December allocation

November Asset Allocation

After a very volatile October, here are the new allocations

October Allocation

September Allocation

7 months of performances

Below you can find an update of year to date return until July.
It's a difficult year with performance mixed.

Below the performance with ETF listed in Milan for the first 7 months based on Model 3vw and model 3.4 vw.
Purchases and selling are made in the first day of the next month (closing prices).
In the tables above, are made at the closing price of the last day of the month.
So far this year the ETFs are doing worse than theoretical model when you buy at the 1st day of next month

August Allocation

July Allocation

June Asset Allocation

This year Models are facing difficult investing conditions for their style with their weaknesses stress-tested.
May was a tough month because of high volatility in Europe caused by Italian political caos.
Models 3 were long on FTSEMIB, that was the best European stock market before the caos, and lost quite a lot past month.
Also the most defensive models were allocated on short term bonds in Europe, and there was the biggest 1 day move on short end Italian curve that produced a monthly loss.

It's a difficult environment, but maybe you could be surprise knowing that I'm not completely disappointed. Like in boxing, a knockout can happen to everyone, but if the boxer is good it will stand up again. 2018 is going to test the temperance of the Models and I'm sure, after the waters will be clearer, they'll recover.

Using a likeness as with the Agriculture market: the model (style) is good, but this year the weather is not favorable and harvest probably will be poor. It will be important to limit the losses, waiting for the next season

May Asset Allocation

Most defensive models remain on low vol asset.
Models 3.x that are more aggressive, begin to enter either on equity or commodity.
I am a bit scared by the high level of commodity indexes, by the way, I'll follow the system as a blind.

March - Year to date returns

2018 is a difficult year so far. There're not sustained trends, there're a lot of reversal and most aggressive models are suffering.

The good news is that performances, even if negative, are no worrying so far. With most aggressive models that have an historical standard deviation of 8-9% a year, this result so far is in line with their style.

Let's be patient and wait the next trend to develop somewhere

APRIL ALLOCATION

Sorry for delay.
For personal purpose I had one month of holiday and I returned into the office only today.

I post the allocations only for historical tracking purpose.
With my personal portfolio I went on holiday with the defensive one, holding € govies and a bit of gold because I had one month completely off from news and markets

MARCH ALLOCATION 2018

These is the asset allocation for March.
After a difficult February, models went defensive

FEBRUARY ALLOCATION

This is the February allocation.
More equity bias in models 3.xx
Most defensive models go on short term euro bond
In Europe Model4 goes quite defensive

2017 PERFORMANCE AND ETF PORTFOLIOS

2017 was a good year for financial markets with many assets that had positive returns.
Instead, 2017 was more difficult for my active models that had mixed performances.

The most defensive models (Model 1 & 2) closed the year slightly negative.
More aggressive models (all versions of model 3) had a good year. The most aggressive models among the aggressive one (model 3.4 agg and model 3.4 agg) had the best results.

Models 4 that aim to beat an equal weighted diversified portfolio had mixed performances.
€ Models 4 closed positive, over performing the benchmark that closed negative.
US Model 4 closed with good performance, but doing worse than benchmark.

Below the table with monthly performances and the chart with year-to-date returns.

 

ETF PORTFOLIOS IN PRACTICE

Now I want to show how models could have done in 2017 using real ETFs listed in Milan. You will see that results between theoretical models and etf  can differ,but the trend is the same.

Note: these Bloomberg portfolio were built with a slight different assumption
- Excel models buy/sell the benchmark at the close price of the month
- Portfolio buy/sell ETFs at the close of the first trading day of the new month
(for example: models buy&sell at end of December, Portfolios buy&sell on the first trading day in January)

On models 3rw (risk-weighted) you'll be able to see performance and attributions from ETFs as well


 MODEL 3.4RW WITH ETFS (BETTER THAN IN EXCEL)

 

MODEL 3RW WITH ETFS (ALMOST IN LINE WITH EXCEL)

€ MODEL 4 WITH ETF (WORSE THAN EXCEL)

JANUARY ALLOCATION

Happy 2018!!
Here we go with January allocations for this new year.
Most aggressive models are equity biased, dropping exposure in Germany and leading towards Asia/Oceania.

In the coming days I'll post the performances for the 2017