I realize that this is a little repetitive with some past posts I've done but I wanted to throw this out
there again because I think that the Fed and interest rates changes are going to kill
me later this year and I just wanted to again claim a brief moment in the sun before
that happens. This chart is my core strategy
put up on a mean variance map against portfolios of random combinations of
either 2 or 5 different asset class ETFs: Bonds, US Large Cap, International
developed, Real Estate, and Gold. That is my imperfect representation of stuff that could be plausibly stitched together into a retail allocation. That and the data is easy to get. I know that posting this chart (especially given the short amount of time covered) can be a type of soft boasting which,
if the literary canon of the last 3000 years (and market experience over the last 100) means anything, means that I will likely get my face rubbed in that boast sometime soon but here it is anyway.
as of 10/26/2016 2014-Oct2016.
The strategy itself is more or less this: fixed income momentum
using mostly etfs + macro exposure (mostly forex, interest rates and
commodities) + short volatility (mostly short futures options) + other (a messy
collection of stuff I perhaps shouldn't be doing). All of this sits on top of what I can only
call an assertive, if not dangerous, interpretation of a collateral-yield program.
Another reason for putting this kind of thing out here again without
the details is to convince myself, if not others, that a retail/amateur
investor can in fact create an edge in the capital markets and deploy his or her own capital in an efficient manner
without high minimums, long lockups or out-flow-gates, and onerous and
unpleasant and often unearned fees…at least for a short time. I mean really,
look at hedge fund results this year.
90% of these guys are overpriced under-performing bozos (keep in mind I have awestruck
respect for the ones that are at the very top of the industry but they are few
and far between and not accessible to me). I realize that the kind of active investing/trading implied in the above is not everyone's cup of tea and requires a little bit of time and effort but
it is at least doable. For me, this is not a
full time job...at this point, anyway.
how do you allocate across the strategies you mention?
ReplyDeleteIt's a set of trading systems so it's more risk and rule based than allocating. When the rules provide no trades the capital can be idle for a while so let's say 60-80% is in lower risk income based short term assets at any given time. Then let's skip macro, which has not provided too many opportunities lately, and other because it's other. The momentum strategy is rule based so I can get taken into trades which means I can range between .7 and 1.5 levered where I stop as a policy. Each individual trade is limited to risking less than ~2% of capital based on where I plan to get out. So the "allocation" depends. For short options I am not really allocating as such. I am using margin capacity and am also limiting individual and total position risk to some threshold amount as above.
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