A new index called the Nasdaq IBIS Focused Growth Index has the potential to be post-modern half-PP. It uses relative strength to choose among equity ETF's focused on large cap, small cap, developed or emerging. The kicker is when the equity markets get gnarly, it transfers into government bonds, with the duration determined by current interest rates. The backtest performance from 2003 is fantastic, around 25% CAR and -21% MaxDD. In comparison, a 50/50 stock/bond half-PP only returned 7.81% CAR and -22.37% MaxDD. Replacing the the 25/25 stock/bond with this index in the full PP generates around 15% CAR and -14% MaxDD. Definitely worth keeping an eye on for when it becomes investable.
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Quantitative Tactical Global Rotation
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MachineGhost
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Quantitative Tactical Global Rotation
Last edited by MachineGhost on Mon May 05, 2014 8:52 am, edited 1 time in total.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Re: Quantitative Tactical Global Rotation
Is there a place to find the assets and rules?
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MachineGhost
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Re: Quantitative Tactical Global Rotation
This is all I got: https://indexes.nasdaqomx.com/Index/Overview/NQIBISTKbg wrote: Is there a place to find the assets and rules?
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!
Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet. I should not be considered as legally permitted to render such advice!