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Cook’s ETF Mean Reversion

Summary

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

  • Objective: aggressive growth w/ contrarian exposure
  • Type: mean-reversion strategy
  • Invests in: stock-market ETFs
  • Rebalancing schedule: weekly w/ daily position-sizing
  • Taxation: 100% short-term capital gains
  • Minimum account size: $4,000

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

This core of this strategy is identical to the version trading stocks from the S&P-100. However, this strategy combines two instances, one trading sector ETFs, and one trading factor ETFs in a 50/50 lazy portfolio.

Diversification

tbd

Returns & Volatility

tbd

Account & Tax Considerations

tbd