OCTOBER ALLOCATION

Here we go with the allocation for October and comments.

Last month models enjoyed the cash allocation, avoiding the "hearth-attack" caused by market volatility. This month some of them try to be more active, even if the most conservative models (1&2) remained defensive.

MODEL 1 euro govies 1-3 years or saving sight deposit with a plus rate if available (100%)

MODEL 2 euro govies 1-3 years or saving sight deposit with a plus rate if available (100%)

MODEL 3   euro govies 15-30years (50%)
                     Treasury 7-10y (50%)
out from cash and eur high yield

MODEL 3.4 Global convertible bonds (34%)
                      euro govies 15-30years (33%)
                      Treasury 7-10y (33%)
out from cash, japanese bonds and euro floaters

Below you can see the table with monthly returns and relative charts. The year is still positive so far.

And now the last two recent models that have benchmark. I have to warn you that I found a bug in the benchmark calculations in the last 2 months (I hurried up too much while programming...). Basically benchmarks were overestimated because didn't consider last 2 months drops and asset returns were frozen. Today I hope...hopefully....that all is correct.

MODEL 4  Core government Eurobonds (11%)
                    euro govies 1-3 years or saving sight deposit with a plus rate if available (89%)
move a piece of allocation on the eurobonds

Model 4 September performance was +0,09% and YTD is +1,1%. The EW benchmark lost 1,3% and YTD is +2,4%. Benchmark is continuing to win, even if with higher volatility (DD around 8% this year)



MODEL 4 US: government 1-3y bonds (88%)
                          US generic government bonds (11%)
                          Global corporate bonds (11%)
Model try to add some longer term treasury exposure
Model 4US in September gained 0,5% and this is the YTD performance as well. EW portfolio lost 0,7% and since beginning of the year is losing 1,9% (DD -5,1% so far). In the US model 4 is overperforming.
 
CONCLUSION: I hope calculations are correct. It's not a good moment for me (not linked to markets at all) therefore forgive me if some bugs caome out. The purpose of this blog is also forcing myself to check often the models, because I must update  blog regularly.
Finally I also have a weighted adjusting version of model 3 that at the moment is overperforming in 2015, but I'll see if publish them in 2016 (i don't use it with my money because weight adjustment are to costly for a retail with my broker fees). I'm still working on a bigger model with almost 50 asset classes, but It will take time. Algorithms are ready, the difficult is the implementation.
Have a nice month

preliminary October allocations

Just a preliminary preview of October allocations.I'm busy in these days, i'll check & verify better in the week end.
These are the allocations
Asset Allocation October

Model 1  euro govies 1-3 year or sight deposit
Model 2  euro govies 1-3 year or sight deposit
Model 3 50% euro govies 15-30y
               50% Treasuries 7-10y
Model 3.v4  34% Global convertible bonds
                     33% euro govies 15-30y
                     33% Treasuries 7-10y

Model 4   89% euro govies 1-3 year or sight deposit
                 11% euro core bonds

Model 4 US Style data not available yet