Enhancing Harry Browne’s Permanent Portfolio strategy using ETFs and monthly rebalancing

Enhancing Harry Browne’s Permanent Portfolio The Permanent Portfolio is a simple, diversified portfolio You can construct it using 3 ETFs: SPY, TLT and GLD We enhance it by allowing variable allocations and monthly rebalancing We offer a free subscription so you can implement it in your own account including 401k or IRA  What is the Permanent Portfolio by Harry Browne Harry Browne’s intention was to find a solution for the money “you need to take care of you for the rest of your life”. He called it the Permanent Portfolio [...]

A Global Market Rotation Strategy with an annual performance of 41.4% since 2003

The following ETF strategy is one of my favorite rotation strategies, which many of my friends, customers and I use now for some years. The Global Market ETF Rotation Strategy (GMR) The GMR Strategy switches between 6 different ETF on a monthly basis. The back tested return of this strategy since 2003 is quite impressive. Annual performance (CAGR) = 41.4% (S&P500=8.4%) Total performance since 2003 = 3740% (S&P500=134%) 69% of trades have positive return versus 31% with negative return You find the most recent performance table here. ETF [...]

Harvesting Contango: How To Build An ETF Rotation Strategy With More Than 50% Annualized Returns

In this paper I want to explain the readers how the Maximum Yield Rotation Strategy of is built. This strategy harvests the so called Contango. Harvesting Contango by investing in inverse volatility This Strategy harvests contango and achieves very high returns investing in inverse volatility. From 2011 to today the annual performance was more than 70% per year. Year to date the performance is 40.9%. The Sharpe Ratio (Return/Risk) of 2.12 is a "DREAM VALUE" and I doubt that someone can show me a strategy with a higher ratio. [...]

Volatility Premium – Why we invest in ZIV and not in XIV

Several times I have been asked why we invest in ZIV (inverse mid-term volatility) and not in XIV (inverse front month volatility) in our Maximum Yield Rotation Strategy and in the "Global Market Rotation Enhanced Strategy" to harvest the volatility premium. Harvest Volatility Premium smartly After all, front month VIX Future contango is about 2-3x bigger then medium term contango. At the moment XIV profits from nearly 9% monthly VIX Futures contango. ZIV profits from about 3% monthly VIX Futures contango, or volatility premium Normally you would think that XIV should [...]

New Maximum Yield Rotation Strategy backtest charts

Here are two backtests charts of the new MYRS strategy with adaptive allocation, now also suitable for your retirement account. The annual return of the old and the new strategy is more or less the same. During low volatility markets, the return of the new strategy is probably slightly lower, however during difficult volatile years like 2014, the return of the new strategy is significantly higher and the drawdowns and the risk is reduced nearly by a factor of 2x. The slightly lower return is due to the fact that some [...]

Permanent Portfolio – Will We Ever Kill The Bug?

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 [...]

The new reviewed Bond Rotation Strategy

From the next strategy email on, the Bond Rotation Strategy will also use adaptive ETF allocation, to make is more suitable as IRA or 401k Investment Strategy. This new technique allows a 30% higher Sharpe (return to risk) ratio. Together with this change we have also changed the ETF selection from the old: AGG - iShares Core Total US Bond (4-5yr) BOND - PIMCO Total Return ETF CWB - SPDR Barclays Convertible Bond HYLD - AdvisorShs Peritus High-Yield Bond (3-4yr) SHY - Barclays Low Duration Treasury (2-yr) TLH - iShares Barclays [...]

The new enhanced Bond Rotation Strategy with adaptive allocation

On November 2013 I published the first SA article on the Bond Rotation Strategy (BRS) as excelent diversifier for a 401k Investment Portfolio. Now, 15 months later, I am presenting an important update for this strategy with adaptive allocation. Even though the old strategy has done well (see charts here:, I think it is very important to constantly validate and improve any investment strategy. Markets change, ETFs change even we ourselves grow and learn. Especially as I´ve been approached by US Investors asking whether this was a suitable strategy [...]