TuringTrader's All-Stars Total Return

Key Facts

  • meta-strategy
  • rebalanced daily

Tags

premium
meta
etfs
low-volatility
momentum
mean-reversion
volatility-targeting
daily

Summary

All-Stars Total Return is a meta-strategy combining three proprietary portfolios from TuringTrader.com. We first introduced the strategy in July 2020 and updated it in November 2020.

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

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

Performance

The chart above shows the portfolio's historical performance and drawdowns, compared to their benchmark, throughout the simulation. The chart below shows the portfolio's annual returns:

This table shows the performance metrics for TuringTrader's All-Stars Total Return:

Asset Allocation

The portfolio last required rebalancing after the exchange's close on n/a. Due to fluctuations in asset prices and portfolio values, the exact allocations vary daily. 31 days ago, the asset allocation was as follows:


- Delayed Data -

Last updated on .

Review

Strategy Rules

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

  • divide capital in 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. For the current version, we replaced Stocks on the Loose with Round-Robin 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 portfolios in a single strategy. In addition to this diversification across trading styles, the meta-portfolio covers a variety of 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.

Returns & Volatility

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

Overall, All-Stars Total Return delivers smooth returns at very low volatility. The Monte-Carlo simulation confirms these claims of a massive upside and a much-reduced risk over the 60/40 benchmark.

Account & Tax Considerations

All-Stars Total Return trades frequently and regularly triggers taxable events. 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.