What I've been listening to, watching, and reading over the past month. This month: second-guessing, maybe ditching commodities, the three types of stackers, a trio of OGs on managed futures, and two big shots face the critics.
All this talk of Capital Efficient ETFs has led me to create a new test portfolio: the Capital Efficient Golden Butterfly (CEGB). It’s 40% NTSX, 25% GDE and 35% RSBT, profitable but still diversified, with 75% in additional leverage. Backtests are awesome - can’t wait to watch its progress!
Some randomness in the middle of my capital efficient mini-series: 1) Welcoming a new blended CE fund, RSBT, to the world!; 2) Also a new concentrated one, MFUT, is on the way; 3) Presenting my list of CE funds to gather all the possibilities in one place.
Again a few things from the cluttered desk - none deserving of a full post, so I’ll just smash them together: 1) Rectifying a mistake and revising some hot takes, 2) Big story for me: the strength of the dollar, 3) Managed Futures continue to roll along, 4) prepare, don’t predict.
Reconstructed data to test how a momentum strategy would have done since 1880. Authors find robust performance, with added bonus of basically no correlation to stocks & bonds, and positive performance in a variety of economic regimes. Strong support for including managed futures in an RP portfolio.
