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Frank Grossmann  

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  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    I tested the strategy with trading 1,2 or 3 days delayed at close. I also tested the strategy with only liquid (>500M NAV) ETFs. It still works. Also I always run such a strategy at least for 6 month myself before I publish it.
    For the Trading costs remove about 2% per year, but this depends a lot on your discount broker and on the size of your investment.
    Backtests are always done like this. Very popular web sites like ETFReplay.com also do it like this. The backtests just verifies that a strategy worked in the past.
    Jun 20, 2015. 09:14 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    A lot of the selected ETFs have been really beaten down before and then have recovered and have been selected in the strategy. A good example is Ireland EIRL which was really beaten down together with Greece, Spain, Italy ....
    Ireland really recovered well because they did a good turnaround job.
    Jun 11, 2015. 10:44 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    The 66 day lookback period was chosen, because the strategy delivers good returns around this slightly more than 3 month period. However the strategy works in quite a wide range. If the lookback period becomes too short, then you risk to react to every small drawdown by selling low and later buying high. We do not want to react on market noise, but reallocate to economic up and down trends in these countries.
    One thing what you can be sure is that unless we launch such a strategy as a tradable product (ETF ETN or Fund) the strategy we will not be able to influence the underlying country indexes. This would need much more subscribers than we have now. These subscription strategies which you have to execute by yourself, only address a very small percentage of investors.
    Jun 10, 2015. 08:09 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    I will check ISRA again. EIS has the much better volume and lower spreads. This is also quite important for such monthly re-balanced strategies. Anyway, I always check the ETFs and add or remove if necessary.
    Jun 10, 2015. 02:56 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    There is the Treasury as a hedge, but not Gold like in the original PP
    Jun 1, 2015. 05:45 AM | 1 Like Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    It is published
    Jun 1, 2015. 05:17 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    There are several ways to reduce the 36% drawdown. One is to add cash, but probably the best is to impose a volatility limit. Limiting volatility to 13% halves the max drawdown in 2008. I backtested these possibilities, but long term they always reduce the performance. Going to cash always means that you realize a loss. Switching to a different asset than cash always gives you the possibility of a recovery after a short market correction. This is important, because every year we have several short about -5% corrections.
    However because this drawdown was more a mean reversion after a 35% Treasury spike, I don't think it was so painful.
    Jun 1, 2015. 05:16 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    I also run a Top5 Nasdaq 100 strategy built exactly the same way as the country strategy. It works also very well, but the advantage of countries is the global diversification.
    Nasqaq 100 is one of the ways to beat the S&P 500. An other way to beat it is the same type of strategy with US industry ETFs. I run a Top5 of 27 US industry ETF strategy since half a year.
    Jun 1, 2015. 04:54 AM | 1 Like Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    I don't like PHDG. It is hedged using VIX futures and I think that such a Hedge is way too expensive. The only way to make money with volatility is to sell volatility premium.
    Jun 1, 2015. 04:47 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    The strategy does also work reasonably well with cash instead of the Treasury. Also Gold as a safe haven asset works reasonably well. Treasuries however are by far the best way to reduce volatility and risk, even if the would just go sideways these next years.
    Jun 1, 2015. 04:40 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    Btw. US (Nasdaq 100) is also included in the top world country strategy.
    Jun 1, 2015. 04:30 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    You could buy ACWI - iShares MSCI All-World ACWI Index, but this way you only get mediocre results because such an all world ETF includes also all the looser countries of the world.
    Jun 1, 2015. 04:29 AM | 1 Like Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    There are some months where the strategy only invests in country ETFs and no Treasury. We try to find the max Sharpe ratio always of Stock-Treasury pairs, but if the top 4 country ETFs all have the max Sharpe at 100% stock-0% Treasury, then at the end there is no Treasury in the Top4 ranking. But normally the best Sharpe nearly always has some 10% or more of Treasuries in it.
    May 30, 2015. 07:39 AM | 1 Like Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    I may include it later on, but at the moment it is too small. It has an AUM of only 55M$
    May 30, 2015. 07:26 AM | Likes Like |Link to Comment
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    No, but we do an input parameter stability plot to check that the CAGR is stable over a large variation of input parameters. You can see one of these plots here: http://seekingalpha.co...
    May 30, 2015. 07:23 AM | Likes Like |Link to Comment
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