TuringTrader's All-Stars XL
- Objective: balanced growth
- Type: meta-portfolio
- Invests in: individual stocks, ETFs tracking stocks, bonds, commodities, VIX futures
- Rebalancing schedule: daily
- Taxation: 90% short-term capital gains
- Minimum account size: $180,000
TuringTrader’s All-Stars XL aims to continually beat the balanced 60/40 benchmark with minimum volatility. The meta-portfolio achieves its objective by maximizing diversification benefits and combining six proprietary strategies, implementing momentum, mean-reversion, volatility-targeting, and bond rotation styles. Due to the complexity of combining six strategies and its daily rebalancing schedule, All-Stars XL requires above-average maintenance and attention to detail. With these properties, the portfolio appeals to sophisticated investors with larger accounts.
Strategy Rules & Schedule
All-Stars XL uses the following rules:
- divide capital into six equal-sized tranches
- allocate one tranche each to Stocks on the Loose, Round Robin, Quick-Change, Mean Kitty, VIX Spritz, and Buoy
- rebalance between tranches once per month
Curious investors will note that we are using a slight variant of VIX Spritz that omits the static allocation to gold, commodities, and treasuries.
Each portfolio tranche follows its original rebalancing schedule, resulting in a daily schedule for the meta-portfolio. While most component strategies do not rotate their assets that often, investors should keep a close eye on the holdings of Quick-Change, Mean Kitty, and VIX Spritz. These strategies only yield our backtested results if investors follow the rebalancing schedule closely.
By combining six strategies, All-Stars XL primarily diversifies across investment styles. The component strategies cover four investment styles: momentum, mean-reversion, volatility-targeting, and bonds. Momentum and mean-reversion are each represented by two strategies, one trading ETFs and one individual stocks. This broad diversification significantly reduces the portfolio's concentration risk while at the same time improving the ability to cope with a wide range of market conditions.
All-Stars XL's exposure to U.S. stocks fluctuates. On average, the portfolio invests about 60% of its capital in stocks. However, this percentage may be as high as 85% when the mean-reversion strategies hold stock positions or as low as zero when both momentum and mean-reversion strategies enter their risk-off allocations. As a result, all-Stars XL offers well-balanced exposure to the main asset classes.
The improved diversification manifests 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 speeds up recovery and significantly narrows the range of possible outcomes.
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. 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 XL 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 XL 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 XL requires a minimum investment of $180,000.
- v1, July 2022: Initial release, combining Stocks on the Loose, Round Robin, Quick-Change, Mean Kitty, VIX Spritz, and Buoy.
- v2, October 2022: Upgraded Round Robin and Mean Kitty to their latest versions for improved performance in bear markets.
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: