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.
If managed futures are going to be included in a RP portfolio, what’s the best asset? My vote is for DBMF, which has had solid returns and low correlation to stocks and bonds in its short history. Proceed with caution for this asset though, because of that very short history.
