Thursday, January 10, 2013

T2 LAB..Balanced Portfolio...1.10.13

This is a series of tests I've been running while working towards a more unified investment program which includes both short and long term positions within the same portfolio.  Note that SPY is gone as well as QQQ.  I've added 2 Schwab commission free ETFs.. SCHA, SCHP to ease the transaction costs if you've got a Schwab account.  Also new is MUB, a muni bond fund mostly focused on California and CIU, a corporate bond fund focused on the financials.

We've only got 8 ETFs here but for our current purposes this represents a full house. In the first model we look at top 1 performance, which has been dominated recently by SCHA, the small caps.  What's to not here is the 5 and 30 day returns..while also noting the attractive 2 year returns relative to SPY.
In the second test we look at the results of running a top 8 model.  No rotation here just an occasional rebalance to keep capital deployed equally among the components. 
We're obviously not keeping pace with the 11 ETF default model but there's not much work involved here either. This is a bond-centric model with SPY and SCHA to provide juice on the equity side.  The danger here is that bonds implode, as mentioned yesterday, and then all bets are off and we need to seek a fallback.
Below we see the equity curve of the top 8 version..pretty darn reflected in the RSQ of 96.
You can run the model yourself and will see that the top 1 equity curve is considerably more volatile.
Tomorrow we'll look at ways to game to model and pick up incremental gains along the way....going back to the goal of a unified investment portfolio