Summary
- Objective: balanced growth
- Type: trend-following strategy
- Invests in: ETFs tracking stocks, bonds, commodities, gold
- Rebalancing schedule: weekly
- Taxation: 50% short-term capital gains
- Minimum account size: $10,000
Invest Like a Pro’s Commitment aims to maximize the dependable returns at the 5th percentile. The trend-following strategy achieves its objective through a combination of trend-following and stringent risk-management. The strategy can be used with relatively small accounts and rebalances on a weekly schedule. With these characteristics, the strategy appeals to risk-averse investors seeking to meet their critical financial goals.
Performance
This table shows the portfolio’s key performance metrics over the course of the simulation:
The following chart shows the portfolio’s historical performance and drawdowns, compared to their benchmark, throughout the simulation:
This chart shows the portfolio’s annual returns:
The following charts show the Monte-Carlo simulation of returns and drawdowns, the portfolios 12-months rolling returns, and how the portfolio is tracking to its benchmark:
Asset Allocation
The portfolio last required rebalancing after the exchanges closed on @last-rebal@. Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:
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Strategy Rules
The operation of Commitment can be summarized as follows:
- start with the All-Seasons asset allocation
- apply trend-following to all assets
- scale positions based on the asset’s value at risk
- invest any leftover capital in short-term Treasuries
We are big fans of the All-Seasons portfolio, because of its smooth equity curve and its low drawdowns. By adding a tactical layer to the buy-and-hold portfolio, Commitment significantly increases absolute and risk-adjusted returns.
Diversification
Just like the All-Seasons portfolio, Commitment maintains a high level of diversification across multiple asset classes. The combination of assets makes sure that the strategy can produce positive returns in almost any economic environment.
Returns & Volatility
Compared to the All-Seasons portfolio, Commitment delivers much higher performance at a similar risk level. As a result, Commitment‘s dependable returns at the 5th percentile significantly outperform its passive cousin.
Account & Tax Considerations
When the strategy scales its asset exposure, it triggers taxable events. However, outside of major market shifts, the strategy should hold more than 50% of its exposure throughout, effectively reducing the tax load.
Commitment invests in up to six ETFs at a time. To ensure accurate position sizing, the strategy requires a minimum investment of about $10,000.