Glad to hear it! Anything in particular? Some of the data may have updated between the two decks. The presentation is made after the positions are sent out
Do you have anything that shows a rough approximation of the models allocations to the different assets over time? Also, have you published anything diving into the various differences between the ETF portfolio and the asset allocation portfolio? Thanks in advance!
If you’re look at price action all the time, how much the market regime is changing and are on top of data releases, ETF Portfolio is probably for you.
If you like to take a macro view over a cycle, and cant make changes relatively quickly, Asset Allocation is for you.
2. We’ll probably have the most recent positions in a document/ visual. We think we have clearly defined edge, and we have some of the most sophisticated readers in the industry. Giving away positions over a long time basically allows anyone to mine our strategies, which is basically giving away edge. Something to figure out
Thanks for the excellent answers! I look forward to the portfolio note. On question #2, my real purpose is to get an idea of min/max positioning over the cycle for each asset class. Doesn't have to be exact, just an idea of how hard they each lean into/out of asset classes over time. Thanks!!
Got it! There is no min or max constraint on either portfolio for individual positions. The constraints are always going to be the amount of risk taken at the portfolio level.
For example: if equities are the only asset class with positive signal, then 100% of either portfolio could be allocated to equities. However, both portfolios never take on more than a 10% annualised volatility. So if equities are the only positive asset, but they have high volatility, the strategies will scale down the position so that the vol (and hence drawdown risk) is controlled
Great presentation! I noticed that some of the figures on the presentation were different from the ones on the included pdf. Is one more up to date? Thanks!
Glad to hear it! Anything in particular? Some of the data may have updated between the two decks. The presentation is made after the positions are sent out
The Market Regime Probabilities on page 29
Yes those may have moved between the initial deck and the video
Do you have anything that shows a rough approximation of the models allocations to the different assets over time? Also, have you published anything diving into the various differences between the ETF portfolio and the asset allocation portfolio? Thanks in advance!
Great questions!
1. We’re actually working on the ETF Portfolio vs Asset Allocation note. Big picture difference.
ETF Portfolio: <10% vol, weekly signals, 4 risk assets. More market price sensitive
Asset Allocation: = 10% volatility (constant). 3 risk assets. More fundamental.
If you’re look at price action all the time, how much the market regime is changing and are on top of data releases, ETF Portfolio is probably for you.
If you like to take a macro view over a cycle, and cant make changes relatively quickly, Asset Allocation is for you.
2. We’ll probably have the most recent positions in a document/ visual. We think we have clearly defined edge, and we have some of the most sophisticated readers in the industry. Giving away positions over a long time basically allows anyone to mine our strategies, which is basically giving away edge. Something to figure out
Thanks for the excellent answers! I look forward to the portfolio note. On question #2, my real purpose is to get an idea of min/max positioning over the cycle for each asset class. Doesn't have to be exact, just an idea of how hard they each lean into/out of asset classes over time. Thanks!!
Got it! There is no min or max constraint on either portfolio for individual positions. The constraints are always going to be the amount of risk taken at the portfolio level.
For example: if equities are the only asset class with positive signal, then 100% of either portfolio could be allocated to equities. However, both portfolios never take on more than a 10% annualised volatility. So if equities are the only positive asset, but they have high volatility, the strategies will scale down the position so that the vol (and hence drawdown risk) is controlled
Got it, thanks! Last question (I promise), any thoughts of incorporating bitcoin in as an asset class? Thanks again, amazing work!
You’re good! It’s not an asset class for us. It’s either in the currency bucket or the commodity bucket. It could be a a small part of those baskets
Great presentation! I noticed that some of the figures on the presentation were different from the ones on the included pdf. Is one more up to date? Thanks!