do you want to tell how you build your current GTAA strategy, i.e. which ETFs, which momentum model etc.? why do you currently split the strategy into TR and net policy and why once simple and once complex?
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1Yr
@theflyingsquirrel Telling my division is of little use if you do not understand how it comes about and why and not all the possible alternatives. It is also not yet final in part. Bonds are more complicated. There it seems to me better to give a simple example and a guidance, how one can optimize oneself. Fishing instead of fish - you know. About the RV I drive the simple variant, because there the ETF selection is not so large. In the back calculation it doesn't matter. Via TR I'm also trying to integrate bitcoin, but I need stronger risk management for that. Makes things a bit more complex.
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@Epi ah okay yes you are right. would also be very happy about more articles on the subject. Can you give a tutorial please, so here or as another article, how you can read in better yourself, so that you can, as you say, find out his strategy exactly and also understand the individual subtleties of the strategy and how their performance comes about? what do you think of cash as an asset class and as integration into the strategy, there you can now even put 2% p.a. in relative momentum. And what about cash as an asset class in absolute momentum with or without SMA200 integration. What do you think about my idea that if you do SMA200, you should set the line 2% higher, because with SMA200 you check whether you now choose the asset or cash. If the asset is exactly on the SMA200, the momentum is 0 and therefore worse than 2% p.a. cash. Your opinion on this or ever thought about it?
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•1Yr
@theflyingsquirrel Your suggestion to address the concrete implementation and the corresponding trade-offs is noted. Thank you. I consider cash to be an important asset class, which is also very tactical in some cases. I therefore simply send a money market ETF $DBXT into the race with all other assets. If it falls into the MomentumTOP with 3%pa, it will be bought. I think this also avoids the complicated variant, SMA +2%. (The momentum is not 0, by the way, if the price is on the SMA, provided that the SMA itself has a Mom unequal 0. Mom in GTAA is simply the percentage difference from today to 1,3,6 or 12 months ago) My current thoughts: After I threw out US Treasuries because of the too high correlation to EU Bonds, I am currently considering whether short term bonds denominated in $ are a reasonable alternative. It essentially gives you $ exposure. Understanding the impact of falling $ rates on short-dated bonds is something we will have to do in the coming days and weeks. Provided there is a reinforcing effect (flight from dollars = falling shorts), I would seriously consider integrating it into GTAA. The main thing is clear trends! 😁
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from which countries are the short term bonds in dollars? yes the low correlation is mega important, that's why i'm thinking about adding a msci world ex emu to my system instead of msci world etf, as this will reduce the correlation to the emu small cap. how are you trying to understand the dollar effect on this, so what sources are you working with?
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find the em bond from ishares jp morgan in dollar also mega interesting
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Thanks for the suggestion with the overnight rate swap, cash simply to compare as an asset with the other assets would also go, would have just then no trading fees to buy / sell the overnight swap, but are just 2%pa and in the insurance shell you get on cash no interest. :/
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the overnight would also have to be checked for SMA yet, right?
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How do you actually stand on the subject of currencies and currency hedging with GTAA, so when does it make sense to take in euros, when in dollars, or always best in the same currency everything? How do you implement the 50% B&H strategy? I would take the Msci acwi imi or the esg global all cap or ftse all-world. So as broad and simple as possible. Are you positioned differently there or the same? Happy Easter and thanks for your effort! 😊
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That means you have implemented cash directly via the overnight swap and indirectly via the SMA 200 hurdle. However, the overnight swap never provides 100% for the top 3 strategy, but only 33% if it makes it into the top 3. Cash, on the other hand, can get 100% over the SMA200 hurdle. How is that in the bond shell? If the top 3 fail in whole or in part at the SMA200, the nettopolice then holds cash at 0%pa or should they then also buy the overnight?
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