests are available in latest version of QuantTrader. We will be updating the web site backtests soon.
We are reviewing the portfolios in light of the recent changes so that we can remove leverage and shorting requirements. Stay tuned…
Yes, you can do that. It does not need to be exact. You can just “eyeball” it and shave a 2 or 3% percent off the larger holdings and 1% off the smaller ones until you get to 100%. You could also reduce the GSY position, which is basically cash, to give you a slightly more aggressive portfolio.
Note that UGL does send Schedule K-1 forms for taxable accounts, which can add a little time and complexity when filing taxes. That should not apply to IRA and 401k accounts.
All metrics are updated after midnight eastern time. This allows our data feeds to apply adjustments for dividends and splits.
Sorry for the issue with the link. If you go to https://logical-invest.com/app and click on the “?” in the upper right corner you should be able to access the contact form.
The Core Portfolios are constructed using the Portfolio Optimizer with parameters as specified in the “Methodology & Assets” section on each portfolios’s description page. The parameters limit the volatility and strategy concentration based on each portfolio’s goal. The Portfolio Optimizer basically looks at thousands of strategy combinations over a historical time period to find the combinations which would have provided the best risk/reward ratios.
MYRS is the Maximum Yield Strategy.
There is only one alternate portfolio available that does not include any of the strategies that invest in individual stocks. You can always modify it using the Portfolio Builder or Portfolio Optimizer to align with your own risk/reward profile.
The Portfolio allocations remain static for the most part. They were optimized using the online Portfolio Optimizer rather than QuantTrader and use a long lookback period so they would not be impacted by market fluctuations. We will consider re-optimizing them periodically after Strategy changes or major markets shifts, but will be sure to give our subscribers advanced notice when we do.
A Portfolio is a collection of Strategies. The “By Stock” view is a consolidation of the individual holdings of each of the Strategies in the Portfolio. The “by Strategy” view is for informational purposes and the “By Stock” view is for executing your trades.
Yes, the chart is based on backtests for the past 5 years and does reflect the recent updates to the BRS and BUG strategies.
Yes. Click the icon in the upper right that looks like a compass and you can select your preferred benchmarks.
Two popular axioms come to mind…
“Don’t fight the Fed”
The Fed and Congress have and will do everything in their power to prop up the markets. Even before current stimulus measures, years of easy money and deficit spending have not caused price or wage inflation, but instead have fueled asset inflation. They can continue to pump more money into the system, but they cannot force consumers or companies to spend it. So where does it go?“The markets can stay irrational longer than you can stay solvent” — John Maynard Keynes
That applies in both directions. Everyone “knows” when markets are over or under priced, but we seldom know when markets will realize or care that the emperor is wearing no clothes.While interesting, these axioms don’t really tell us how to invest, which is why Logical Invest uses systems based on actual market behavior rather than what they “should” be doing, and of course uses hedges because we know markets can change their mind fairly quickly.
M1 Finance is designed for “casual” investors with an easy to use web interface and would not require any spreadsheets. Interactive Brokers is better for more advanced investors and has a bit of a learning curve.
When looking at any strategy or portfolio page, you can click the “Holdings” link above the graph to see the past holdings for each period. Also, above the Allocations table, there is an icon with a down arrow to download the current allocations as a CSV file that can be used to make your own calculations. If you are not logged in, it will contain the previous months holdings.
These two brokers have features to facilitate rebalancing:
Interactive Brokers can import a CSV file containing target allocations as percents of your account value. It will then create the necessary buy and sell trades which can be submitted with one click. This method only takes about 10 minutes each month. https://www.youtube.com/watch?v=YAMeSeh0WbY
M1 Finance has a concept called pies which are similar to our strategies. Each pie contains a set of stocks/ETFs with target allocations. Your account then contains multiple pies with target allocations, just like our portfolios. You only have to update the stocks and percent allocations each month and M1 will do the rebalancing. It uses daily trading windows instead of allowing users to execute their own trades. It has no commissions. One downside is the account performance it displays does not properly account for inflows, outflows, dividends, etc.. so it is usually not accurate.
Best,
PatFirst, check your broker’s cash sweep options. They typically offer a small interest rate with little risk. As for ETFs, SHV appears to be the closest thing to a free lunch available. It has had practically zero drawdown since its inception in 2007. https://stockcharts.com/freecharts/perf.php?SHV
GSY, MINT and NEAR normally offer better yields, but they do hold corporate bonds, which have dropped in value, and are they are currently trading at a discount to their NAV.
Technically, you should only rebalance the MYRS portion of your portfolio mid-month, but that is complicated because the MYRS allocation on the 15th will not be the same as your target allocation on the 1st. This method should be “correct”, although not particularly easy:
1. On the 1st of the month, capture the share quantities attributed to MYRS by setting other strategies to 0% in the Allocation Tool.
2. On the 15th, use the quantities from step 1 with current prices to calculate the current value of MYRS.
3. Use MYRS value from step 2 as the “Investment Value” with MYRS allocated 100% to get current share quantities.
4. Find the differences between step 1 and step 3 to determine new buys and sells.
5. Rinse and repeat. :)Investing is not an exact science, so a close approximation should be fine.
Sorry for the confusion. The drawdown you see in the graph actually started in December 2008, but the 10 year period started in Jan 2010, so if you started an investment 10 years ago you would not have seen a 48% drawdown.
Good question. CELG was a holding in the NASDAQ 100 Strategy at various times in the past. It was delisted on November 20 after being acquired by BMY. After that occurred the QuantTrader backtest model replaced CELG with the next highest ranked stock in each period which caused some changes in backtest results.
Rather than cash, I recommend GSY or MINT so you can at least earn 1-2% yield with very little risk.
… and max allocation per strategy. For example, you have recommended not allocating more than 15% to MYRS. The same may be true for UISx3. Or I many not want to allocate more than 25% to any one strategy.
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. :)
I am considering trying out M1 Finance to manage a LI portfolio. They charge 0.15% for accounts over $100k and NO transaction fee. You create a portfolio, called a pie, and then assign percentages to each slice. Each slice can be another pie, such as an LI strategy, or individual security. Then you just update the holdings in each pie (strategy) and click rebalance. My only concern is that they use market orders so there could be significant slippage on some of the lower volume ETFs. They claim to mitigate slippage by splitting orders into smaller chunks.
After a nice run for 6 years, this strategy has been basically flat for the last 4 years. Any insights as too why? Do you think it is still viable?
Several of the strategies do not have complete return data. The data starts on 3/12/2008, but MYRS starts on 1/4/2011, 3x UIS starts on 2/1/2010, WTOP4 and NASDAQ100 start on 8/3/2009, GLD-USD starts on 3/3/2009.
It would also be helpful if all data sets could go back to at least 2007 to see how they reacted in 2008.
I really appreciate this tool. When will you add January and February data? Would also like to see Sortino ratio. Thanks!
