TuringTrader's All-Stars Total Return

Key Facts

  • meta-portfolio combining momentum, mean-reversion, and volatility-targeting strategies
  • rebalances daily

Similar Portfolios

All-Stars Total Return is a meta-portfolio combining three proprietary portfolios from TuringTrader.com. We first introduced the portfolio in July 2020. In November 2020 and April 2022, we updated the portfolio to reflect new research and market observations.

All-Stars Total Return aims to improve risk-adjusted returns by diversifying across asset classes and investment styles, namely momentum, mean-reversion, and volatility targeting.

With its daily rebalancing schedule, All-Stars Total Return has higher-than-average maintenance requirements.

Strategy Rules

The operation of All-Stars Total Return can be summarized as follows:

  • divide capital into three equal-sized tranches
  • allocate one tranche each to TuringTrader's Round-Robin, VIX Spritz, and Mean Kitty
  • rebalance between tranches once per month

By combining three portfolios, All-Stars Total Return diversifies across investment styles. As a result, the meta-strategy achieves higher risk-adjusted returns than the individual components.

The previous version of this portfolio used TuringTrader's Stocks on the Loose as the primary driver of returns. We replaced Stocks on the Loose with Round-Robin for the current version because the latter offers better returns at a lower risk.

Diversification

All-Stars Total Return typically invests about 60% of its capital in the U.S. Stock Market. The remaining capital is allocated to various ETFs tracking bonds, gold, commodities, and VIX Futures.

All-Stars Total Return combines momentum, mean-reversion, and volatility-targeting strategies in a single portfolio. In addition to this diversification across trading styles, the meta-portfolio invests in various asset classes and markets. As a result, All-Stars Total Return significantly reduces the portfolio's concentration risk while improving the ability to cope with a broad range of market conditions.

The improved diversification shows through the portfolio's low standard deviation of returns, beta, and Ulcer index. In addition, the Monte-Carlo simulation illustrates how All-Stars Total Return not only greatly reduces the downside risk but also narrows the range of possible outcomes compared to the 60/40 benchmark.

Returns & Volatility

All-Stars Total Return handily beats the 60/40 benchmark in most years. Further, when contemplating the entire economic cycle, the strategy beats the S&P 500 by a wide margin.

The rolling returns illustrate how the portfolio consistently outperforms its benchmark, with only very brief periods of underperformance or negative returns. In addition, the tracking chart shows how the portfolio continually gains over its benchmark and how these gains are further augmented during economic downturns.

Overall, All-Stars Total Return delivers smooth returns at very low volatility and serves as the Swiss Army Knife of portfolios, addressing a wide range of investment objectives.

Account & Tax Considerations

All-Stars Total Return trades frequently and regularly triggers taxable events. As a result, investors should expect almost all capital gains to be short-term. Therefore, the strategy works best in tax-deferred accounts.

To allow for proper position sizing, All-Stars Total Return requires a minimum investment of $50,000.

Portfolio Revisions

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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:


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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 . Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:


SymbolNameAllocation
 
 

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