Saturday, June 20, 2015

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...

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