Daniel’s journal

[DanielBaeumler]

March 2018

ASX:
Growth: +4.0 %
Mom: -1.0 %
MR: +1.6%

US:
MOC: -5.0%
MR: +1.2%
SPX Mom: +0.9%
NDX Mom: – 5.0%

Account: -1.44%

[JulianCohen]

Well done with the ASX Growth!!

[DanielBaeumler]

Thank’s Julian. But credits go to Nick. I joined his growth portfolio and was obviously lucky with the timing…

[DanielBaeumler]

April 2018

US:
MOC: -1.4%
MR: -0.1%
SPX: +3.3%
NDX: -3.1%

AUS:
MR: -0.6%
Growth: +1.0%

Account overall: +0.4% (in EUR)

[DanielBaeumler]

May 2018

US:
MOC: -0.7%
MR: +1.4%
SPX Mom: -0.8%
NDX Mom: +2.4%

AUS:
MR: – 0.7%
Growth: +8.1%
Mom: -0.7%

Account overall: +1.5%

[DanielBaeumler]

Jun 2018

US:
MOC: -0.6%
MR: +1.5%
SPX Mom: -0.1%
NDX Mom: +1.3%

ASX:
Growth Portfolio: -1.7%
ASX100 Mom: +1.6%

Accout: +0.45%

[DanielBaeumler]

July 2018

US:
MOC: + 2.2%
MR: + 2.4%
SPX Mom: – 2.8%
NDX Mom: + 3.0%

ASX:
Growth Port.: – 3.0%
ASX100 Mom: – 5.0%

Account: + 0.1%

[TimothyStrickland]

Daniel, just going through your posts. Are you running a risk adjusted system? Seems less volatile and more consistent type of growth?

[DanielBaeumler]

The SPX Mom is risk adjusted, NDX Mom and ASX100 Mom are not. The US system run with Acct Margin 50%.
I don’t see a major difference between risk adjusted and fix % position sizing.

[TimothyStrickland]

Reason why I asked, I heard Nick talk about it in one of his videos. Can’t remember which one, he mentioned that the big traders that move billions of dollars are more interested in risk adjusted returns rather than big returns. Don’t quite understand how such a system can be developed but I figured I’d ask if someone else was doing it.

[Nick Radge]

Probably talking two different things.

I think Daniel is referring ‘risk parity’ where positions are sized based on the volatility of the underlying stock.

My comment refers to the return profile of the fund or manager, specifically they’re after strong ‘risk adjusted’ returns rather than ‘absolute returns’.

Toby Crabel for example has a CAGR of 11% and a maxDD of something like 15%. He managed $3 billion.

Compare that to someone like David Druz with a 20% CAGR and a maxDD of circa 40%. He only manages $50 million.

Druz has a higher return but it comes with much higher risk. Many investors don’t want the higher risk which is why he doesn’t get larger allocations.

[DanielBaeumler]

August 2018

US:
MOC: – 0.5%
MR: + 0.9%
SPX Mom: + 8.0%
NDX Mom: + 16.0%

ASX:
Growth Port.: +6.3%
ASX100 Mom: – 2.8%

Account: + 4.9%

Fantastic month for me. Very happy. However, I’m not really happy with my ASX100 Mom system and will switch it off. Rather put my money into the Growth Portfolio.

[DanielBaeumler]

September 2018

ASX:
Growth Portf.: -0.1%

US:
MOC: +0.7%
MR: -0.7%
SPX Mom: +0.3%
NDX Mom: +2.1%

Account: + 0.9%

[DanielBaeumler]

Oct 2018

ASX:
Growth Port. – 14.7%

US:
MOC: -2.3%
MR: -3.1%
SPX Mom: -17.1%
NDX Mom: -26.7%

Account: – 18.5%

Trying to analyse my system behavior. Over the last 20 years, my NDX Mom system has only shown 6 month with double-digit dd until September 2018. The highest loss so far: -14.3%. And now, it’s down -26.7%. Not sure how to read that.
The question is: Is this still all within limits or has the market behaviour changed in a way that backtest results from the last 20 years is not really meaningful anymore.
Anyway, momentum systems will go into cash now and we’ll see how things are progressing.

[DanielBaeumler]

Nov 2018

ASX:
Growth port.: 0.0%

US:
MOC: +7.0%
MR: +0.9%
SPX/NDX Mom: cash

Account: +2.7%

The exceptional performance of my MOC system was based on a big win on 20/11. A very welcome surprise after an awful October.
My momentum systems will stay cash for December.

[Author]

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