December 2019 Performance
NDX Aggressive: +6.4%
NDX Standard: +4.9%
S&P 500 Momo: +.3%
2019 Performance:
NDX Aggressive: -10.6%
NDX Standard: +3.4%
S&P 500 Momo: +3.8%
Overall, not a great year for my equity momentum systems. The NDX aggressive had a few poor performers and it’s so concentrated, just didn’t overcome those losers. I’ve only been putting my system performance for my individual stocks on here, but I’m going to post my other systematic strategies that I trade that use ETF’s. Most of my primary retirement account is in the NDX Standard system while I have a smaller account trading the NDX Aggressive (about 10% of the overall NDX allocation).
My wife’s retirement accounts had a very nice year using momentum with asset class ETF’s. The systems are similar to those described in Meb Faber’s Ivy Portfolio (his white paper on tactical allocation from 2007 is a must read as well). The primary system (Ivy5) uses relative strength and a trend filter to select the top performing ETF of the following: VTI, EFA, GLD, VNQ, TLT. It’s a monthly system that tends to do very well in years that the equity system struggles. I also trade a leveraged version (TriplePP) using UPRO, TMF, UGLD in a much smaller account. Here’s the performance for these systems:
Ivy 5: +17.9%
Triple PP: +29.1%
The above systems are about 25% of our portfolio. The remainder is in trend following CTAs, market neutral options strategies, and the largest portion is in commercial and residential real estate. Overall it was a good year and my equity systems did their job and got defensive. This year that turned out to be costly, but at some point it will be the right move. I’ll take some underperformance now to prevent against major losses in a bear market. Hope everyone has a great 2020!
