This is a variation of the commodities model which includes several currencies and countries as buffers against commodity fluctuations.The futures based DBA, DBB and DBC have been replaced along with IYR, the real estate component.
We have maintained XLU in the mix as a market weakness hedge and at the same time take advantage of the cyclical price patterns that are characteristic of the currencies. Keep in mind that the volatility of this model is more than the SPY benchmark and as result strict adherence to the risk management stops is critical.
Note the yellow volatility line versus the SPY red line.
This is more a trading portfolio than an investing portfolio as the rankings (and returns) can change quickly and we don't see the usual extended run of positions ranked #1 and 2 as in the more market neutral models.
Nevertheless, there are some quantifiable edges here (see Costanza post) if the trading plan is closely followed. A Top #1 ranking sort is shown...the top 2 also yields respectable results.
Click once on chart to clarify...........
