For Profit Announcements
A couple of for profit announcements…
For all the reasons I’ve discussed previously, I’ve officially cut ties with tactical asset allocation (and/or its many variations) as my core wealth management solution.
In my previous post I talked about why the concept has lost its luster for me: the one-two-three punch of middling returns, long hold times, and most importantly, the limited upside remaining in Treasuries.
Like most folks who do what I do, I enjoy showing off the very good things we’ve been doing for the last seven years, but unlike most folks who do what I do, I don’t believe in hiding our uglies (even ones that we freely shared like the TAA model), so I’ll continue to carry the real-time actual results of the TAA model indefinitely at MarketSci.com.
As subscribers to the Volatility ETF Strategy already know, this month we’ve added a partial beta hedge to an already very effective strategy.
The goal is to reduce exposure to the portion of VXX/XIV returns driven by changes in the stock market, which is inherently difficult to predict, while maintaining exposure to the portion of returns driven by the VIX futures term-structure (i.e. contango or backwardation) that are much easier to predict.
This requires margin to precisely mirror the trades we’re taking in our own portfolios, but because of the negative correlation between VXX/XIV and the hedge ETF, it’s designed to actually reduce portfolio volatility. For users who cannot or do not wish to employ margin, we also provide an unmargined signal.
Click to learn more about the Volatility ETF Strategy at MarketSci.com.
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Filed under: Random Stuff, Tactical Asset Allocation | 11 Comments