TuringTrader's All-Stars Weekly

Key Facts

  • meta-portfolio w/ +8.5% leverage
  • rebalances weekly w/ a possibly daily exit

Tags

premium
meta
stocks
etfs
leveraged
low-volatility
momentum
weekly

Summary

All-Stars Weekly is a meta-strategy combining three proprietary portfolios from TuringTrader.com. We introduced the strategy in September 2020 and updated it in May 2021.

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.

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 Weekly:

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. The current asset allocation is as follows:

Review

Strategy Rules

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

  • divide capital into three equal-sized tranches
  • allocate one tranche each to TuringTrader's Mach-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.

Diversification

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.