Investment Portfolio Analyzer & Builder

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Investment Portfolio Analyzer & Builder 2017-04-26T23:50:22+00:00

Investment Portfolio Analyzer & Builder

With the Investment Portfolio Analyzer & Builder, a user can simply select a preset portfolio objective. The tool will report back the allocation across our strategies that achieves that objective. Additionally, the user can select the “Custom Portfolio” tab, enter any strategy weights he wishes and calculate the performance of his custom allocation. Combined with our “Consolidated Signals” tool the results from the Investment Portfolio Analyzer & Builder will point the user to the allocation across ETFs and/or stocks that have the best prospect to meet his objective.

Our Investment Portfolio Analyzer & Builder is an optimization tool. It is meant to help our subscribers take advantage of powerful asset allocation scenarios that increase return while lowering risk by building a portfolio with true diversification. When measurably diverse assets are combined in a portfolio, portfolio risks are reduced while maintaining robust returns. Investing objectives range from maximizing annual return for a given level of volatility, to minimizing volatility overall and much in between. They are reflected in our pre-configured portfolios.

Please note that the calculations are based on weekly data (Mon – Sun) to make the tool speedy enough for real-time queries – while we normally report performance on daily data. For the monthly performance the base is always the last Monday of the preceeding month.

Select either Portfolio Options or Custom Portfolio to design your portfolio

Max Sharpe
Min Volatility
Max 15% Volatility
Max 10% Volatility
Max 7% Volatility
MaxDD below 15%
MaxDD below 10%
Lev 2: Max Sharpe
Lev 2: Min Volatility
Lev 2: Max 15% Volatility


 

Monthly and Yearly Returns of Custom Portfolio

Relative Performance of Custom Portfolio and other strategies

 

Correlation of our strategies and market proxies

For any question or comment, please use the space below:

  • Author
    Posts
  • Alexander Horn
    Keymaster
    Post count: 212

    Please share feedback, further enhancements and any error you might encounter.

  • rkpagadala
    Participant
    Post count: 1

    What do the following mean?

    Lev 2: Max Sharpe
    Lev 2: Min Volatility
    Lev 2: Max 15% Volatility

    Also clicking on “See Notes and help” does nothing.

  • Alexander Horn
    Keymaster
    Post count: 212

    The ‘Lev 2’ options simulate a 2 times leverage, that is allocating 200% of the amount you input. I´ve written about them in the last Post, see here, middle of post. Thanks for reporting the issue with the button, fixed.

  • Sunil Bhatia
    Participant
    Post count: 20

    In the Custom Portfolio tab, when I input my chosen percentages, the tool works great.

    The Portfolio Options tab is not working for me on Internet Explorer.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil, yes, there are still some compatibility issues with some versions of Internet Explorer – actually it should give you a warning at the top. Best to use Chrome or Firefox till we got this ironed out.

    • Sunil Bhatia
      Participant
      Post count: 20

      Thanks. Yes, it’s working better in Chrome. By the way, where do I find the annual CAGR & Max. Drawdown in numerical form (instead of graphical) for each year 2009-2016 for the Custom Portfolio. When I scroll down I only see graphs.

    • Alexander Horn
      Keymaster
      Post count: 212

      Thanks Sunil, will put the yearly stats on my evergrowing todo list 🙂

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil,

      have added a monthly and yearly CAGR matrix above, think this also is ok for seing the MaxDD. Please let me know if this is what you´ve been looking for.

    • Sunil Bhatia
      Participant
      Post count: 20

      Thanks Alex. Yes can see the monthly & annual performance. Where can I see the Max. Drawdown, I am not sure where to find that.

      By the way has this feature for monthly and annual performance & MaxDD been added to the Excel version as well?

    • Sunil Bhatia
      Participant
      Post count: 20

      Hi Alex,

      Thanks for adding monthly and annual returns to the Portfolio Builder tool. This is a great enhancement.

      I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

      Can you please check October, 2011. The matrix shows only -0.55% as the monthly return. The actual for this month is closer to -5.00%

      Thanks again.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil,

      Thanks for the feedback, appreciated as always!

      Had a look into this in depth, and the data is right as shown. Monthly Return versus DrawDown sometimes is not very intuitive though, it depends on when the HighestHigh (Peak) and the Low (valley/through) has occurred, and also whether the data is on daily, weekly or even monthly frequency.

      Below a chart and attached an Excel table, will also write a short post as I guess many people have the same question:

      Here comes the science:
      In the case of the Excel tool where you can see the data, the peak in the equity line of 202 was reached 9/22, so the drawdown vs the Low on 10/27 indeed is 6.9%. At the same time, the monthly return between 9/30 (196.7) and 10/31 (194) was -1.3%. So the drawdown started before October, and partly recovered before end of October, it was not fully realized in October

      Now, in the Online version I only use weekly data to keep the tool fast enough, second graph:
      There the peak in the equity line of 199 was reached 10/3, so the drawdown vs the Low on 10/24 is 4.2%. The monthly return between 9/26 (195) and 10/31 (194) was -0.5%, what I show in the Online tool. So the drawdown started in October (the peak of 202 during the week of 9/22 is ignored), and partly recovered before end of October, also here, it was not fully realized in October

      Hope this explains,
      All the best,
      Alex

      Return and DrawDown

      Attachments:
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    • Sunil Bhatia
      Participant
      Post count: 20

      Hi Alex,

      Thanks for the detailed explanation. I agree with you that the monthly returns are not the same as max. drawdown.

      If in the matrix you just created at the bottom of the tool for monthly and annual returns, if you can please add one column for max. drawdown for each year and indicate month in which that drawdown occurred, then everything becomes crystal clear.

      Thanks again for all you do. Much appreciated!

    • Alexander Horn
      Keymaster
      Post count: 212

      Have just added the Drawdown as requested, please have a look.

    • Sunil Bhatia
      Participant
      Post count: 20

      Alex,

      You guys are awesome. The addition of drawdown makes this a complete tool and a great one at that.

      By the way, in the Online Portfolio Builder (weekly numbers) vs. Offline Excel Portfolio Builder there will be differences in max. drawdown numbers, but why are there differences in CAGR numbers? For my custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%), the online version gives a CAGR of 22% and Max. drawdown of 4.8% and the Excel version gives CAGR of 27.5% and Max. Drawdown of 6.96%.

      Finally, is there a way you can please add the monthly & annual returns as well as max. drawdown information as a separate tab to the offline Excel version of Portfolio Builder?

      Thank you so much. Much appreciate every effort you put in towards customer requests.

    • Alexander Horn
      Keymaster
      Post count: 212

      My Pleasure! “Tu me dices rana y yo brinco” – You tell me frog and I jump 🙂

      The differences between Excel and Online version come from the different timeframes, there is a three months off-set in the Excel tool, so some of the flat days in early 2008 are excluded, which increases the CAGR. Think I will rather move the Excel version also to weekly data and exactly same timeframe to eliminate these confusing differences. We´ll loose some details but then everything matches.

      Will include the statistics by year/month in the Excel tool also.

    • Sunil Bhatia
      Participant
      Post count: 20

      Thanks Alex. I understand the differences much better now.

      By the way, my 2 cents – You don’t need to move the Excel version to weekly just to match with online version. The daily details on returns are good to have in that version if anyone wants to refer to them for whatever reasons.

      “Best Quantitative Strategies available today combined with the best in class tools like The Online Portfolio Builder & The Online Allocation Tool. Makes it easy for an investor to just spend a few minutes every month and the algorithms do the rest. Unbelievable ease of use combined with Fantastic risk-adjusted results”.

  • Mark
    Participant
    Post count: 5

    Thank you, good tool. Any progress on reducing the number of strategies without significantly impacting performance? I’d like to use 3-4 strategies to keep the number of etfs manageable.

    • Alexander Horn
      Keymaster
      Post count: 212

      Thanks Mark! Have some portfolios ready, will post them within a week. I also think 3-4 strategies is the maximum reasosable number to handle.

  • Greg
    Participant
    Post count: 6

    Hello LI – really like the tool and ease of us but I don’t see any functions to exclude certain portfolios like the Excel version permits. Am I missing something or is it an all or nothing comparison? Cheers, Greg

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Greg, the idea of the preconfigured portfolios in the online version is rather to be used as a starting point for your own custom portfolio. I do not want to overload it with solver optimizations, but rather keep it simple and easy to understand. You can always do advanced analysis in the Excel tool and then simply copy over your final Custom Portfolio, this is how I handle it for my own – but always open to suggestions.

      Next Excel version is basically ready, will post it over the weekend.

  • Sunil Bhatia
    Participant
    Post count: 20

    Hello Alexander,

    I need your help. This Portfolio Builder is an amazing tool and works so well.

    I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

    I would like to be able to see Annual returns, and drawdowns every year from 2008-2016. Can I download the data in Excel and it will show me that info? Because the tool at the bottom only shows a chart and shows correlation data.

    Thanks for your attention to this request.

    • Alexander Horn
      Keymaster
      Post count: 212

      Sunil, will try to quickly put some simple performance statistics into the tool, and then we go from there to further enhance them based on community feedback, ok?

    • Sunil Bhatia
      Participant
      Post count: 20

      ONLINE PORTFOLIO BUILDER Vs. EXCEL PORTFOLIO BUILDER: DIFFERENT RESULTS DISTURBING. WHICH TO TRUST.

      I have created a custom portfolio (comprising of 5 strategies – BRS -25%, MYRS -15%, 3xUIS – 5%, Nasdaq100 – 25%, Gold/Currency – 30%). This portfolio in the backtest from 2008-2016 is showing 22% CAGR, Sharpe Ratio of 2.45, and Max. Drawdown of 4.8%.

      The Excel version gives 29% CAGR and 12.4% Max. Drawdown.

      Please help resolve my confusion and uncertainty. I think you guys are doing a great job and after you rolled out these tools, I have increased the AUM utilizing your strategies, but now feeling nervous i.e., what is the results are too good to be true.

      Helping provide some details on how the drawdown goes down to 4.8% when each strategy has double digit drawdowns will help. If you want to do this offline, send me an email and we can one on one communication and not bore the rest of the subscribers. Thanks

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil,

      thanks for your interest in the tools, appreciate the feedback. The differences are due to different timeframes and granularity between the Excel and Online tool, when looking at performance data both need to be always considered.

      The Excel tool is based on daily returns of our strategies, while online I can only use the weekly returns to avoid making the tool too slow. This causes two effects, one being a 3 month offset of the timeframe (Excel from 4/25/2008, Online from 1/22/2008, both till last trading day) and a change in granularity which affects especially Volatility and Max DrawDown.

      The results in CAGR ( and volatility) are basically from the 3 months offset, the difference in MaxDD might need an additional explanation:

      What is MaxDD actually? There is a realized MaxDrawDown, i.e. the peek-to-valley you see in your account balance when you rebalance monthly, e.g. not considering the unrealized gains and losses, And then there is unrealized DrawDown, the peek-to-valley you observe on a daily, weekly or even intraday when you look at your account including currently invested.

      Online you see a small weekly DrawDown of 4.8% (e.g. on a weekly level the max “reduction” including unrealized gains/losses), while the Excel tools give you the opportunity to see daily drawdown – much bigger dives of up to 12.4%. See here a previous post including a chart and Excel to explain.

      More confused now? Good! We´ll always try to make you deep-dive into and reflect on the numbers – there are no easy answers – sorry.

      Happy to further discuss,
      Alex

  • Richard
    Participant
    Post count: 1

    Alexander, fantastic tool.

    In order to keep the number of monthly share changes reasonable, I would like to deal with a smaller number of portfolio options, but yet utilize “Portfolio Options” rather than “Custom Portfolio” when using the portfolio builder tool. Would it be possible to eliminate some of the portfolio options and still utilize the “Portfolio Options” aspect of the builder tool?

    I can accomplish the same thing using “Custom Portfolio” and then running multiple iterations to achieve the desired characteristics, but this approach is labor intensive.

    Thanks for your help.

  • Alexander Horn
    Keymaster
    Post count: 212

    Hello Richard, have you had a look at the Excel Portfolio Builder? This allows you to choose the Strategies you want to include, and then optimize for return with constraints on volatility and drawdown. I guess this is what you are looking for. As mentioned above I will also publish some new portfolio with only 3-4 strategies employed.

  • reuptake
    Participant
    Post count: 24

    Is it possible to simulate the MYRS before 2012? Does the fact that pre-2012 data for MYRS is not available affects results a lot?

    • Alexander Horn
      Keymaster
      Post count: 212

      The issue is that ZIV was only issued in 2011, so any synthetic backtest (data is available) would be meaningless. For the portfolio builder we´re taking a very conservative approach and ignore any allocation to the MYRS prior to inception, that is we exclude the allocation from the calculation. This is the reason the strategy performance only shows 27% instead of the 42.9% real performance 2011-2016 on the strategy page.

    • reuptake
      Participant
      Post count: 24

      Thanks. So in fact MYRS is more aggressive than 3xUIS?

      BTW: the monthly/yearly profit table is very helpful, thanks!

  • Alexander Horn
    Keymaster
    Post count: 212

    From a performance perspective, both are about the same, but fundamentally the are quite different (3x Bond/3x Equity vs Bond/Inverse Volatility). Both are very aggressive, and should therefore be used only for a fraction of ones investment.

    • reuptake
      Participant
      Post count: 24

      The reason I ask is because I wonder which one would perform better in case of crisis like 2007/2008. Today wasn’t a good day for both strategies…

  • Alexander Horn
    Keymaster
    Post count: 212

    Oh yes, I´m also invested in both among others and today was indeed ugly!

    Both strategies have a Bond Component which acts as crash-protection during longer drawdowns. But keep in mind that this does not protect from days like today when everything goes south!

    Today:
    SPY – 2.45%
    TLT -1.65%
    Gld -0.66%

    There are many acticles about record-high cross-asset correlation, today was a nice example: http://www.bloomberg.com/news/articles/2016-09-08/asset-contagion-worse-than-2008-as-markets-held-hostage-to-rates

    • Sunil Bhatia
      Participant
      Post count: 20

      Hi Alex,

      Based on the Bloomberg article link in your post above, if the negative correlation between stocks and treasury bonds breaks down, then would not all Logical-Invest strategies produce negative returns at the same time, causing huge drawdowns?

      Since the strategies do not employ shorting the equity or bond markets, the only way to escape those drawdowns would be to go to cash, right?

      Can you or Frank comment on how the strategies would react in a scenario (worse than 2008) from a breakdown in correlations, as the Bloomberg article is predicting is happening right now?

      Thanks for your insights!

  • Alexander Horn
    Keymaster
    Post count: 212

    Hello Sunil,

    this is a very good question which is one of the main motivations for us to research – our own skin (and money) is in also!

    What are your options in a drawdown?
    – Go to cash inmediately after any drop using stop-loss: You will suffer horrible whipsaws, and/or get stopped out at the worst possible moment.
    – Permanently hold hedges through options or shorting equity: Eats into profits over long-term.
    – Employ cash rotation algorithm to go to cash: Best you can do is limit your loss, but cash value will not increase
    – Or: Use rotation algorithm to safe haven (Treasuries, Gold, JPY) as we do – and here comes the correlation to play.

    Here two charts, one for:
    Short-term, 10days, cross-asset correlation (what Bloomberg and other articles refer to) and
    medium-term, 60days, cross-asset correlation,
    both for correlation betwen S&P500 SPY and each TLT, EDV, TMF, Gld

    You can see that the current 10day correlation is high for all (0.57 to 0.7), but 60day correlation quite low (-0.4 to -0.52). So even if short term correlation is high, the flight into safe havens will help you not only to limit losses, but due to negative correlation also offset part of it.

    Diversification among several strategies is another way to limit losses and/or benefit from volatility and cross-strategy correlation as I´ve shown in the recent post about correlation.

    Here a short live video from an AAII presentation: https://www.youtube.com/watch?v=EceUsc4CBtk, and here the Excel data for the charts above.

    Hope this helps, happy to further discuss.

    • Sunil Bhatia
      Participant
      Post count: 20

      Hi Alex,

      Thanks for the recap on the 10-day and 60-day correlations between asset classes. Appreciate the Youtube videos as well from the AAII conference.

      Do you keep this correlation data on the website for subscribers to access? If so is it the same links as indicated above?

      By the way, the reason I have part of my portfolio in a basket of 5 Logical-Invest strategies is that you, Frank and others at LI invest your own money in these strategies and are fully incented to improve them and add strategies.

      Are you rolling out the monthly system which will advise which strategies to overweight in the upcoming month?

      Thanks again for all you do. Truly appreciate it.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil,

      here a quick tool for tracking correlations of several instruments. You can save your own copy on google drive after opening: https://docs.google.com/spreadsheets/d/1zGNXdyqicycmU6ywee9dxO9bGf3MsEaUquPi0_amg64/edit#gid=0

      I can also put something more stable on our site if there is interest.

    • Sunil Bhatia
      Participant
      Post count: 20

      Alex,

      Thanks for providing the correlation link. Any page you can put up on the web site regarding correlation data would be extremely useful.

  • reuptake
    Participant
    Post count: 24

    This is very interesting, thank you. I had the same question in my mind, Sunil asked it first.

    And I had an idea, but after looking at this chart I wonder if it’s still valid. My idea is to check the correlation for some past period (eg. 1 month) and slightly adjust allocations based on it. Example: let’s assume that allocation for next month would be 50/50 SPY/TLT and let’s assume that “typical” (long term) correlation between SPY and TLT is -0.6. If in the previous month the average correlation was higher (eg. -0.2) we’d allocate 40/60 SPY/TLT, using bit more hedge – because we’re assuming that TLT is for some reason less efficient hedge.

    Another idea is to use different hedges (again, based on short term correlation). So if recently GLD is a better hedge use GLD.

    This of course has to be backtested. I don’t have much hope it will improve results, but who knows?

  • James Vitale
    Participant
    Post count: 4

    Hi Alex

    I read that the Custom Portfolio Builder and the Consolidated Signals were still being tested. Are they out of beta and confirmed ready to use at this time??

    Many thanks
    Jim V

  • Alexander Horn
    Keymaster
    Post count: 212

    Hello Jim, yes, both tools are ready to use thanks to the many feedback. I´ve taken the ´beta´status comment out.

  • Sunil Bhatia
    Participant
    Post count: 20

    Hi Alex,

    The monthly returns for September in the Online Portfolio Builder tool are understating the returns for the Portfolio that I have. Is there a bug in the monthly calculations for September or has it perhaps not been updated yet for September monthly returns?

    • Sunil Bhatia
      Participant
      Post count: 20

      Alex,

      As an example if you input 100% into the Online Portfolio Builder Tool for Nasdaq 100 strategy, it shows a monthly return of only 0.77% for September, 2016. It is thus showing the YTD 2016 return of 16.46%

      Was the return not closer to 2.9% for September, 2016 and the YTD 2016 return was 18.23% as reported in the email yesterday?

      Can you please update numbers for September or fix the bug if any.

      Thanks very much for all you do. Much appreciated!

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil, you are right, this is once again due to the weekly data used in the Online tool. By next week the MoM and YTD numbers will be updated.

  • Sunil Bhatia
    Participant
    Post count: 20

    Alex,

    In the Max. Yield Strategy you folks wrote ZIV & TLT in the email and the Online Portfolio Builder tool was also picking TLT. It has since been corrected to TMF from TLT. No email revision was sent out. Please clarify. Thanks.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hello Sunil, it had been right in the signal post and email, but wrong in the tools and tables. Vangelis has adressed it here.

      Sorry for the error, will monitor more closely in future.

  • James Vitale
    Participant
    Post count: 4

    Hi Alex

    I read and understand that the Portfolio Builder Online vs Excel gives (significantly) different results for a portfolio and why…….But I’m not sure what one is most valid. I’m making some major investment decisions soon and need your recommendation on whether to use the online or the Excel results.

    Thanks
    Jim

  • Alexander Horn
    Keymaster
    Post count: 212

    Hello Jim, thanks for your understanding. I´d suggest you use the Online Portfolio Builder for performance analytics then. We´ll continue developing it in the next months with further features, so it´s the tool to use.

  • Alexander Horn
    Keymaster
    Post count: 212

    Here a short summary on how to build some of the portfolio options from the Portfolio Builder in QuantShare, and further enhance them with different algorithms: https://logical-invest.com/forums/topic/showing-off-the-best-strategies-and-portfolios/#post-38652

  • Michael Wagner
    Participant
    Post count: 1

    I am new to this and have a question about re-balancing in the 15% max DD portfolio. In order to stay true to the back tested results, when the mid month signal comes for the “maximum yield rotation” portion of the strategy, do I re-balance the entire portfolio TMF position or just the portion of TMF that is allocated to the MYR position?
    Thanks. Mike

    • Alexander Horn
      Keymaster
      Post count: 212

      Hi Michael,

      excellent question, also came up yesterday in this post: https://logical-invest.com/forums/topic/quants-more-technical-details-facts-and-discussion/#post-38951

      Generally all strategies and portfolios of strategies should be rebalanced monthly. If you trade Maximum Yield, then this should be rebalanced every two weeks. If you have a portfolio of different strategies, with one being Maximum Yield, then rebalance the Maximum Yield ETF every two weeks, but the overall portfolio only once a month.

      If you use the “Consolidated Signals” page, then everything is done in one step, just use the “Total Weighting” column, which is considering the allocations of ETF within Strategies as well as the weighting between strategies.

  • reuptake
    Participant
    Post count: 24

    You should only rebalance the MYRS part of it. It’s a bit tricky, I have my own Excel sheet to do this. To be honest, when there’s no allocation change to TMF/ZIV I sometimes skip mid month rebalancing.

  • Derrick Scheid
    Participant
    Post count: 14

    I noticed my returns have been different than your portfolio builder tool reflect, I thought it was just normal timing and slippage differences however the discrepancy was larger in March. When I compare the numbers on this portfolio builder tool to those on the strategy signals page they are different. For example when I enter 100% UIS on the custom portfolio tab above I would expect the monthly numbers to match those on the simple strategy signals page but they do not.
    Jan.-Mar. custom port. builder shows: 1.40%, 2.45% -.78%
    The strategies signals page shows: 1.34%, 2.52% -.19%
    Not a huge difference, but when combined with my other 2 strategies that are also slightly different the discrepancy grows. (My custom portfolio returned 2.92% in March, when I input my custom portfolio above it shows just .57% for March)

    Any idea why this is happening? I have found this to be a very helpful tool, so I just want to be sure I understand how it works.

    Thank you.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hi Derrick,

      thanks for the comment! The tool works on a weekly base vs the performance calculations for the strategy signals which are daily, so the rebalancing and compounding is slightly different. Especially if you only look at one month you will also have a shift of several days.

      I currently cannot put the online tool on a daily mode, it becomes too slow. So for exacter analysis please use the Excel Portfolio Builder for the time being. This reflects the daily data from the strategy signals so you can verify the daily performance and prices.

      Hope this explains,
      All the best

  • reuptake
    Participant
    Post count: 24

    From what I understand performance tables are using closing price from the day before we receive the signal email. Eg. if we get the signal on April 1, for strategy performance table price on close March 31 is used.

    This is unrealistic, since we cannot trade on closing price as we don’t have signal.

    Please correct me if I’m wrong. If not, I think it should be corrected.

    • dfbrobst
      Participant
      Post count: 2

      Sir, I had similar issues, ie slippage and market movements from last day of the month close to first day of the month open. I chose to subscribe to the QT (an extra $500 per year), and now I run the signals 90 minutes or so before the close.

      I’m now able to use Market on Close orders at my broker, and get the exact same results as the systems.

      Good luck. D

      1 user thanked author for this post.
    • reuptake
      Participant
      Post count: 24

      Thanks for the suggestion, it’s worth considering. $500 is quite a price for this. Theoretically it shouldn’t impact performance that much, and this impact shouldn’t be always negative (in my case it’s mostly negative, but maybe in the long term it will average to zero).

      That said I think it’s bit misleading to use price that is not available to subscribers. Open price from next day would be more realistic.

  • John McLean
    Participant
    Post count: 2

    Note also posted on FB direct message.

    I am a subscriber to all portfolios and have chosen 25% each in Bond Rotation, Nasdaq 100, Global Sector and Max Yield.

    Through the 24th of April the returns for each from your website were as follows:

    BRS 1.27%
    Nasdaq 1.86%
    Global Sector 1.52%
    Max Yield 3.41%

    Yet the return shown for the month from the custom portfolio table for this allocation is 3.05%. This is incorrect. My calculations using your returns (not mine which seem lower) show it should be 2.015%. Please check this out and see what the problem is. I am making financial decisions based on the information you are presenting. The presumption is that this information is correct. Now I am wondering about all of the returns you are representing. Are they correct??

    • Alexander Horn
      Keymaster
      Post count: 212

      Thanks for the comment, had a similar discussion over email recently.

      The portfolio builder is based on weekly data to make it speedy enough for real-time queries. Thus the base for the performance calculation in the monthly table is always the last week of the preceeding week, here March 27. So for April the calculation is currently for the three weeks since 3/27 until 4/21 (week of 4/17).

      Doing the math on daily data you probably took 3/31 until 4/24, this explains the gap. Below the underlying data so you can reconcile, see especially the 1.74% in the week of 3/27.

      The initial idea for the tool was for building a portfolio with long-term data, not real-time performance tracking – which undoubtly is raising now questions. Let me see how I can match better between the daily strategy performance and the portfolio builder.

      Here an Excel file with the data.

      Attachments:
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  • Mohamed Yosry
    Participant
    Post count: 5

    Hi Alex,
    If I want to get the latest allocation for certain portfolio (i.e. CAGR 15% Vol) at 3 PM to rebalance before the end of trading day, which portfolio builder would I use, online or Excel version? Is there a plan to integrate these portfolios with QuantTrader software in the futures? Thanks.

    • Alexander Horn
      Keymaster
      Post count: 212

      Hi Mohamed, the Portfolio Builder (both online and Excel) and Consolidated Signal tool is driven by the signals we publish only after end-of-month, e.g. for trading at the next open.

      If you want to trade at the close, you´d need to use QuantTrader. We just introduced a new feature which allows you to download intraday data for example at 2pm last day of the month, create signals for all your strategies and trade them before close, see here: https://logical-invest.com/forums/topic/getting-started/#post-39984

      To repeat something we´ve stated before several times: The difference between trading at close, or next open, or even somtimes during next trading day is long-term not significant (<+/-0.5% p.a. in average). But it might be important for you depending on your trading type. Some people like it relaxed, receive our signals, analyze and trade next day. Some others prefer to have it near-real-time, especially before going into a weekend. Your call at the end.

  • Mohamed Yosry
    Participant
    Post count: 5

    Thanks Alex but QuantTrader will not give you for example Max CARG with variable Vol% unless there is a way to get it taht I am not aware of.

  • daniel morton
    Participant
    Post count: 3

    Hi Alex,

    Can you please add drawdown duration. Thanks.

  • Don Krafft
    Participant
    Post count: 3

    Hello Alexander,

    What is the source of your stock quotes? I thought you were getting them from Yahoo finance but I see that their API is no longer working for providing stock quotes. I was using that source for a separate analysis spreadsheet that I use. I’m looking for a new source for historical quotes.

    Thanks,

    Don

  • daniel morton
    Post count: 0

    Hi Alex,

    Can you pls add Sortino ratio as a variable and allow the ability to maximize on Sortino. Thanks.

Reply To: Online Portfolio Builder

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