November Allocation

Here a quick update with allocations.
In the week end I'll publish a comment with performance tables
These are the preliminary allocations

MODEL 1 - Euro govies 1-3 years (confirmed)

MODEL 2 - Euro High Yield bonds (changed!)

MODEL 3 - 50% Euro government bonds 15-30y (Confirmed)
                     50% Gold (changed!)

MODEL 3.4 - 34% Global convertible bonds (Confirmed)
                        33% Gold (changed!)
                        33% Japanese bonds (changed!)

MODEL 4 - 66% euro government 1-3 years (changed)
                      11% emerging bond $ (changed)
                      11% euro government bonds (Confirmed)
                      11% global bonds (changed)

MODEL 4 US - 66% US short term bonds (changed)
                           11% Emerging bonds $ (changed)
                           11% US government bonds (confirmed)
                           11% Global bonds (confirmed)
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Follow up on 7 Nov with tables

I wrote down the allocation at the beginning of month, now I'm going to post the comments.
Because of some trends emerging in some assets, the models changed allocations. Except the MODEL 1 that is very conservative and switch only with a strong trend, in all other models we have some variations.

October was a positive month and until now all models are positive year to date. Below you can see the performance and the charts of model 1-2-3.

The model 4 performance ytd  (non in above tables) is 1.8% vs 6.9% equal weighted portfolio
The model 4 US performance ytd is +0,3% vs -0,5% equal weighted portfolio


A friend of mine asked me about model 4 and the fact the it rarely switches into equity. I built it to give better long term risk/reward and this is the way it works because i don't like big draw-down. But there's a version Beta that follow the long term trend in stocks and can stay into equity for many consecutive months. I'm not thinking at the moment to publish it because these 4 models take me time to comment. Moreover I'm working into a much bigger project at the moment to go long & short on futures and it's very time-demanding. By the way I don't exclude the chance to post the Model4.2 too starting since 2016.

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

Ciao Babbo!!

R.I.P.

September Allocation

Unfortunately my holiday were deleted and not because of financial markets....
By the way, I'm going to update with a short post the September allocation

MODEL 1 - Euro gov 1-3y or in alternative sight deposits with a plus rate (100%)

MODEL 2 - Euro gov 1-3y or in alternative sight deposits with a plus rate (100%)

MODEL 3 - Euro gov 1-3y or in alternative sight deposits with a plus rate (50%)
                      Euro high yield (50%)

MODEL 3.v4 - Euro gov 1-3y or in alternative sight deposits with a plus rate (34%)
                          Japanese government bonds (33%)
                          Euro floating rates (33%)

Below the table and the chart with monthly and year to date (YTD) performance

Corrections: In August allocation Model 2 YTD return was wrong. The real one was 5,06% (ie 5,1%) instead of 5,6% I wrote.Model 3 YTD was wrong as well in the table. The line graph performance was correct.


MODEL 4 -Euro govies 1-3 years or sight deposit with a positive rate (100%)
at the moment it continues to underperform  EW benchmark approx 6% this year

MODEL 4 US - US Treasuries 1-3 years (89%)
                            Global bond (11%)
at the moment it is underperforming EW benchmark by 0.8%.

it's normal it's underperforms in momentum reversal market. It's scope is to avoid huge losses over long term.

SUMMARY: in a market where momentum seems over, models are suffering but continue to be positive year to date. Now they are positioned very defensive expecting for a clearer direction in coming months. It's a pity that short term rates are negative for institutional and this mean losing money. As a retail people, is still possible to take a positive rate, or at least 0% on sight deposits

August Allocations

Here we go with August allocations that are confirmed as I wrote fast in the previous draft.

MODEL 1: euro govies 1-3 years (if you can use cash sight deposit with a "+" rate)

MODEL 2: euro govies 1-3 years (if you can use cash sight deposit with a "+" rate)

MODEL 3:  1) euro govies 1-3 years (if you can use cash sight deposit with a "+" rate) and
                     2) euro high yield corporate bond

MODEL 3.v4: 1) euro govies 1-3 years (if you can use cash sight deposit with a "+" rate) and
                         2) euro govies floaters
                         3) global corporate bonds

All models recovered some or/all June losses in July continuing to be positive at the middle of the year. Most aggressive models recovered only a small amount of June losses.
Below you can see the table with monthly and ytd performance and relative chart

 

I want also to update the latest models (Model 4) that run versus a benchmark. You can find description in the post about MODEL 4 and MODEL 4 US Style. August allocations are:

MODEL 4: euro govies 1-3 years (if you can use cash sight deposit with a "+" rate)

MODEL 4 US: 1) 89% US treasuries 1-3 years (if you can use cash sight deposit with a "+" rate)
                          2) 11% S&P500

MODEL 4 performed 2,1% ytd vs 7,7% benchmark Equal-Weighted, therefore underperforming at the moment

MODEL 4 US performed almost flat ytd (0,2%) vs 0,9% benchmark return, slightly under-performing.
(note: since August Bloomberg denied access to previous govies 1-3y index, therefore I was forced to find another substitute that is not the SHY etf benchmark)

CONCLUSION: after a very good beginning of year my momentum models suffered the "back to reality" events, especially in April and June when there was many strong countertrend moves. Nevertheless all models 1-2-3 are positive in this 2015 covering ETF managements expenses and trade commissions
Most recent models (Models 4) are basically flat that isn't a great result. They're doing a bit worse than benchmarks
NOTE: September allocations will be updated with a strong delay because of my holiday. I think I won't be able to update it before 17-18 September therefore will be useful just for trackrecord but not for real monthly allocation. I'll stay cash with my money while I can't monitor markets.

AUgust Allocation draft

It was a busy beginning of week.
I made preliminary calculation for allocation, but couldn't check properly because of personal issues.

At the moment it seems that allocations are the same of July for Model 1-2-3 and 4 EU style
The model 3.23 assets changed something and I still have to open the US model

I'll update more in the coming days, maximum next week end

For sure model 1 and 2 stay cash, model 4 100% cash and model 3 confirmed HY & cash