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Cook’s Bond Rotation

Summary

This is a private strategy for T. Cook @ Ridgeline Asset Management. Access to this page is by invitation only.

  • Objective: low-volatility exposure to fixed-income securities
  • Type: trend-following
  • Invests in: ETFs tracking treasuries and corporate bonds
  • Rebalancing schedule: weekly
  • Taxation: 50% short-term capital gains
  • Minimum account size: $2,000

Blurb about objective, construction, maintenance requirements, and target audience.

Performance

This table shows the portfolio’s key performance metrics over the course of the simulation:

The following chart shows the portfolio’s historical performance and drawdowns, compared to their benchmark, throughout the simulation:

This chart shows the portfolio’s annual returns:

The following charts show the Monte-Carlo simulation of returns and drawdowns, the portfolios 12-months rolling returns, and how the portfolio is tracking to its benchmark:

Asset Allocation

The portfolio last required rebalancing after the exchanges closed on @last-rebal@. Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:

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Strategy Rules

The strategy is a close relative to TuringTrader’s Buoy. The most notable difference is the market regime filter. While Buoy uses Market Vane for this purpose, this strategy uses a simplified filter based on a 10d/50d EMA crossover. Further differences include the trend-detection for the assets.

Both of these differences explain why this strategy starts investing in corporate bonds in August 2022, while Buoy remained in T-bills.

Diversification

tbd

Returns & Volatility

tbd

Account & Tax Considerations

tbd

Portfolio Revisions