Backward looking mean-var for my systematic alt risk strategy - update Jan '18

Note that this looks backward and not forward and I'm never sure if I have everything exactly right in the math. In particular I am not very confident in correctly projecting from one horizon to another.  Also the code is aging and reading it is now hard if not impossible so I hope my work in building it back whenever does not need any more scrutiny at this point. On the other hand everything is playing by the same rules here so maybe it's ok.

The green dot is the strategy I run myself that can be characterized as a systematic alt-risk strategy that uses mostly fixed income category ETFs with a rules-based trend following overlay. There is also some credit risk in there and short options (vol risk prem) with an occasional macro-discretionary thing. This is updated thru Jan 2018 and begins in 2013 which is where I have the most consistently reliable data for my stuff though the strategy itself originally dates from 2010.

The 5-asset portfolio, for better or worse, is SPY AGG IYR GLD and EFA with allocations selected via a sampling technique.  Returns are linear annualized averages which I'd have to look again to see how I did it.  I convinced myself at one point it was legit but now I'm not so sure. The portfolio std dev is projected using a morningstar method that expands the usual rule of thumb a bit.  The hedge fund index is Barclays only because that is all I can get for free.  The allocation benchmark is an allocation etf (AOM, total return) which is approximately 40/60 if I recall correctly...also free.  the 40/60 dot is that allocation of SPY/AGG.  Advisor is a strategy I have managed for me but is net of fees and witholding, etc -- also time weighted -- so a little bit of apples and oranges.

Lesson? The green dot is only maybe 15% of net assets so the impact to me is not huge but on the margin I still believe in the ability of a systematic alt risk strategy to add some value either on its own or as a diversifier that adds a little incremental efficiency to a bigger portfolio though I have not directly measured the covariance of the green dot vs other stuff to be more sure of exactly how it works.  The value-add (or destruction) also depends on ones portfolio and risk policies.  The other lesson is that: a) it is harder than it looks to stay fully invested in the strategy (actually I prefer being a little bit levered), and b) it's more work than I want in retirement even though I have automated a ton of the work.  I think I'm looking to close this down or outsource sometime in 2018 or 2019 to save some time and maybe beat strategy decay if that were to be something to anticipate in my future.