These are the September Performance. I point out that I made a mistake with August performance as in model 3 the year to date returns were overstated. This tables are all manually filled and sometimes my eyes crossed each others with the multiple Excel Sheets I have. Monthly returns were correct indeed.
In September Models 1-2-3 had mixed performance, but with small gain or losses. I am fine with the performances so far
Models 4 had a mixed performance too, with a bit negative in Europe and positive in US
The performance year to date are satisfying so far. All models are positive in this global environment of NIRP rates.
I point out again, as someone asked me, that these performances are calculated on the ETFs benchmarks. Therefore in real, taking out bid/ask spread, transaction fees, taxes and slippage, results could diverge. I created this blog just to show that, with relative simple methods, you can surf on the markets and add these strategies in a portfolio because they are not much correlated with equity markets
What I am waiting for is a waterfall scenario to test if Models have real muscles. I am curious to see how models will react in a new 2007-08 scenario. Backtest showed that most models had tough months in that period, but were quite ready to recover in the following months.
Unfortunately, at that time rates were higher and bond rally helped later. This time could be much tougher.
About markets, I was glad to see this month some selling pressure on global bonds, crude oil rally and inflation expectations rising. I think is too much important that global rates go higher than now, because there is a giant bubble
Many people point out about S&P500 being expensive, that stocks are a bubble because earnings are falling year to year. Maybe is true that stocks are not cheaper, but you have NIRP rates around the world....
if there is a bubble around this is to pay a government or a company to have the "honour" to borrow your money.
I can't understand how Central bankers created it....but maybe some of them begin to have doubts about their choices.
It will be tough in coming years to have good returns and/or save the capital. It's difficult to know if it will happen in the next 12 months (less likely) or within 24-48 months (likely), but I think a financial hurricane is coming unfortunately (2018?!?!?).
