A Barbell Portfolio Strategy

with a realtime review of portfolio performance during the recent market pullback. I want to take a look at some of my core portfolio strategies from a fresh angle. The basic principles discussed are easily transferable to other types of portfolios. A key portfolio feature, I strive for, is an adaptive combination of strategies with…

Your Entry may be less important than you think

Or why choosing the right time horizon is of essential importance for the validity of a trading strategy. Many short-term traders tend to show an unhealthy obsession trying to optimize trade entries. Long-term investors, on the other hand, often enter in an arbitrary fashion and could improve results by using broad entry criteria. My theory:…

Trend Following for Individual Investors – A Manageable Futures Strategy

A traditional long-only portfolio consisting of globally diversified asset classes can be greatly enhanced by a truly diversifying strategy, namely trend-following managed futures. We have over 40 years of real return data *,*** available from different CTAs running such strategies – there is even research testing the validity of the concept going back 800 years in…

Working with different Market Regimes Part II

Based on a refined, trustworthy investment philosophy, I return to the practical implementation of our key question: How is successfully adapting an asset allocation to market conditions possible and can it yield higher risk- adjusted returns than a static portfolio?   I concentrate on the third basic building block of my investment philosophy – systematic downside protection through dynamic…

Is Trend Following a figment of the imagination?

Absolute momentum or time series momentum, as trends are called in academia, can be used to time virtually any price series (asset prices, composite indices, equity curves, factors and so on) in such a simple manner, that to be able to gain an advantage over the market that way, seems a bit suspect. Not to mention, that…

Volatility Strategies in Detail

Let´s put some meat on the bone and dig deeper into the practical details of the volatility strategies I use in my portfolio. These are among the most active, short term strategies I use at the moment. They also use concepts that are more off the beaten path, which makes them more valuable, but also…

Common Sense Backtesting

When looking at new strategies, I try to judge the quality of an idea by looking at it from different angles. A combination of methods estimates a range of possible outcomes that strategy could have and defines its place in the portfolio – one could call it common sense backtesting.   Ideas first I always…