[Nick Radge]

August 2024

ASX
Growth Portfolio: +1.72%
WTT: +7.94%
ASX Momo: -1.56%
ASX Momo PLUS: +7.1%

US
HFT:  -4.50%
US Momo: +10.10%
DTVI: +0.76%
ETF Diversifier:  +4.28%

Managed Account
Multi: +3.42% (net of fees)

All Weather
US:  +0.60%
ASX:  -1.75%

Total account about -0.41%

[Nick Radge]

Yep. It would certainly suffer in a 2008 scenario.

[Nick Radge]

So Owen Rask has launched a series of All-Weather styled strategies on the InvestSmart platform. The most aggressive they’ve called Jupiter, which is essentially an 90/10 portfolio. I’m not sure how the allocate or rebalance, but here’s the code for it.  Note that they’re using FEMX which only listed in 2019. 

Import:
    DataSource:    Norgate
    
    IncludeList:     AAA.AU>AAA, FEMX.AU>FEMX, IAF.AU>IAF, IHVV.AU>IHVV, IVV.AU>IVV, VAS.AU>VAS
    
    IncludeList:    %AUCRT, STW.au, AOA, VDGR.au
    StartDate:    1/1/2008
    EndDate:    Latest
    SaveAs:    All_Combo.rtd

Settings:
    DataFile:    All_Combo.rtd

    StartDate:    1/1/2019
    EndDate:    Latest
    BarSize:    Daily
    UseAvailableBars:    False
    AccountSize:    100000
    RiskFreeRateSym:    %AUCRT 
    CashIntPct:        -0.5 
    
    
Benchmark: ASX200 Benchmark
    Side:     Long
    Allocation:     S.Equity
    ExitRule:     Dividend > 0
    EntrySetup:     Symbol== $STW.au

Parameters:
  
    AllocAAA:    0.03
    AllocFEMX:    0.10
    AllocIAF:    0.05
    AllocIHVV:    0.10
    AllocIVV:    0.30
    AllocVAS:    0.40
    
Data:
    Alloc:    item(“alloc{?}”, ?symbol)
    
    
Template: Common
    Side:    Long    
    Commission:    9.50//Max(6.00, 0.0008 * FillValue)
    QtyType:    Value
    MaxExposure:    100
        
    
Strategy:    Rask_Jupiter
    Using:    Common
    ExitRule:    EndofMonth 
    EntrySetup:    EndofMonth 
    Quantity:     S.Alloc * Alloc

[Nick Radge]

Kate,
Get this new fee they have just bought in – about $1100 per person. It’s a levy that is supposed to cover any advisors that have an existing complaint against them that are unable to pay it. I’m unsure why the current indemnity insurance doesn’t cover that stuff. All in all, another fee to advisors mean they pass it onto clients which makes advice less accessible to those that actually need it.

Rick, 
Yes, SMSF is Self Managed Superfund which is our term for retirement accounts.

[Nick Radge]

Yes, some of the SMSF companies make it quite difficult. A friend uses AusSuper, and the amount of ETFs which they have removed from their offering is a concern. 

Just check if they pay interest on cash, else just use $AAA.au for excess funds

[Nick Radge]

FYI, here’s a stats dump of the Combined US and ASX All Weather strategy which will soon be offered as a managed product.
My SMSF is 100% allocated to this portfolio – 50% to ASX and 50% to US.

[Nick Radge]

Manual override is probably best option

[Nick Radge]

Different volatility in those smaller caps. The R-1000 universe past and present is quite vast, so with just 2 rules it seems okay to me.
You could add some simple vola filter to the small cap universe and see what that does.

[Nick Radge]

Crap…

[Nick Radge]

Just for clarification, one of the main reasons why we send those [rare] emails is to connect to our clients and let them know that we know things are tough. We pass the decision making across to them and allow them to take themselves off the hook if they deem it appropriate. Dare I say, it can also help in a compliance scenario.

As for me personally, I instructed Zach to not enter any more positions in the HFT strategy. We continued to hold full positions across all other strategies….and yes, I’ve given back about half the years gains…but, as was pointed out, I’ve been through this before (and worse), so we’ll travel the same route and build back up again. 

 

[Nick Radge]

Rick,
It’s always good to have an open mind and look to ‘better’ existing strategies. The only thing I would be cautious of, is to not optimise this event out – or any event for that matter. Each of these ‘uncomfortable’ events are slightly different from prior ones, which in turn means each future event will also be slightly different.

Usually the better action is to look closely at the backtest, study the bumps along the way, and accept them for what they are. 

[Nick Radge]

Hmmm…okay, try this one:

July 2024 Call

[Nick Radge]

July 2024

ASX
Growth Portfolio: -3.28%
WTT: -3.63%
ASX Momo: -0.14%
ASX Momo PLUS: +0.00%

US
HFT: +4.90%
US Momo: -4.70%
DTVI: -3.71%
ETF Diversifier:  -0.83%

Managed Account
Multi: -2.70% (net of fees)

All Weather
US:  +1.7%
ASX:  +2.42%

Total account about -0.56%

[Nick Radge]

Nice work Paul. 

Yes, the AW is a game changer – at least for an old bloke like me. 

[Nick Radge]

mmm…not sure. Maybe ask on the RT forum so Marsten can answer.

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