March Allocation

Here we go with March allocation. 

MODEL 1: US Equity (from Euro Govt 1-3years)
MODEL 2: US Equity (from Treasury 7-10y)
MODEL 3: confirmed 50% Euro Govt 15-30 and 50% Treasury 7-10y.
MODEL BETA 3.2: 34% Euro Govt 15-30, 33% Treasury 7-10y and 33% US Equity (not real yet, just backtesting and studying)

Because these are un-hedged positions, the portfolio has an high $ exposure.
the portfolios shifts heavily into the stock markets, Model 1 allocated 100% on equity for the first time since 2005!

These are the results for February and Year to date.
Except Model 1, all other models had negative performance in February.
Because of very high January returns, portfolios are positive year to date.

Have a nice week

MODEL 3.2 Beta Version - More Etfs more assets

It's my pleasure to introduce an beta version of model 3 that I'm going to call MODEL 3.2
It's has a correlation about 80% with the "pure" model 3, because the logic of algorithms is the same
Therefore one can decide if use both or just one of them.
Basically there are 3 majors changes:
* 2 more assets (UK Gilts and Asia Pacific dividend shares)
* 1 more ETF each month -  model buys 3 ETFs rather than 2.
* Different time frame to calculate the market strength

Below the results (without including commission and slippage)

What I like is that:
1) again is not hyper-optimazed. I found another model much better with the same idea but I rejected because too optimized. I like that model 3.2 give similar results changing the variables and time frame over the long run, and this mean consistency for me;
2) even if the purchase of 3 ETFs a month means more commissions cost, you add diversification. It's not rare that in one month you see one ETF dropping a lot, compensated (all or almost) by the two.
3) the model invests on all 12 assets in the long term

Summary: this model is still in beta version, meaning I'm not investing real money with it. 
I want to investigate further in coming weeks and then beginning to use it
Must decide if/how combine it with the other three models to find the right weight. I think I'll publish a new post in coming weeks about how to use Markowitz to decide the model allocation.
I am also thinking about a version 3, with up to 5 ETFs each months and 20-30 asset to choose. But have to think how to filter correlations with a bigger number.
ALLOCATION: in January model selected  Treasury 7-10y, Euro govies 15-30 ad UK Gilts. January allocation was confirmed for February and this month lost some of January gain so far.

February Allocation

This 2015 began very well, with more aggressive models delivering solid gains
Basically one could also go flat for the rest of the year and be happy....
But it's not my style, therefore here we go.

MODEL 1 - Euro Government 1-3 years
The Most conservative model continue to be defensive and stay on the short end of the curve. If you are a retail, you can invest on 1month deposit. In Italy you can have 1% a year with one international Bank. At the moment with my saving I'm using it instead buying this Etf that yield basically zero.

MODEL 2 - Treasury 7-10 years
In December was invested in the long term euro curve with govies 15-30. In February the model switchs on the Treasury 7-10 years

MODEL 3 - Euro govies 15-30 and Treasury 7-10
It's the same allocation of January and had an high return.

Below the table with returns in 2015