The last few months have been exciting here at Logical Invest, and if you have missed some of it, let me catch you up what we´ve been doing to deliver the best ETF Investment Strategies: In November we expanded our partnership and added website tools and services. Our strategies had an excellent 2014, reviewed here. While the overall market had a rough January, we guided our subscribers towards making nearly +5% in just January, and every of our ETF Investment Strategies was up! We added new ETF Investment Strategies: the Bug, which provides an excellent non-correlated alpha, and the Universal Investment Strategy, using an approach that has done well for 20 years. We showed here how blending together strategies can dramatically lower your risks. Good discussions, examples and the tool. We love this stuff too much to take a break, so in the coming months you will see improved tools and new strategy capabilities: We are expanding the capabilities of customizing your portfolio of strategies and tracking the signals and results. A meta-strategy will be available that provides a model overlay using performance, volatility and cross correlations to dynamically allocate between ETF Strategies. Selected new ETF Investment Strategies will serve investor & traders different objectives. Thanks again for supporting our research, tool developments, and participating in the forums. Keep telling us how we are doing.
In the follow up to our webinar about how to compose top performing ETFs strategies among the QuantTrader community last weekend, we received many interesting questions and ideas to follow up. One question in particular I´d like to share in a post, as it involves all our “All Strategies” subscribers.John L. asks: “Using a simple meta strategy by choosing the top two strategies from the previous month (from the monthly newsletter), and investing in them the next month (repeating that each month). I wonder if that can be backtested and compared to past 3 months or a static meta strategy. Perhaps comparing the top 2 each month strategy to the choosing the top 2 from the last 3 months. And comparing the top 2 each month or 3 months to a static strategy of the top 2 - 4 over the full backtest period or past 5 or 10 years.”So in other words, what´s the best way to pick from the Top Performing ETFs Strategies of the last months, and allocate equal amount of money among them? We publish the performance of all our strategies monthly in a handy ranking table, so it´s easy to pick each month the best performers of the last months, and repeat this throughout the year.The idea is appealing, as it is an enhancement from our Portfolio Builder Approach, where we apply modern portfolio theory to assemble a fixed weighting portfolio based on the historical performance and co-variance between the strategies. By modifying this to a momentum style “strategy picking” of top performing ETFs strategies we react to changes in the market and therefore overcome one of the critiques MPT receives frequently.Top Performing ETFs Strategies in one PortfolioI modelled this quickly in QuantTrader, following the “Strategy of Strategies” approach we introduced in QuantTrader in the last [...]