Maximum Yield Rotation Strategy

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Maximum Yield Rotation Strategy 2017-04-20T01:44:57+00:00

Project Description

The Maximum Yield Rotation Strategy is our top performing investment strategy and invests on a semi-monthly basis in two US asset classes or cash like ETF.

Since December 2013 we have added adaptive asset allocation to the strategy.  In times of relatively low volatility you are normally 100% invested.  During market corrections, with high volatility, the allocation can go down to 50% ETFs and 50% cash.  Also, if an ETF has a high volatility, the allocation of this ETF will be reduced.  Volatility based asset allocation significantly reduces volatility and the risk of your investment.

See also our whitepaper here.

Treasury bonds and inverse Volatility ETFs have significant negative correlation to each other. This means, that whatever the market sentiment is, there is always one assets performing well. The strategy is a good way to profit from VIX contango without risking heavy losses during a volatility spike. The incredibly high return of this strategy does not mean that this strategy is very risky. The strategy minimizes the risk of losses during financial crisis by switching early into Treasuries or even switching to cash if all three assets perform worse than cash. The reward to risk ratio (Sharpe Ratio) of this strategy is 2.1 which is very high compared to 0.93 for a S&P500 investment. Since 2011 you made 6.7x more money with this strategy compared to an average S&P500 investment and this with considerably less risk.
Specific ETFs are screened and chosen to best represent the asset class, while also maintaining low underlying expense fees and index tracking error.

The US asset classes are:

  • U.S. Treasury Bonds – (EDV Vanguard Extended Duration Tsy 25+yr)
  • Volatility – (ZIV VelocityShares Inverse VIX Medium-Term)
  • Cash – (SHY Barclays Low Duration Treasury)

Risk and Performance Profile

Risk Score:?
Performance:
3 Months12 MonthsSince Inception
Return
CAGR
Volatility
DrawDown
Sharpe
Annual Performance vs. Benchmark

The Maximum Yield Rotation Strategy is our top performing investment strategie. The Strategy invests on a semi-monthly basis in two US asset classes or cash.

These US asset classes are:

  • U.S. Treasury Bonds – (EDV Vanguard Extended Duration Tsy 25+yr)
  • Volatility – (ZIV VelocityShares Inverse VIX Medium-Term)
  • cash – (SHY Barclays Low Duration Treasury)

Treasury bonds and inverse Volatility ETFs have significant negative correlation to each other. This means, that whatever the market sentiment is, there is always one assets performing well. The strategy is a good way to profit from VIX contango without risking heavy losses during a volatility spike. The incredibily high return of this strategy does not mean that this strategy is very risky.  The strategy minimizes the risk of losses during financial crisis by switching early into Treasurys or even switching to cash if all three assets perform worse than cash. The reward to risk ratio (Sharpe Ratio) of this strategy is 2.1 which is very high compared to 0.93 for a S&P500 investment. Since 2011 you made 6.7x more money with this strategy compared to an average S&P500 investment and this with considerably less risk.