This is the monthly Logical-Invest newsletter for July 2015.
Strategy performance overview:
| symbol | close | year to date % ▴ | 3 month % | 1 month % | 1 day % | 60 day volatility | 60 day correlation | 3 month Sharpe | 12 month Sharpe | 36 month Sharpe |
|---|---|---|---|---|---|---|---|---|---|---|
| WORLD-TOP4 | 284.82 | 8.27 | 0.85 | -1.21 | 0.68 | 12.57 | 0.69 | 0.43 | 3.01 | 3.24 |
| MYRS | 615.56 | 5.11 | 1.02 | -1.80 | 0.53 | 14.39 | 0.69 | 0.42 | 1.11 | 2.85 |
| GMRS | 4296.50 | 3.77 | -3.35 | -1.76 | 0.12 | 8.81 | 0.86 | -2.20 | -0.06 | 1.65 |
| UIS-SPXL-TMF | 5728.03 | 3.73 | -8.22 | -6.90 | 0.51 | 24.99 | 0.89 | -1.63 | 2.25 | 2.85 |
| GSRLV | 480.78 | 1.72 | -4.02 | -2.76 | 0.32 | 8.75 | 0.76 | -2.53 | 1.14 | 2.16 |
| UIS | 464.10 | 1.62 | -2.46 | -2.24 | 0.10 | 8.31 | 0.88 | -1.69 | 2.24 | 2.71 |
| SPY | 205.85 | 1.09 | 0.20 | -2.03 | 0.18 | 10.42 | 1.00 | 0.12 | 0.90 | 2.41 |
| BRS | 247.10 | -0.06 | -2.44 | -2.70 | 0.48 | 6.60 | 0.60 | -2.29 | 0.72 | 2.53 |
| AGG | 108.78 | -0.34 | -1.83 | -1.08 | -0.06 | 3.98 | -0.17 | -2.54 | 0.75 | 0.77 |
| BUGST | 213.42 | -2.00 | -3.33 | -2.75 | 0.10 | 6.24 | 0.51 | -3.10 | 0.53 | 2.29 |
| BUGLEV | 275.08 | -2.03 | -2.96 | -3.28 | 0.11 | 8.31 | 0.52 | -2.06 | 0.28 | 2.02 |
| GMRSE | 5963.55 | -2.37 | -7.75 | -2.34 | 0.37 | 12.60 | 0.51 | -2.99 | -0.49 | 2.35 |
| GSRAG | 486.93 | -5.21 | -4.80 | -4.22 | 0.46 | 15.81 | 0.78 | -1.56 | -0.47 | 1.70 |
| TLT | 117.46 | -5.76 | -9.56 | -4.07 | -0.63 | 16.56 | -0.32 | -2.61 | 0.64 | 0.03 |
Symbols:
BRS – Bond Rotation Strategy
BUGST – A conservative Permanent Portfolio Strategy
BUGLEV – A leveraged Permanent Portfolio Strategy
GMRS – Global Market Rotation Strategy
GMRSE – Global Market Rotation Strategy Enhanced
WORLD-TOP4 – The Top 4 World Country Strategy
UIS – Universal Investment Strategy
UIS-SPXL-TMF – 3x leveraged Universal Investment Strategy
AGG – iShares Core Total US Bond (4-5yr)
SPY – SPDR S&P 500 Index
TLT – iShares Barclays Long-Term Trsry (15-18yr)
Market comment:
Global equity markets sold off these last days of June because of Greece “Grexit” fears. Unfortunately these last two days have been enough to change the positive monthly performance of most strategies into a negative one. For June, most asset classes like U.S. equity, foreign equity, treasuries and gold, all had negative performances. This is a rare situation. Normally at least one asset class goes up.
This year, best strategies have been the World-Top4 and the MYRS strategy. There are still booming single countries, and ZIV still collects about 2% roll yield per month, even if the market goes sideways or slightly down. These two strategies are followed by equity strategies like, Global Market Rotation, low volatility Global Sector Rotation and UIS.
Worst performers have been strategies which are heavily invested in bonds, like BRS, and the two BUG strategies. Bond allocations in most strategies have been reduced, although maintaining some exposure is an important insurance policy should unexpected events occur.
There will probably still be some additional volatility ahead of us, at least until we know what happens with Greece. Most analysts believe that “contagion” risk around the Greece situation may be limited as Greece poses little systemic risk. The market (and economies) of Europe are in much better shape today than they were in 2011 or 2012.
Knowing that these volatility spikes normally quickly mean revert to normal levels, I would use them to profit from the lower ZIV price and invest more capital in MYRS and not increase bond strategies exposure for now.
In evaluating between the asset classes of equities, bonds and precious metals, I think for the moment, equities have the strongest trends and are still the best choice.
Frank Grossmann
July 2015