The Logical-Invest monthly newsletter for November 2015

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Logical Invest
Investment Outlook
November 2015

September and October have traditionally been the most volatile months of the year. This year was no exception. Investors were shaken by sharp declines in the equity markets as volatility returned with a vengeance.  The simultaneous fall in equities, bonds, commodities and foreign currencies have left a lot of portfolios with flat or negative returns for the year. Many investors are now wondering on how to move forward.

Students of historical data and seasonality know that these two months often present the best opportunity for investors to enter the market and the worst time to exit.

This October, equities recovered and so have most of our strategies. MYRS returned 9% for the month while our new Nasdaq 100 come in at 5.72%. World4, GSRLV and GMRSE averaged a 2% monthly return while our most conservative BUGs chose to stay in cash and bonds and remained mostly flat.

Strange as it may sound, the equity markets are behaving in a somewhat predictable pattern. Both the after-summer increased volatility as well as signs of recovery into November are in line with seasonal tendencies. If this continues and the market follows it’s decade long seasonality bias, November and December could be the best months of the year.

Both the World 4 and the new Nasdaq 100 strategies provide good exposure to equities and are the recommended vehicles to use for a strong end-of-year recovery.  For more conservative, multi asset portfolios, we note that the BUG strategy is currently sitting in 80% cash. This presents a rare opportunity to enter these strategies with minimal risk and with a long term view to participate into a future Gold, foreign bonds or foreign equity bull market.

Either way, we believe this is not a bad time to be in the markets. We, are after all, approaching a pre-election year, a time that has historically provided better than normal returns for  investors.

Logical Invest, November 2015

Strategy performance overview:

Symbol close year %     3m %     month %     day %     60 day vola     60 day corr     3 month sharpe   12 month sharpe   36 month sharpe  
_META-NASDAQ100BALANCED 3640.7399 11.5477 -0.6595 5.7208 -0.3023 17.7322 0.8927 -0.2090 1.7636 3.4048
_WORLD-TOP4 278.0399 4.3292 -4.1585 2.6419 0.9445 11.8729 0.4363 -1.7741 2.4486 2.7023
SPY 207.9300 2.6397 -0.3427 8.5286 -0.4310 20.4602 1.0000 -0.0922 0.6344 1.9197
_UIS 465.4212 1.4550 -2.3669 1.2136 0.4983 16.2474 0.2845 -0.7650 0.8483 2.0879
_GSRLV 483.7806 1.3406 -3.0890 2.2250 0.2618 10.0435 0.7577 -1.6226 0.8802 1.8372
_BRS 250.5885 0.9873 1.2502 1.0664 0.1652 7.6825 -0.0388 0.9583 0.5019 2.1404
AGG 109.4500 0.8779 0.2409 -0.1186 0.2657 3.4301 -0.4490 0.4010 0.6537 0.7146
_MYRS 582.6941 -0.5029 -12.3183 8.8154 0.0026 27.4403 0.5073 -1.8751 0.4041 1.9967
TLT 122.7800 -0.8407 -0.4075 -0.6152 0.7550 14.0810 -0.5397 -0.1635 0.4887 0.3047
_GMRS 4046.1608 -3.0607 -0.8399 2.1714 0.7545 19.0519 0.1181 -0.2538 0.3010 1.0863
_UIS-SPXL-TMF 5312.9882 -3.7908 -12.6144 3.9837 1.1699 41.7710 0.5814 -1.2632 0.4886 2.0892
_BUGST 209.3866 -4.0815 -2.6563 -0.1230 0.1493 5.8637 0.6151 -2.4074 -0.4350 1.5181
_BUGLEV 269.6101 -4.6378 -3.2405 -0.1820 0.1869 7.6267 0.6204 -2.2295 -0.5438 1.2316
_GMRSE 5317.2953 -12.9499 -17.2398 2.1714 0.7545 27.7885 0.2702 -2.3320 -0.6408 1.1004

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
META-NASDAQ100BALANCED – 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)

 

2017-10-02T20:00:00+00:00By |0 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.

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