Introducing Model Portfolios
On this website we already offer access to a portfolio page where we show the current exposure that our models have on a number of markets we trade. Throughout the years many customers have expressed their desire to have access to even more markets and at the same time to have some more guidance on what instruments to prioritize at any point in time.
To address these points we are now introducing a new product: the model portfolios.
Access the model portfolios here
Model Portfolios that are made available to our customer are Model_A, Model_B, Model_C, Model_D, Model_E and Model_F. These portfolios follow different rules and are designed to show low correlation with the other portofolios and the market. As such, they can sometimes open opposite positions (i.e. Model_A is long SPY while Model_B is short SPY). Our model porfolios trade different instruments within the following set:
For this reason, people can choose to follow their preferred model portfolios based on risk and performance or decide to follow all of them.
How to follow a model portfolio
A model portfolio will only hold one ETF at any given time and if a position change is required this will be visible on the dedicated page on this website (shortly after market closes) and an order to buy/sell will be submitted at the next market open.
How do model portfolios differ from the other strategies we publish
These portfolio follow a more complex set of strategies than those we employ for the signals we already publish here. The underlying models will select the instruments that are good candidates for the long or short position that we want to initiate. An algorithm will then pick the single best instrument amongst all the candidates at any given point in time. The trader will simply need to check what is the pick for each model portfolio and submit an order to buy at the next market open.
Access the model portfolios here
How active are the model portfolios
Historically positions are held unchanged for about 80% of days. This means that on average we could expect less than 4 trades per month.
Performance and Risk of the Model Portfolios
Performance on all model portfolios have been amazing and far superior than the markets we used as benchmark despite showing at most the same level of drawdowns.
The equity lines and the drawdowns of each of the model portfolios are shown below (in blue). For comparison, the equity line and the drawdown of the benchmark market are also shown (in red). Performance is shown since 2008 or since inception of the instruments used (if later). In all cases the starting capital is $10,000.
Equity lines are shown in logarithmic scale. This will help focus on the relative percentage changes in the equity line rather than the absolute changes (as in the linear chart). Using logarithmic scale makes results much more comparable especially when there are strong compounding effects and long history.
Equity lines in linear scale are shown at the bottom of this page.
Model_A is long-only and it is designed to switch between equity and interest rates ETFs. Only one instrument will be held at any given time. Here the performance is shown against SPY.
The model has an annualised return of 21.2% and the initial investment of $10,000 has grown to more than $220,000 (a performance of +2,119.7%).
Model_B is short-only and is designed to short equity or volatility ETFs. Only one instrument will be held (short) at any given time. Here the performance is shown against SVXY.
The model has an annualised return of 40.3% and the initial investment of $10,000 has grown to more than $657,000 (a performance of +6,473.9%).
Model_C is long-only and it is designed to switch between various equity, interest rates and inverse ETFs. Only one instrument will be held at any given time. Here the performance is shown against SPY.
The model has an annualised return of 25.78% and the initial investment of $10,000 has grown to more than $400,000 (a performance of +3,929.3%).
Model_D is long-only and it is the most aggressive portfolio since it invests in 3X ETFs. It is designed to trade equity and interest rates ETFs. Only one instrument will be held at any given time. Here the performance is shown against UPRO, since inception.
The model has an annualised return of 95.8% and the initial investment of $10,000 has grown to more than $115,000,000 (a performance of +1,155,697.0%).
Model_E is long-only and it is designed to trade equity (leveraged) and interest rates ETFs. Only one instrument will be held at any given time. Here the performance is shown against QQQ.
The model has an annualised return of 38.89% and the initial investment of $10,000 has grown to more than $1,900,000 (a performance of +19,790.3%).
Model_F is long-only and it is designed to switch between equity and interest rates ETFs. Only one instrument will be held at any given time. Here the performance is shown against SPY.
The model has an annualised return of 18.73% and the initial investment of $10,000 has grown to more than $159,000 (a performance of +1,494.5%).
Performance and Risk of the Model Portfolios (during 2020-2024)
The following charts focus on equity line and drawdowns since Jan 2020. Again, starting capital is assumed to be $10,000.
If interested in checking the updated positions of our model portfolios click the link below.
Access the model portfolios here
Performance and Risk of the Model Portfolios (linear scale)
The following charts show performance since Jan 2008 in linear scale. Again, starting capital is assumed to be $10,000.
