Summary
This is a private strategy for T. Cook @ Ridgeline Asset Management. Access to this page is by invitation only.
- Objective: aggressive growth w/ contrarian exposure
- Type: mean-reversion strategy
- Invests in: stocks from the S&P-100
- Rebalancing schedule: weekly w/ daily position-sizing
- Taxation: 90% short-term capital gains
- Minimum account size: $10,000
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 strategy is a close cousin of TuringTrader’s Quick-Change strategy. The most notable differences include a slightly different money-management scheme, and the risk-off strategy. While Quick-Change caps the maximum exposure to a single stock, this strategy doesn’t do so. Also, while Quick-Change uses Buoy as its risk-off strategy, this strategy uses Cook’s proprietary bond strategy.
Diversification
tbd
Returns & Volatility
tbd
Account & Tax Considerations
tbd