MODEL 3.4 3ETF 23 assets

In these last weeks many global trends had reversed (especially eurbonds), therefore momentum strategies are suffering. But we don't mind! In the long term these strategies pay and now it's a good time to research further strategies.
Today I post the results using the same MODEL 3 algorithm, but  selecting 3 ETFs each month in an universe of 23 ETFS, mostly Ishares. All are listed on European markets with € as currency.
In the chart pie you can see the allocations weights since 2001. It invests broadly on many assets and is the most aggressive model among the 3 I previous I showed here.(Model 1 and 2 are more conservative, in fact they are allocated on short term euro bonds in June)

The table below shows returns with risk measures. It's not bad. In 2015 at the end of May model gained a little above 6%, but in June is giving back further profits.

For June model allocated Japan equity, Emerging bonds $ and Global convertible. It's suffering...

June Allocation

Another month passed with models that try to defend the gain accumulated since beginning year.
Model 3 is giving up something but is still very positive ytd.

Here we go with the June allocations that switch defensive on the first 2 models

MODEL 1 - € Government 1-3 years (Confirmed for the third consecutive month...it doesn't like volatility)

MODEL 2:  € Government 1-3 years (the model left the € HY allocation and go defensive for June. Last time it was defensive was October 2014)

MODEL 3: 50% Treasury 7-10 years - 50% Emerging Bonds $. Model lost money with inflation bonds in May, recovered something with HY. Now it takes  an high $ exposure.

Below you can see the monthly performance calculated using benchmarks

I built the extended version of model 3, now up to 23 assets.
In June I'll make a post on it.
Have a good month.