Recent Articles

Combined Leveraged And Non-Leveraged ETFs: Tactical Allocation

Aug 8, 2023

Three portfolios: (1) non-leveraged (2) leveraged and (3) combined.
Invest according to three market states: risk-on, risk-N and risk-off.
Investment choices: Non-leveraged funds, leveraged funds, and risk-off funds.
Simulation results produced with Portfolio Visualizer are in included in three PDF reports.
This idea was discussed in more depth with members of my private investing community, Adaptive Momentum Investing.

Jul 13, 2023

The investing philosophy is to be fully invested in stocks during market uptrends, switch to safe assets during market corrections, and invest in defensive equity sectors during transitional periods.
Two models were compared: a 2-state model (risk-on and risk-off) and a 3-state model (risk-on, risk-off, and risk-neutral). The 3-state model outperformed the 2-state model in terms of CAGR, standard deviation, maximum drawdown, and Sharpe and Sortino ratios.
The 2-state model had higher returns in the years 2022 and 2023, making it the preferred choice for investment strategy. However, the 3-state model is generally better overall.

Aug 30, 2021

New Risk-off: DBB-UUP < 1% and XLY-XLP < 0.25% and S&P 500 not in strong uptrend (total return over the evaluation period < 5%).
All portfolios of my marketplace service exhibit improved performance in back tests since January 2008.
A new risk factor was added: average daily drawdown. It differentiates between strategies better than maxDD.
Looking for a helping hand in the market? Members of Adaptive Momentum Investing get exclusive ideas and guidance to navigate any climate.

Aug 20, 2021

The “safe assets” during market risk-off periods contribute substantially to the performance of portfolios with momentum strategies.
We show examples where superior performance is obtained by using leveraged Treasury bond ETFs.
Overall, the best performance is achieved with intermediate term Treasury bonds.

Aug 10, 2021

A strategy, published in December 2014, showed poor performance for the next two years, 2015 and 2016. But, starting with 2017, has made good profits, beating the market.
A couple of simple changes to the strategy would have significantly improved its performance.
A dual momentum strategy coupled with the use of leveraged Treasury bonds as “safe” investments during market risk-off periods makes a huge difference in performance.