[Jeff McCarter]

Hello, I’m a new subscriber to all of the strategies, and this month made allocations by Sharpe ratios which seemed a reasonable way to start. Since this strategy (MYS) has good [hypothetical] risk-adjusted performance, I’m prepared to allocate more heavily towards it. So I was a little confused by this annotation accompanying this month’s signals:

“For the moment I would not invest too much in this strategy. Better wait for the next bigger correction and then go in again.”

So I find this confusing. Doesn’t it defeat the purpose if we have to do our own market timing to decide when allocate more heavily to each strategy? I thought the whole idea was that these were “internally” risk-managed based on the ability to allocate more towards bonds (using short TMV as proxy in this case) and that this particular strategy was even more tightly risk-managed by re-balancing twice monthly. So, I’m confused at the admonition to shy away from the supposedly best-performing strategy unless you’re suggesting that the results thus far — and I understand they are hypothetical — are unlikely to be sustained?

I would appreciate your elaboration on this. And, as a new member, I find myself impressed by your site content and enthused about working with you.

As an aside, also very intrigued by the fund-of-fund logic in which algorithms would suggest varying allocations toward various strategies each month. Is it realistic to think that might be implemented anytime soon — do you have any time table?

Thank you in advance and kind regards,
Jeff

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