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 [...]
On Saturday February 11, 2017 the QuantTrader Community of Logical Invest hosted their first interactive Webinar to explore the functionalities of the software and exchange on tips for building and backtesting high-performing ETF rotation momentum strategies for retirement and savings accounts. Background of QUANTtrader QUANTtrader is a swiss-made software tool used to develop, backtest and implement rules-based ETF Rotation investment strategies. Since it is built by a trader and long-time investor rather than by a developer, QuantTrader’s main strength is in building medium to long term investment portfolios that are diverse, adaptive and can control risk. All this without writing a single line of code. The software comes per-populated with all strategies currently run by Logical Invest. These are strategies that have been successfully running “live” for 1-3 years as of February 2017, so you can actually track past performance. You can customize, tweak existing or build your own strategies. Live Recording of the Session - 2 hours in-depth review on ETF Rotation Momentum Strategies Agenda: How to get started? File Management & Main functionalities Benefit of QuantTrader Dynamic Allocation vs. Online Portfolio Builder Markowitz Modern Portfolio Theory Ranking Algorithms and Strategy Parameters Optimization routine and how to avoid over optimization Extending backtests with synthetic tickers Consideration for combining strategies into MetaStrategies Showing off – Some of the best strategies and portfolios so far Free 30 days trial – Try it out now! Interested in giving it a try? Build your own high performing Portfolio for savings or retirement account, most IRA and 401k plans are supported. No credit card or PayPal needed, register now. To learn more about building your ETF Rotation Momentum strategy with QuantTrader see here. A good fit for Advisors and money managers using ETF Rotation Momentum Strategies In many ways, QT is a good fit for [...]
We analyse one of the Fidelity Freedom Target Date Funds (FFFDX) versus a portfolio of ETF rotation strategies - The findings will surprise you! This is a guest post by Richard Manley, first published on Richard´s Corner, the Logical Invest User Community: Defined contribution retirement plan using target date funds There’s no shortage of challenges facing working people in these days. In addition to job outsourcing and the offshoring whole operations, inflation/deflation and zero interest rates on savings, most workers who have a retirement plan have one that’s called a “defined contribution plan”, in the US in many cases it’s also called a 401K. In such a plan, a participant contributes before-tax funds, often matched to some degree by the employer, into an account that is intended to accrue and grow until retirement age when it can be distributed over one’s retirement lifetime. This kind of plan of course puts the responsibility and burden of making wise investment choices on the individual. Most working folks are not trained in finance or security selection or portfolio construction and are thus left to rely on their own uninformed devices or advice from financial gurus in the media or in newsletters or cable TV talking heads, or merely to reactionary emotions that attend to most of us during extreme financial events. The U.S Dept. of Labor’s new “Fiduciary Rule” will take effect in April, but what practical effect this may have on individual’s specific investment actions under defined contribution plans remains to be seen. As a retirement plan investor, I’ve experienced all these pitfalls and more while I’ve tried to save enough to comfortably retire someday. A coherent approach to managing my modest retirement assets was clearly lacking and as a result I found myself thrashing my account to respond to the [...]
Intelligent Algorithms run two prallel sub-strategies. Meta- layer chooses between the two sub-strategies based on current market conditions. Variable allocation to Treasuries provides protection from large drawdowns.This strategy is a good fit for investors that want to invest intelligently in the U.S. equity market as well as for stock-pickers looking for a rules-based growth strategy. The strategy can also complement our existing strategies and can work well with our more conservative strategies like BRS (bond rotation), the BUG or with non-U.S. equity strategies like World Top 4.
Diversification is a cornerstone to successful investing. In simple form, when measurably diverse assets are combined in a portfolio, the investors portfolio risks are reduced without any sacrifice of returns. This is a rare “free lunch”, it is well accepted part of modern financial portfolios, and to stay financially healthy it is important not to skip lunch. When one asset is going down while the other is going up, the portfolios risk is reduced without the normal penalty of risk/return trade-offs. We take advantage of that when our systems dynamically blend things like the S&P 500 and treasury bonds, which often exhibit negative correlation to each other (which is ideal).Applying Portfolio Diversification to Strategies: Our subscribers can take this take a step further. Our investing algorithms take on a blend of the properties of their underlying assets combined with the “alpha” edges from the investing rules. The returns of each investing strategy should be thought of as an asset, which are different and unique from the underlying holdings. So holding a portfolio of strategies functions much like holding a portfolio of assets. To evaluate the risk profile of the strategy, we examine the history of the returns of those strategies, much like when holding a basket of stocks the historical returns of each stock would be evaluated.
An analysis of Harry Browne´s Permanent Portfolio and further enhancements towards: A Permanent Portfolio ETF Rotation Strategy employing Momentum, Mean Reversion, and Volatility Targeting. It’s not just cars. It’s investment strategies like the permanent portfolio, too. Vintage "all-weather" investment strategies are often simple, easy to execute and give amble 'out-of-sample' data. In other words one can see how they performed in life years after they have been proposed. And like the VW bug, they are "safe" choices. Tried and true. Can you imagine a 1965 VW running in the Autobahn? Although the essence counts for a lot, for the car to survive at today's highway speeds the tech needs to be up to date. So let’s take my favourite oldie and bring it up to speed: Harry Browne’s Permanent Portfolio. The Permanent Portfolio by Harry Browne From Investopedia: … Browne believed that the four asset classes would thrive in one of the four possible macroeconomic scenarios that exist. Stocks would thrive during periods of economic prosperity. Bonds would do well in deflation and acceptably well during periods of prosperity. Gold during periods of high inflation would rapidly increase in value as the only true defence against a deteriorating currency. Cash would act as a buffer against losses during a routine recession or tight-money episode, and would act well in deflationary times. So let’s see how the original permanent portfolio Harry Browne first published has performed. The original rules of the All Weather Portfolio: 25% in a stock market Index ( S&P 500) 25% in Treasuries 25% in Gold. 25% in Cash or similar Not bad. Annual return is 7.1% and maximum draw-down comes in at 17.84% since 1992. For a far more detailed analysis of the so-called fail-save investment or permanent portfolio or "PP" you can see Gestaltu's excellent "PP Shakedown" [...]
In a previous post we introduced our new investment strategy, the BUG. There has been a lot of interest but also some concerns when it comes to using leverage. We are introducing a version of the BUG for non-leveraged accounts.In this version we allocate amongst 6 ETFs: SPY, TLT, GLS, CWB, TIP and PCY. Again as in the original strategy we use these heuristics: Timing (using a simple average rule), Volatility Targeting (we reduce exposure to more volatile ETFs), Momentum (we reduce the size of the worst performer and add to the rest). We don’t employ short term mean reversion and we only trade up to 4 assets.
Dear Subscribers,We are happy to announce that the full QuantTrader version is now available to individual investors for $150 a month or $1500 per year.We will cross-subsidize a bit with the high interest we´ve received from institutional investors like RIA and hedge-fund managers so far. Fair play requires that subscribers who manage their own or other people's assets above $1m subscribe to the institutional offering.QuantTrader is a fine piece of art mixed with a lot of investment technology. Knowing that all the knobs and options might lead to an initial overload - at least compared to the 60/40% off the shelff solutions out there - we will also continue with our 60 days money back guarantee.You can find a short description of QUANTtrader here. We have prepared extensive Help & FAQ site and a dedicated forum to get you started in an interactive mode. If there is interest we can also organize a webmeeting for a more detailed walk-through during the coming weeks, just let us know in the comments. In anticipation of a vivid discussion, The Logical Invest TeamAnd now some further promotion, just to show-off our pride a bit:All you need for steering your investment process in one place:Powerful Asset Allocation AlgorithmsLightning fast Backtesting & OptimizationHighly flexible data exchange with other programsHedging with different instrumentsInvestment History and Log Get access to all current and future Logical Invest StrategiesNo strings attached – nothing to hide! Adjust and modify all our strategies to your needs:Optimize to your own preferencesReplace assets with those from your 401k or IRA accountAdd hedging through inverse ETF, Bonds, Currencies, Commodities Develop your own custom strategies on the flyWhether you love simplicity or look for sophistication. We got you covered when building your own investment solution!Select your own assets in the custom asset allocationPick from different ranking and optimization algorithmsAdd volatility [...]
It has been now 18 months since our post on “The power of diversification: Portfolios of Logical Invest Strategies”. Back then our main argument for diversification using a robust portfolio of several of our strategies was that “diversification is ‘a rare free lunch’, it is well accepted part of modern financial portfolios, and to stay financially healthy it is important not to skip lunch”.Several new strategies have been published since then, among them the “NASDAQ 100” strategy, the “Gold-Currency” strategy and our “Hell on Fire”, the 3x leveraged Universal Investment strategy. At the same time, we went through the bumpy start into 2016 and most recently the waves created by the BREXIT referendum.Does our stated hypothesis of formerly presented portfolios still hold true? How have the individual components performed, and most importantly, have they added value through low correlation? Have new optimum portfolios emerged since then?
Logical Invest Investment Outlook March 2016 Market comment: February was another high volatility month, however it now looks like the world markets are slowly recovering. Here is a Year-to-Date chart of the world markets together with the defensive TLT (long duration Treasury) and GLD (Gold) ETFs. Last year, the normal inverse correlation of both TLT and GLD to equities failed to materialize for quite a long time. We had several months where Equities, Treasuries and Gold went down simultaneously. This was a very unusual and difficult situation for our strategies. This uncommon situation, where correlations between safe heaven assets (Treasuries and Gold) and Equity did not work as expected was due to the rare occurence when the FED tries to change to a regime of rising rates after years of falling rates. By now, it seems that this transition may not materialize in the near future, at least not as originally planned. This is very good for both Treasuries and Gold. Looking at the market from this correlations-based point of view it seems that so far this year everything is back to normal again. The stock market went down and the defensive treasuries and Gold went up. This is all we want. It allows our strategies to profit and outperform even during market corrections. Year-to-Date, most Logical Invest strategies are doing quite well. Only the most aggressive equity momentum strategies are still slightly negative, but this can change very fast if the market recovers. The new Gold strategy did very well this year and we think that such a strategy provides excellent diversification because it profits from the worldwide trend of central banks to fight deflation by printing more and more money. Every country tries to weaken their currency more than the others, and the winner of this will be precious metals, because these cannot be artificially duplicated. So, all together we [...]