MODEL 1 - THE PRUDENT INVESTOR

This is my oldest model based on momentum and filtered to keep volatility very low.

At the beginning of the month, the model selects one of 7 asset class, allocating 100% of capital.

As asset I use Ishares ETFs listed on Borsa Italiana
1) Government 1-3 years 
2) Italian equity (Ftsemib)
3) USA Equity (S&P500 since 2003)
4) German equity (Dax)
5) Euro High yield (since 2005)
6) Emerging bond $
7) € Inflation bonds

The chart shows the model index (INDICE) vs other 7 assets. I didn't include transaction costs. Model 1 outperforms all 7 asset but Emerging Bonds in hard currency.

The table shows yearly performance since 2001 with some risk parameters (no cost included). You can approx take out 1% a year because of the low turnover of the model. Basically it never closed a year in negative, even if  returns 2012-13 weren't high.

In the graph you find the asset allocation since 2001. Model 1 was conservative going on Governatives 1-3 years most of time, with Euro high yield bonds at the second place.
It's a result of the low volatility filter I used that often excluded equity and Emerging bonds.

Summary: this is my oldest model. In the past I used it for my core portfolio.
Because it often allocates in the short term bonds (now yielding 0.3% with 0.2% Etf expense), it's important to add a second model that diversifies assets.
Stay tuned for next update with the evolution (already working in real)
NOTE: Model 1 January allocation is again on Eurogovt 1-3 years