All Strategies Positive for the Year

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Logical Invest strategy Performance June 2016

 

  • For the first time in 2016 every single strategy we offer shows positive results.
  • The average return of our strategies is 8.5%, compared to 2.7% for the SPY.
  • Ten of eleven them are outperforming the S&P500 etf (SPY). Returns range from from a low 1.9% for GMR to a high 23% for our leveraged Universal Strategy. 

Some interesting observations:

  1. The Nasdaq 100 strategy has performed exceptionally well since it’s introduction. In the chart you can compare back-tested results  to ‘live trading’ results from the time the strategy was offered to subscribers.
  2. The Bug Leveraged strategy is running at almost 200% leverage and is recovering fast, returning 7% for the year and almost ready to break into new highs after a difficult 2015.
  3. The Universal Investment Strategy has proven to be a stable core portfolio choice by cutting down risk and returning a solid performance as the equity line reaches a new multi-year high for 2016.

 

Nasdaq 100 iss vs oos

The NASDAQ 100 Strategy

UIS_hist

Universal Investment Strategy

The Bug Leveraged Strategy

The Bug Leveraged Strategy

 

Here are the detailed performances as of 6/16/2016:

symbol year to date % ▴ 3 month % 1 month % 1 day % 60 day volatility 60 day correlation 3 month Sharpe 12 month Sharpe 36 month Sharpe LastModified: 6/16/2016
UIS-SPXL-TMF 23.47 13.36 5.40 0.37 14.23 0.42 7.24 0.17 2.24
MYRS 19.42 7.07 2.95 1.01 16.87 0.51 2.84 0.49 1.42
TLT 13.75 6.53 4.55 0.38 10.25 -0.50 4.33 1.91 1.03
WORLD-TOP4 10.40 7.92 4.41 1.49 15.07 0.18 3.53 0.01 2.33
GOLD-USD 9.23 -0.44 2.13 -0.02 8.60 -0.31 -0.30 1.31 1.55
UIS 7.82 4.66 1.78 0.13 4.92 0.41 5.92 0.69 2.24
BUGLEV 7.26 6.04 3.93 0.36 7.63 0.06 5.26 0.62 1.57
NASDAQ 100 7.12 8.13 -0.75 -0.52 12.20 0.64 4.53 1.82 2.89
GSRLV 6.97 4.08 2.36 0.19 6.77 0.11 3.78 0.58 1.51
BRS 6.46 1.96 -0.24 -0.13 5.33 0.36 2.24 1.04 1.95
AGG 4.54 2.37 1.19 0.22 2.60 -0.28 5.74 2.46 1.44
BUGST 3.24 3.66 2.49 0.16 5.85 -0.14 3.98 -0.15 1.36
SPY 2.43 2.70 -1.00 -0.14 9.65 1.00 1.77 0.08 1.19
GMRS 1.91 1.69 2.25 0.38 9.58 0.47 1.06 -1.11 0.26
2017-10-02T20:00:00+00:00By |2 Comments

About the Author:

Vangelis has been involved in quantitative research and development since 2007. He blogs under the 'Sanz Prophet' alias. He has built, run and tested literally thousands of trading systems using Matlab, Python, C#, QuantShare and Amibroker and has contributed as a researcher/programmer in academic papers. His quantitative blog has been part of the “Whole Street” quant blog aggregator since inception. He holds a B.A. in Economics & Theater Arts from Cornell University and an M.F.A. in Motion Picture Producing from the Peter Stark Program at the University of Southern California. Before entering the financial world Vangelis worked as a film and commercial director and collaborated with agencies such as Bold Oglivy, Adel Saatchi and Saatchi and clients including Pepsico, P. & G., Hyundai and others.

2 Comments

  1. ahmad17656 07/31/2016 at 11:23 am

    I have $600,000 to invest , how do I allocate my capital? which strategy? or multiple strategy, I am near retirement age, please advise before I subscribe.

  2. Alexander Horn 07/31/2016 at 3:38 pm

    Thanks for your interest in our strategies.

    Please have a look on our most recent post with some example portfolio of our strategies: https://logical-invest.com/correlation-still-grand-lady-portfolio-diversification

    You can use our Portfolio Builder in Excel to configure your own portfolio: https://logical-invest.com/wp-content/uploads/2016/07/Portfoliobuilderexcel-v.040.xlsm

    And then implement using the strategy signals provided here once subscribed: https://logical-invest.com/blog/strategy-signals-consolidated/

    An overview of some portfolio you can build is here: https://logical-invest.com/wp-content/uploads/2016/07/Heatmap.png

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