[trr]

My selections are somewhat similar. I’d jettison World Top-4 and go for more GMRS instead, for the sake of simplicity and because I think it improves performance a little.

Personally, I’m sticking with the treasuries (or gold, as the case may be). It’s a difficult call. A case for treasuries was made in the Economist a couple of days ago — https://www.economist.com/finance-and-economics/2018/05/26/why-it-makes-sense-to-invest-in-treasury-bonds
But I’m also influenced by the fact that elsewhere in my portfolio (non-LI stuff) I make less use of treasuries.

[trr]

I like the changes to GMRS described in the January update. They strike a good balance between keeping things simple, keeping a lid on volatility, and being prepared for all economic environments. But can I suggest changing to a small cap version of EFA such as SCZ. It has better CAGR, better sharpe, and lower correlation to SPY. Also, I’d like to see MDY used instead of SPY (as it was in some earlier version of GMRS). As well as better CAGR, it would give a little diversification from other LI strategies which use SPY.

[trr]

Has anyone managed to get QuantTrader to work on a MacBook? — perhaps using a PC emulator or something?

[trr]

Your page (https://logical-invest.com/portfolio-items/global-market-rotation-strategy/) presenting this strategy appears out-of-date — the asset classes, the hedging mechanism etc. By the way, why did you replace MDY with SPY?

[trr]

Can I bring this comment from last August back to your attention –

“[The Portfolio-Builder web site] is very useful and a pleasure to use, but I’d like to echo Greg’s comment from a year ago: it would be even more useful if there were a way of excluding some strategies from the calculations. Perhaps a column of toggle-buttons added to the strategy table at the top of the page would do this neatly? I know this functionality exists in the Excel spreadsheet, and you are trying to keep this page simple, but it is far preferable to use this page than mess around with Excel.”

Thanks.

[trr]

I believe the ETF route is perfectly viable, but am wondering what you think the best approach is (vis-à-vis simplicity, cost, whether a little leverage can be applied cheaply, tax efficiency,….). My impression is that you and your colleagues have experience with IB. How do you like to execute this strategy?

[trr]

What do you think is tbe best way to execute this strategy via a regular (non-IRA) Interactive Brokers account? I read somewhere that since September 2016 Interactive Brokers has stopped US people from opening leveraged forex positions unless they have assets over $10 million.

[trr]

Thanks.

BRS uses JNK and PCY, which I assume have high correlations to SPY and EEM, respectively. Instead, why not just use the equity funds, dampened with cash? That would probably avoid the potential liquidity problems (and also might be better tax-wise)? Is the point that JNK and PCY trend especially well, so as to be well-suited to rotation strategies? Do they meaningfully give exposure to risk factors not available through equities and treasuries? I am concerned that instead of providing a cushion in the event of a crisis, which substantially I look for a bond allocation to do, JNK, PCY and CWB could be the epicenter of a crisis.

Here’s another way of looking at it. What role does BRS have in a portfolio that couldn’t be replaced by some combination of equities and treasuries/AGG? For example, perhaps you could replace BRS with a blend of (the pre-December 2015 version of) GMRS and cash (or GOLD-USD, likely better).

[trr]

Sorry not to get a reply to my question of 04/29/17. To clarify, the structural problem I refer to is that described by Howard Marks here.

[trr]

What’s your take on the debate on potential structural problems of high-yield bond ETFs such as JNK (and similarly, PCY and CWB, I assume) stemming from the illiquidity of the underlying holdings? Anyway, don’t these funds behave very much like corresponding equity funds watered down with appropriate amounts of cash? If so, why use them at all?

[trr]

Very glad to see this strategy added. Some guidance on the practicalities and tax implications (for a US investor) of the various approaches to implementing it would be much appreciated. An advantage I see of the ETFs is that they are straightforward to trade; disadvantages are that CROC, EUO and YCS have fees of around 1% and give rise to K-1s. I have less experience with futures and with currency pairs. Do the tax treatments of the three approaches differ significantly?

[trr]

I understand that trend following strategies are vulnerable to losing their effectiveness on account of too many market participants getting wise to them. (See for example articles on the “Price Action Lab Blog” or Jim Simmons’ March 2015 Ted interview.) How vulnerable do you see the various Logical Invest strategies to this problem?

[Author]

Posts