The Logical-Invest monthly newsletter for July 2017

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Logical Invest
Investment Outlook
July 2017

Our top 2017 investment strategies, year-to-date:

SPY, the S&P500 ETF, returned 9.17%.

News:

Our professional portfolio software QuantTrader continues to evolve and can now download data from 3 different providers: Tiingo, Yahoo and Google. Tiingo is an inexpensive solution for DYI investors that need good quality dividend-adjusted end of day data.

Market comment:

The U.S. Federal Reserve raised its benchmark federal-funds rate on June 15th by a quarter percentage point and hinted to further hikes. Individual investors remain skeptical of the bull market as the AAII survey shows 43.4% being neutral (historical average is at 38%). Mainstream market analysts keep a positive outlook quoting decreased risks and equity strength in Europe, global strength in developed and emerging markets, low unemployment in the U.S. and a sense that the Fed’s tightening is predictable.

We continue to see a low volatility environment and a weakness in U.S. dollar for 2017 which benefits non-U.S. stocks, bonds as well as gold. The European market returned 17% YTD while India and China achieved 20%+ returns for the year.

Dollar Index chart Logical Invest

UUP ETF (U.S. Dollar Index)

 

Out top strategy, the Maximum Yield strategy, added another +6.85% to reach +38.5% return for the year.  The Universal Investment 3x strategy had a correction in the last few days of July but came out positive adding +1.66% for a +23.9% YTD return. Both the Nasdaq 100 and the U.S. Sector strategies had corrections: -1.98% and -2.47% to achieve +23% and +5% YTD  respectively. All other strategies remained flat with gains/losses below 1%.

A final note: We do keep a watchful eye on recent developments in the crypto-currency markets as Bitcoin and Ethereum are attempting to make their way into the mainstream. It may be worth watching the roller-coaster ride and how this ‘new’ market behaves as new people are drawn into unstoppable up-trends and initial coin offerings (ICO’s) only to get “shaken out” by deep and sudden drawdowns. A promising but difficult market and a good example why one needs a system of rules to adhere to.

We wish you a healthy and prosperous 2017.

Logical Invest, July 1, 2017

 

Logical Invest Performance June 2017

Logical Invest Performance June 2017

Strategy performance overview:

Visit our site for daily updated performance tables.
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
GSRLV – Global Sector Rotation low volatility
NASDAQ100 – Nasdaq 100 strategy
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)

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2017-07-02T10:05:11+00:00 By |6 Comments

About the Author:

Vangelis has been involved in quantitative research and development since 2007. He blogs under the 'Sanz Prophet' alias. He has built, run and tested literally thousands of trading systems using Matlab, Python, C#, QuantShare and Amibroker and has contributed as a researcher/programmer in academic papers. His quantitative blog has been part of the “Whole Street” quant blog aggregator since inception. He holds a B.A. in Economics & Theater Arts from Cornell University and an M.F.A. in Motion Picture Producing from the Peter Stark Program at the University of Southern California.Before entering the financial world Vangelis worked as a film and commercial director and collaborated with agencies such as Bold Oglivy, Adel Saatchi and Saatchi and clients including Pepsico, P. & G., Hyundai and others.

6 Comments

  1. reuptake 07/02/2017 at 12:10 pm - Reply

    Cryptocurrency markets are wild (I’m active on those markets since 2011, so I’ve been thru a lot). But that said, I found it quite adhering to support zones, fibonacci’s and the likes. The trends tend to be strong and long lasting, so momentum investing may be a good choice here. I’d love to hear more about your research in these area.

  2. Vangelis 07/02/2017 at 4:54 pm - Reply

    Our interest is to:
    a. See if Bitcoin can further diversify existing portfolios as it may be one of those ‘rare’ uncorrelated assets with a positive bias.
    b. Try the LI methodology on a monthly rebalanced basket of coins to create a wider “crypto-index” for longer term investors.

    The market is definitely wild and missing some key ingredients like safety of funds, brokerage insurance, broad investable indices, etc. By the way, I also noticed that Bitcoin does hit Fibonnacci and res/support lines.
    If you are trading since 2011, you must have some interesting insights… 🙂

  3. Howard 07/02/2017 at 10:30 pm - Reply

    I think b) would be very interesting, and momentum based investment technique would do well.

    On metrics and creating a crypto index, I think the methodology https://cyber.fund is using is quite interesting. It is an attempt to come up with a sharpe ratio for crypto assets performance, and shows some resemblance to the LI approach.

    What’s lacking though is a hedging instrument that exhibits negative correlation to the cryptocurrency assets in a market downturn- There is no TLT/TMF for SPY equivalent for Bitcoin or other cryptocurrencies. Hence any momentum based strategies will also have to have a decent portion in cash which buffers volatility but drags return on the normal days.

    Would be interested to chat further and be posted on what you guys are doing in the space and help where I can.

    Keep up with the good work.

    Regards,
    Howard

    • Vangelis 07/03/2017 at 5:05 pm - Reply

      Hello Howard,
      Thanks for sharing the info. What you said about the lack of a hedge is very true. It would be an interesting exercise on how one could create a coin negatively correlated to bitcoin that also pays some type of interest so that it keeps a positive long term bias (like IEF or TLT do).

  4. Sriram Iyer 07/03/2017 at 12:40 am - Reply

    1 month Performance reported for MYRS in the newsletter is 6.85%. Performance for MYRS in the Strategy Performance link is 3.27%. Can you explain the difference or is there an error?

  5. Vangelis 07/03/2017 at 2:38 am - Reply

    You are looking at 3.27% performance from 5/31 to 5/15 (mid-month) not the whole month.

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