- The NASDAQ Meta strategy uses adjusted momentum to blend the top four NASDAQ 100 stocks.
- It switches between an aggressive higher volatility sub-strategy and a low volatility stock selection formula, based upon the market environment.
- Variable allocation to Treasuries smooths the equity curve and provide crash protection.
- The testing of the last 10 year years shows this strategy is significantly outperform, with a CAGR of 40% and a Sharpe of 1.4, almost three times the S&P 500.
Read more details in the post here.
The stock rotation strategy uses the dynamic stock rotation formula of our proprietary Max Sharpe engine. For this model it is tuned to capture momentum between individual stocks. Additionally, we are using two independent strategy models – a high and a low volatility one.
Each month our model chooses which model is appropriate, based on recent market behaviour. Then that sub-model is used to pick the stocks in nasdaq 100 that work best in that environment.
The model allocates between 0 to 30% of funds to TMF, the 3x treasuriy ETF, to protect from downside risk.
We use the Nasdaq 100 Index as a basis for our pool of individual nasdaq 100 stocks. This index often captures the most dynamic names in the large cap U.S-equity market, and provides a solid pool of strong growth stocks when you invest in nasdaq. Our two sub-models use the MaxSharpe engine to select a blend of four stocks. The Meta Model switches between the aggressive growth vs low volatility sub-models, significantly improving performance by avoiding much of the pull backs that aggressive growth has in certain market shifts.
The model choices four individual stocks from the Nasdaq 100 stock index. So depending on what stocks are in the nasdaq 100, the stock rotation formula might include the new ones.
Additionally, the model may allocate some funds to TMF Direxion 3x leveraged 20-yr Treasury. This helps mitigate risk during certain market environments.
Risk and Performance Profile
|3 Months||12 Months||Since Inception|
ETF Allocations:Note: This chart and table shows the core mechanical strategy without advanced execution options offered to our subscribers through our newsletter. See full performance statistics below.