TuringTrader's All-Stars Total Return

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Key Facts

  • meta-strategy
  • re-balanced daily

Tags

Summary

All-Stars Total Return is a meta-strategy combining three proprietary portfolios from TuringTrader.com. We introduced the strategy in July 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. The current asset allocation is as follows:

- Delayed Data -

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 Stocks on the Loose, 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.

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, especially of the potentially expensive individual stock components, All-Stars Total Return requires a minimum investment of $100,000.