etfmsolutions: T2 Bonds &FI with a twist...4.19.13

Friday, April 19, 2013

T2 Bonds &FI with a twist...4.19.13

Here's an update of the Bonds and Fixed Income portfolio but this time we've made SPY the benchmark in lieu of AGG and incorporated SPY into the momentum ranking calculations. The model sort is set at 11...meaning all in all the time.
We just have to rebalance every month to maintain equal dollar amounts in each position.

The results over 2 years show an RSQ of .97 (1.00 is a straight line and the highest possible score), but the real attention getter is the drawdown numbers. The results look similar to the T6 delta neutral based model shown yesterday, but this is a more diversified portfolio of opportunities and associated risks.

We actually don't even need to look at the momentum rankings...unless the investment strategy involves deploying some capital to an all in portfolio and some to a top 2 or top 3 sort...an idea advanced yesterday.

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