Aggressive is a very low-beta, but very high-volatility, trading program for U.S.-market equities. Non-correlation and total return are valued by this system far more than reduction in volatility is, and the system was optimized with a specific, aggressive retail trader in mind (myself!).
Information is as of the close on August 29, 2008.
Model […]
These are my personal trading returns as of month-end August 2008.
Current Month Return: 1.6%
Year To Date Return: 0.3%
3 Month Return: -2.8%
6 Month Return: -0.2%
12 Month Return: 9.2%
24 Month Return: 14.6%
24 Month Annualized Return: 7.0%
36 Month Return: 48.9%
36 Month Annualized Return: 14.2%
Since Inception Return: 52.6%
Since Inception, […]
Rotational combines component rotation and asset class rotation to hold a small basket of ETFs or ETNs, selecting the handful with the most momentum from a representative sampling of classes and components. Throughout this article, when I refer to momentum, I am referring to an exponentially smoothed measure based solely on price movement.
Information […]
Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.
Information is as of the close on August 15, 2008.
Model Allocation
Based on beginning […]
Timing attempts to provide market equivalent returns over the long term, with a substantial reduction in variability of returns. The two components of the Timing program are EZ+Macro and Fear/Greed. This system trades rarely and splits its allocations between ETFs tracking the S&P 500, the intermediate-term U.S. Treasuries, and cash.
System recap is presented first […]
