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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]
    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
  • The World Country Top 4 ETF Strategy - A Way To Fight Rising Rates And A Stalling U.S. Stock Market [View article]
    No, there are no commissions and no spread or slippage taken into account.
    May 30, 2015. 07:17 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]
    The UIS strategy had a lower drawdown of 11% during winter 2008/2009 because it was more hedged and SPY is a very low volatility ETF compared to average world country ETFs. However this drawdown during the sub-prime crisis was followed by a +35% panick spike of the safe haven TLT Treasury and it was more of a mean reversion.
    At the end the strategies where about flat after these ups and downs during this 6 month period.
    May 30, 2015. 07:16 AM | Likes Like |Link to Comment
  • SPY-TLT Universal Investment Strategy 20 Year Backtest [View article]
    The strategy does go partially to cash if no positive sharpe ratio is found for all possible SPY-TLT allocations for the lookback period.
    May 19, 2015. 12:21 PM | Likes Like |Link to Comment
  • The New Enhanced Bond Rotation Strategy With Adaptive Bond Allocation [View article]
    The tax problem is a big one and I personally as a foreign investor don't invest in normal US bonds because of this. There are some ways around it. If you for example invest in leveraged Treasuries (TMF instead of TLT), you do not pay taxes. Another way is to invest in Treasury futures. This way you get the dividend as roll yield.
    It is possible that a strategy like UIS does nortwork well for some time because of rising rates, but with strategies it is like with ETFs. If a strategy underperforms, then you have to switch to better performing strategies.
    May 19, 2015. 12:18 PM | Likes Like |Link to Comment
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