Summary
This is a private strategy for T. Cook @ Ridgeline Asset Management. Access to this page is by invitation only.
- Objective: exposure to commodities and hard assets
- Type: momentum strategy
- Invests in: ETFs tracking commodities, hard assets
- Rebalancing schedule: daily
- Taxation: 90% short-term capital gains
- Minimum account size: $2,000
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
This strategy uses a novel approach to determine asset momentum. Unlike traditional strategies, which measure momentum over a fixed lookback period, or TuringTrader’s Round Robin, which uses walk-forward-optimization to adjust its parameters, this strategy adjusts the lookback period based on the asset’s volatility.
Diversification
tbd
Returns & Volatility
tbd
Account & Tax Considerations
tbd