Correction: An earlier version of this edition incorrectly noted that iShares iBoxx $ Investment Grade Corporate Bonds (LQD) was the only ETF on our proxy list for the major asset classes with a bearish MOM score. That was incorrect. I should have reported that
I am avid fan of your Capital Spectator site, appreciating its sage advice and clear prose.
A couple questions about the G.B16 portfolio and the active strategies.
1) The G.B16 portfolio lacks a small cap ex-US ETF, say, for example, VSS. Is there a logic for its absence?
2) The stellar performance of the G.B16.MVOL for 2020 (up 30%) certainly makes it a seemingly appealing strategy. But is it your sense this is maybe a bit of an one-off performance? One maybe attributed to high volatility during March’s descent followed by a relatively low volatility during the subsequent climb back up?
3) You’ve observed previously that normally the G.B16.MVOL has at least one asset in the risk-off category. Yet I don’t see any sell signals after March. In fact, looking at VTI as an example, I don’t see any sell triggers starting 2016 and prior to March 2020. (This assumes I have correctly incorporated the filters for the triggers into the data analysis.) Does this make sense?
Mr. Picerno:
I am avid fan of your Capital Spectator site, appreciating its sage advice and clear prose.
A couple questions about the G.B16 portfolio and the active strategies.
1) The G.B16 portfolio lacks a small cap ex-US ETF, say, for example, VSS. Is there a logic for its absence?
2) The stellar performance of the G.B16.MVOL for 2020 (up 30%) certainly makes it a seemingly appealing strategy. But is it your sense this is maybe a bit of an one-off performance? One maybe attributed to high volatility during March’s descent followed by a relatively low volatility during the subsequent climb back up?
3) You’ve observed previously that normally the G.B16.MVOL has at least one asset in the risk-off category. Yet I don’t see any sell signals after March. In fact, looking at VTI as an example, I don’t see any sell triggers starting 2016 and prior to March 2020. (This assumes I have correctly incorporated the filters for the triggers into the data analysis.) Does this make sense?
Thanks, Dan M.