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