TuringTrader's All-Stars Weekly
- meta-portfolio combining momentum and mean-variance optimization strategies
- leveraged w/ up to 108.5% exposure
- rebalances weekly w/ a possibly daily exit
All-Stars Weekly is a meta-strategy combining three proprietary portfolios from TuringTrader.com. We introduced the strategy in September 2020. In May 2021, we upgraded the Stocks on the Loose component to the latest revision. Further, we upgraded the Stocks on the Loose and Mach-1 components to their latest revisions in April 2022.
All-Stars Weekly aims to improve risk vs. return characteristics by diversifying across multiple investment styles. The portfolio does so by combining momentum and mean-variance optimization strategies with a bond-heavy all-seasons style portfolio. The latter component is leveraged up, resulting in total portfolio leverage of up to +8.5%.
With its weekly rebalancing schedule, All-Stars Weekly appeals to investors with a busy lifestyle.
The operation of All-Stars Weekly can be summarized as follows:
- divide capital into three equal-sized tranches
- allocate one tranche each to TuringTrader'sMach-1, Stocks on the Loose, and Rain or Shine
- rebalance between tranches once per month
By combining three portfolios, All-Stars Weekly diversifies across investment styles. As a result, the meta-portfolio achieves higher risk-adjusted returns than its individual components.
All-Stars Weekly combines momentum and mean-variance optimization strategies with a bond-heavy all-seasons style strategy. The resulting meta-portfolio diversifies across multiple trading styles, asset classes, and markets.
All-Stars Weekly achieves a very low concentration risk through its broad diversification and copes with a wide range of market conditions. The successful diversification manifests itself in low portfolio volatility and a portfolio beta of approximately 0.3.
Returns & Volatility
All-Stars Weekly handily beats the 60/40 benchmark in most years with only brief periods of underperformance. As a result, the meta-portfolio steadily expands its lead over the benchmark. Further, the strategy beats the S&P 500 by a wide margin when contemplating the entire economic cycle.
Overall, All-Stars Weekly delivers smooth and steady returns at very low volatility. The Monte-Carlo simulation confirms these claims of a massive upside and a much-reduced risk compared to the 60/40 benchmark.
Account & Tax Considerations
All-Stars Weekly trades frequently and regularly triggers taxable events. Of the portfolio's three component strategies, only Rain or Shine often holds assets long enough to qualify for long-term taxation of capital gains. The other two components will almost always lead to short-term capital gains. Consequently, the strategy works best in tax-deferred accounts. However, because of All-Stars Weekly's solid upside, the portfolio still provides value in taxable accounts.
The strategy's weekly rebalancing schedule not only reduces maintenance efforts but also addresses potential issues with T+2 accounts. To allow for proper position sizing, especially of the potentially expensive individual stock components, All-Stars Weekly requires a minimum account size of $100,000.
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:
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: