A comment will follow later in the week.
I just say now that I am a bit scared about huge currency exposure....
MODEL 1: euro govies 1-3 years or cash deposit 100%
MODEL 2: Treasury 7-10years 100%
MODEL 3: 50% Emerging Bonds $
50% Treasury 7-10years
MODEL 3.4 34% Japan Equity
33% Emerging bonds $
33% Global convertible bonds
MODEL 4 Europe
45% euro govies 1-3 years or cash deposit
11% Emerging bonds $
11% MSCI World (€)
11% Euro high yield bonds
11% Global bonds
11% Euro government bonds
MODEL 4 USA
56% US treasury short term
11% S&P500
11% Emerging bonds $
11% US government bonds
11% Developed Markets properties yield
----------------- UPDATE 7 DECEMBER -----------
As I feared, beginning of December showed a strong dollar reversal vs euro, and it is painful... model 1 will finish 2015 with a positive return, but model 2 and 3 have a full $ exposure....and it will rock&roll until the end of the year. Just hope that the dollar sell-off doesn't continue
By the way, I know that in the long term models will deliver positive expectations...
I just hope that a bad December will not delete the whole ytd positive returns.
I show below the returns year to date of the first 3 models
Model 4 in November returned 1% vs 2,1% Equal Weighted portfolio. In 2015 the return is 2,8% vs 9,1%. The model is underperforming when there's a bull equity markets, but is built to defend against sharp drawdown.
Model 4 US style in November returned -0,7% vs -1,7% EW portfolio. YTD the return is -0,4% vs -2,2% EW.
