MODEL 3.3 (Beta test) 3ETF 18 assets

I'm continuing developing a wider version of model 3.
At the moment asset correlations are increasing between stocks & bonds because of Central Banks liquidity. My target is to build a model with wider ETFs that, hopefully, will be able to resist and limit losses when the next crash will come within 1-2 years. On the other side I don't want to stay aside from markets hoping in better market metrics because often the better gains occur in the last part of the bubble (think about 1999).

This is a beta version and at the moment I'm not investing my money on this, because I always like to see it in real for at least 6 months after developed to see how it works and test if there's some formula bug in the excel file.

Basically it's the same "engine" of model 3, with these differences:
* It invests in 3 ETFs each month instead of 2
* ETF Universe is composed by 18 assets instead of 10.

All of them are listed in Italy but you can find them in other European Exchange such as Frankfurt. Just to clarify a doubt that one reader expressed to me: they are listed in Europe and are not hedged. That means that if I invest in US Equity, my performance is the sum of US Equity in local currency + $ performance vs €.

You can see the ETF universe (all Ishares) in the graph below and see how the model allocated money since 2001.

A problem I have at the moment is that many ETFs are recent and there's not enough track record to test them (or are illiquid).Therefore I find difficult to find other assets to add. For example I'd like to try some smart beta one, but is impossible at the moment.

Here is the performance of the model 3.3 on the hypothesis that I buy the benchmark index at the end of each month. Of course in practice the real performance will differ for slippage costs, bid/ask, capital gain taxes, difference between nav and price, commissions, but this is an interesting starting point in my view.

Allocations in 2015 were:
Jan Govt 15-30 / Treasury 7-10 / UK Gilts
Feb Govt 15-30 / Treasury 7-10 / UK Gilts
Mar S&P500€ / HY $ / Developed Markets Properties
Apr  Govt 15-30 / Gold € / UK Gilts

This is a work in progress because I'm going to add further assets.
The next step is to add many type of Govt (different maturities such as 1-3y, 5-7y, 7-10 and 15-30 and longer if available for euro and US) and corporate bond but I need to prepare the formulas to solve some problems with correlations. It will take time, but hopefully for the Summer I'll have a model that select among 30 assets.I'm also looking for other types of ETF to add other currencies exposure but it's not easy to find something in Italy outside of $, sterling and yen.

I remind that the target of model 3 is to take its risk, also exposing to losses around 7-8% in a month in exchange to obtain interesting risk-adjusted returns over the long term (an alternative to the pure equity investing for my portfolio). Sincerely I don't believe too much in the buy&hold unless you dont' buy in recession times...but it takes good guts!