2019 Model Performance

This is the 2019 performance of various Models.
The volatility has been higher than usual because of May and September months.
But I'm quite satisfied because they finished positive, even if 2019 has been good for almost all asset class.
Because of this, model 4 underperformed the benchmark, even if they had a volatility almost half of it.

2018 PERFORMANCES

2018 was a difficult year with most asset classes in negative territory.

My models suffered as I fear.  

In many months returns were negative, but at the end I am not completely disappointed.

Actually, I am quite satisfied about the strength in one of the worse year in the last decade.

The defensive Model 1 (1 ETF a month) returned around 0%.

semidefensive Model 2 (1 ETF a month) returned a positive performance.

The more aggressive Models 3 (2 ETF a month) had a negative year, but were able to recover thanks to the exposure in gold and Treasury in the last part of the year.

The updated Model 3 versions (3.4 with 3 ETF a month) were able to finish in green, and I am quite happy about that.

The Model 3.5 (3 ETF but different timeframes) was the worst losing almost 4%.

Most Models 4 (€ and $ - up to 9 ETFs) had performance slightly negative, but everyone did bettere than benchmark (is composed by an equal-weighted portfolio of 9 asset classes).

In Summary, 2018 is not a year to remember for huge gains, but at least losses were manageable and less than many asset classes. As I wrote when I opened this blog:

investing is trying to maximize what the environment gives. As a farmer, some years are good, others are normal, others are very bad. With these models, with humility I try to have good returns in good years, minimizing the losses in bad times.

I think that 2018 was an year where the loss minimization target was reached

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

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

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)

PERFORMANCES FIRST 11 MONTHS

I was quite busy with private life in these last weeks, therefore I just limited myself writing on Twitter, but didn't update performances on the blog, neither wrote my view on markets.
So far, 2017 had mixed performances, with most defensive models that could finish slightly negative for the first year.
Other models have positive returns so far
Below the year to date chart and the monthly table

Again, as someone asked me and I have already wrote in the past, I repeat that these are theoretical performances calculated assuming a purchase of ETF benchmark at the end of the month. 
Therefore the real strategy ETF return will be lower (bid/ask, trading fees and ETF manager cost).
By the way, at the beginning of 2018 I'll post the return of three Bloomberg portfolios, using real price with ETF listed in Milan, purchasing at the closing price of the first day of the month. Performances are good so far.

September Allocation & Monthly/YTD performances

Hello,
this month I post the allocations with delay, just for tracking record, because I returned from my holidays.
I visited for the second consecutive year the island of Crete, in Greece. That's amazing.
I rented a car and visited some places I couldn't reach the past year. For example, this year I spent one day in Elafonisi, one of the best European beach. I still have to download my pictures in the pc, therefore here you can see a picture taken from Internet.

But let's go to the blog's topic. I am going to post the allocations for this month and, as well, the performance.
August was a good month with all models positive. For September, the most defensive models switched from € High Yield bonds to Inflations bonds. This type of bonds appeared in other models as well.

You can see below allocations and performance.
Have a nice month

MONTHLY AND YEAR-TO-DATE RETURNS

SEPTEMBER ALLOCATIONS

Models - July and YTD performance

Another month is over and it was a positive one.
After seven months, all models are positive year to date. I have to point out that, because of August Allocation in € HY for August, models 1-2 are suffering this month (all models are in red so far, but these 2 are the one with a small ytd gain)

I'll post an update around mid September. I won't be able to update the September Allocation at the beginning of the month as usual because of personal issues, therefore I post it later just as tracking
Enjoy August, I could post some market considerations if I find the time before end of month

UPDATE - JUNE PERFORMANCE

Finally I found the time to update models performances manually.
Have a nice month

PERFORMANCE JUNE

I have trouble with database that:
a) modified the closing price on eurodollar switching from London close to NY
b) cut the historical series of short term 1-3years eurogovies from 2000 to 2007

Because of these changes, Excel spreadsheets need some fixings and I have to do that within end of month.
In reality, with the new closing of dollar, models performed better in 2017 (allocation changed in March), but I don't care. This random situation could be an idea for further studies, but I'll try manually to compute the year to date returns until end of 2017.
Since 2018 I'll post the new allocation with NY time.
In this year I want to give continuity with the old style, that is the one I am using at the moment for myself

MODELS - May and Year to date performance

• Mixed results in May

• Aggressive models are positive year to date, but some of them had a  negative monthly performance

• Most defensive models recovered almost all losses and performance are in line with monetary rates (little negative)

• Models 4 (for bigger accounts) are positive year to date both for € and $ investor. In Euro, Models beat benchmark, while in US they are lagging

Performance in the first 4 months

Here the Model performances in the first 4 months of 2017.

The more conservative models (1&2) are negative ytd, especially the model 2 that is paying the wrong timing on gold in March.

The many versions of Models 3 are performing quite well, with performance between approx 5 and 8%. Not bad.

The models 4, more diversified and applicable with bigger accounts, are having their good time. In Europe they're beating their benchmark (asset equal weighted), while in the US are under-performing

Below the table with the monthly performance and the summary charts ytd resume.

FIRST QUARTER PERFORMANCE

Hi
in the last month I was quite busy and I didn't update the  blog with market view. I also spent 1 week holiday in Wien. It's a very beautiful city, nice people and I recommend a trip there.
Coming to my models, the first quarter had mixed results

Model 1 and 2 that are the most conservative have negative returns year to date, but not in a dramatic way. Just -0,4% and -1% respectively. Nothing worrying so far.

All the many versions of Models 3  (most aggressive with expected variance of 7-8% a year) had a very good start with performances between 5,5 and 7,9%.

Models 4, those are quite diversified and good for Asset Allocation of big accounts, are positive. The European models are beating the benchmark, while US versions are lagging. They are built to beat benchmark over the economic cycle: tend to lag benchmark in good times and overperform when things turn to the worst.

Below you can see the 1° Quarter performance summary.

That's all for now. I hope to be able to find some time next week end for some weekly charts on markets.

FEBRUARY PERFORMANCE

This beginning of March, isn't so good, especially for more defensive models that are allocated in High Yield and Gold, 2 assets that are performing poor this month.
By the way, this is the life of a trend follower. We'll see it next month how this will evolve. Losses are part of the game.

These were the performances of models in February with year to date charts. Totally, they were quite good I believe.

JANUARY PERFORMANCE

Here the first monthly performance of 2017.
Models started with mixed returns. It's normal and healthy after a very strong end of 2016.
Let's let market set up interesting pattern.
Have a nice week end

PERFORMANCE NOVEMBER

Here the models performance in November and YTD.
Even if november wasn't positive for all models, I'm very satisfied.. December is good so far...hope markets will hold these levels until the end of the year

OCTOBER PERFORMANCE

Here the performance for October, where one model had a bad draw-down and now is just in light loss ytd
Others continues to perform well.

This month is quite volatile, let's see how models will perform. I'm quite happy that global rates are rising on the long maturities, hope it will happen in the short one to re- normalize the markets
As I always write in this blog, if Models will be able to surf a normalization of markets with flat returns, I'd be happy. I think most investors will have deep losses in that environment

SEPTEMBER PERFORMANCE

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?!?!?).

PERFORMANCE AUGUST AND YEAR TO DATE

Here we are after deserved holidays.
I missed the increase in volatility in this first half of September, but is good...it was great to reload batteries. And I want to spend my 2cents on Greece and Greek people that were kind  with me in Crete. It's a quite sad that Europe is so demanding with them, when we have much more serious problems at the moment and we should realize that they'll never be able to repay their debt.

I highly recommend an holiday to Crete (More Info) that tourism is essential for them.


Going back to Models, August had a mixed performance, but results are satisfying year to date at the moment.
September is another month were models could suffer, because of weakness in Euro bond markets, but they don't try to anticipate the future. They follow the flow and go were investors like.
Not every year is the same, like in agriculture you must take what markets give. You can't manipulate it and market does what it wants, not what you hope or you'd like.

July Performance

Here we go with the performance.
July was a very good month, because all models recorded positive returns.
Trend is back and they caught the juice... ;-)
You can see the monthly performances in the tables below. 

Below I show the Year-to-date returns graph  and I am glad to see all models positive. Model 4 US version is worse than benchmark, but it's fine. It is built to lag benchmark in bull markets, while overperforming strongly when the bear comes. Performance are in line with the risk of the models with Model 1 (safest) that as the lowest return and Models 3 (more aggressive) that have the highest retuns, in average.

I am satisfied because, this was a difficult year for many multi-asset funds and Models were able to cope with this market. Unfortunately it's becoming always more and more overvalued on most assets and dangerous because of this crazy NIRP World.
Let's hope models will be able to "limit the losses" when financial markets will enter in bear market.

To improve the universe of asset Models can invest, at the moment I am working on a project to diversify among almost 100 ETF. It will take time, but hope it will be finished within end of 2016

NOTE; Because of holiday, I don't know if I'll be able to post September Allocations at the beginning of the month. If I won't be able, I'll update them after approx 24 days. A bit late, just for diary purpose, but I need an holiday :)