2Année·

Month change in the GTAA model.

There was a small change in the model: instead of EMU Smallcaps now EMU Value. Reason: Besides Growth/ Momentum (US Tech) and Size (EM SC) I also wanted to be able to map the Value factor (EMU Value).

The correlation between EMU SC and EMU Value is very high (approx. 0.9) with slight YTD outperformance of EMU Value. In addition, EMU Value is slightly cheaper. Therefore, the shift should hopefully be worth it.

This shows again: GTAA is a process.

GTAA performance in July: +1.2%

New breakdown as of August:

40% Nasdaq100

40% EMU Value

20% Bitcoin

PS: Getquin can't map the change "of course" again, this time because the trading hours are "crazy". Manual correction not possible. 🙄

28.07

Amundi MSCI EMU Value ETF

Acheté x60,97 à 123,00 €

7 498,78 €

21 Commentaires

Bingpot@theflyingsquirrel

2Année

At what time did you buy? Why now and not on Monday/Tuesday? What are the order costs and spread?🧐

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Epi@Epi

2Année

@theflyingsquirrel Transactions about 9:30. Today I have time for it. Order cost: 1€, spread: 0.1%.

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Bingpot@theflyingsquirrel

2Année

Interesting, especially with the spread I'm always wondering if it's really worth it. 🤔

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Epi@Epi

2Année

@theflyingsquirrel Well, the spread is 0.10€. I bought 61 pieces, makes 6€ + 1€ order fee. In total, less than 0.1%. The yield difference last week alone was 0.4%. If it stays like this, then I would say that the change was worth it.

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Bingpot@theflyingsquirrel

2Année

@Epi I'm not saying that this is bad, just criticizable. Positively, you can say that you have carried out the strategy as with gold in 2 currencies, as we have once discussed. Let's hope the trend does its job. :)

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Epi@Epi

2Année

@theflyingsquirrel Sure, this can be criticized. In the euro part of GTAA, I have already switched once from EU SC to EMU SC. At that time I was only concerned about the performance of the index, has also been confirmed and worthwhile. Now I am concerned with the consistency or roundness of the complete model. So the perspective has been broadened a bit, you could say. The rebalancing costs a little, but it's worth it to me. That Momentum is doing its job, I hope, of course. I still have to get used to dis- trusting my gut and trusting the model. 😏

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Epi@Epi

2Année

@theflyingsquirrel How's GTAA working out for you?

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Bingpot@theflyingsquirrel

2Année

@Epi From EU SC to EMU SC also makes sense, since you don't throw out EUers like Great Britain, which tend to digress somewhat from the rest. Did you throw out EMU SC completely or is it now in class competition with EMU Value? The Nasdaq 100 is not a pure tech index and could be optimized a bit as a contrast to EMU Value, whether one wants that is the other question. I would leave it as it is. Your change is certainly justifiable and if you also feel more comfortable with it, it is a double win, that is crucial especially with GTAA. I actually don't have a problem with getting used to following the momentum, I think because the fascination with the model simply outweighs it and I have much less of an idea than you do about market developments.

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Bingpot@theflyingsquirrel

2Année

Regarding my GTAA: I only have a test portfolio so far, I don't do GTAA with real money yet, which is also due to the portfolio size. Let's see how my psyche changes towards GTAA, as soon as real money comes into play. My test has been running since 7/21/22 and has made a smooth 5% plus since then. Until 1.7.23 I did the system of Röhl and from then on the one of our Signal Group incl. BTC. Taxes from profits are unfortunately not considered in this test, order costs also not, spread already! I find the performance ok, but could also be significantly better. MSCI ACWI IMI is now currently running away from me, has about 3% lead and was temporarily 3-4% behind.

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Epi@Epi

2Année

@theflyingsquirrel Yes, with the EU Value ETF I also immediately went to EMU. As far as the factors are concerned, momentum would actually be necessary in addition to value and SC. And actually you would have to include all three factors in all 3 regions. But you know that didn't work out in the backtests. So QQQ. In the current model, I have now completely replaced EMU SC with EMU Value. I don't really feel comfortable with it, I kind of like SC, but the model is simply more rounded and complete that way. The backtests from 2009 confirm that. So I'm sticking with it, regardless of the feeling. I would have also liked to go into EM SC in August, because they are more resistant to the summer slump, but now I stay in EMU. Model is boss. 🤷

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Epi@Epi

2Année

@theflyingsquirrel 5% since 7.22? The commodities just came down again from the run! 😅 In the performance comparisons with WorldETF, you must also always consider the Sharpe ratio. It is simply much better with the Top3 model. You were with the model since 1.22 in between so 6% in the minus, with the WorldEtf so 26%. You should not forget that dual momentum usually underperforms B&H index ETFs in boom phases. The real strength shows only in bear markets, because it can also generate positive returns there. The times that GTAA really shines are yet to come! Then probably more will jump on the bandwagon here. But that will then be too late, because at the end of the bear market and the beginning of the new bull market, in which GTAA again somewhat underperforms 😉 And as I said, you can forget the model of Röhl. Focused on USA, not self-developed or tested, insufficiently presented. In the end, the 5% was probably more luck. 😅

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Bingpot@theflyingsquirrel

2Année

@Epi Very nice how you stick to it. The problem is that Momentum changes back and forth, so that Value can suddenly become very similar in content. Yes, exactly, let's leave the model as it is. By the way, I'll have to change to EMU Value in my test as well, but I'll do it only when it comes in next time, it's only a test anyway.

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Bingpot@theflyingsquirrel

2Année

There are no commodities in the Röhl model, I was in gold and cash for months. At the moment, by the way, the performance is even more important to me than the volatility. Also true, you always underperform in principle when US stocks are doing well, because you can not in 100% US, which I think is fine, if US stocks times longer bad, that is then probably the strong overperformance of GTAA mentioned. 😅 Oh, there's also that with jumping up too late in the GTAA?!🫠😅 To what extent is the model geared to the US? But yeah, I don't think it's good either! Apart from that, the vola of 8.8% can already be seen for 1 year. Have this and next week, by the way, again a bunch of exams, so grad no time for signal. :/ Maybe I should still consider switching something to GTAA. I'd have to see if it's worth it with the order fees for my portfolio size and I'd also have to read up a bit beforehand, so it may take a while if I decide to do so. If so, I would come out at about 25% GTAA and 75% MSCI ACWI in the overall allocation.

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JustizSee@11Js-Referat

2Année

Unfortunately, I still do not understand your strategy😓

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Epi@Epi

2Année

@11Js-Referat What don't you understand? Formally, the strategy is actually quite simple: I have 7 ETFs from different uncorrelated assets (stocks, bonds, commodities, BTC). At the turn of the month, I check which of them are above GD200 (uptrend). From those, I then buy the two with the strongest momentum. If BTC is among the strongest three, I add it with 20% weighting (because of the high vola). Finding the specific model is crucial and not easy, but if you have it, it is very low maintenance (5min/month) and has managed in the 20years backtest without BTC about 17%pa at max 20% max drawdown. With BTC you end up since 2018 at about 25%pa and 20%maxDD. For the classification of the strategy in the universe of possible stock market strategies you can look in my pinned article. What is still missing?

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JustizSee@11Js-Referat

2Année

I do not get it. So currently you have 2 ETFs (Nasdaq and MASCI EMU) + BTC in the portfolio and not 7 ??? Should now another asset e.g. gold run the August above the GD200, you then sell an ETF and buy gold? much back and forth??? I understand only station

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Epi@Epi

2Année

@11Js-Referat I have 7 ETFs on my watchlist. This is, so to speak, the universe that I observe and from which I help myself. In the portfolio itself I have regularly only 2 ETFs, and those that meet the criteria mentioned (above GD200 and Top2 Momentum of the 7 ETFs). At the moment, for example, everything except bonds and commodities is above GD200, but US and EMU are the strongest of those. So those end up in the portfolio. If now at the end of August, for example, EMU should weaken and gold have stronger momentum, then EMU is sold and replaced by gold. The turnover is on average about 3-4 complete shifts per year. In clear trend phases one can also stay in two same values for 24 months. In complicated phases like now there is more turnover. But with 1€ order fee and 0.1% spread I see no problem. At the turn of the month short MomentumCheck, order, done. My son is thrilled by the simplicity and success of the system and has put his entire savings on the strategy. Since the beginning in 2/23 "his" personal model has +12%. Not bad, in my opinion. I'm lagging a bit myself because I'm only getting into the model gradually, but I'm taken with the very low fluctuations with good performance.

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Der P.@derphux

2Année

I have +3.86% so far in July. Nasdaq remains with me too, the rest as always experimental 😁

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Epi@Epi

2Année

@derphux Very nice performance! Nasdaq 100 is somehow a surprise. I am curious what Felix will report. The EM SC also went quite well.

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JustizSee@11Js-Referat

2Année

And this is also worthwhile in view of the capital gains taxes that are incurred when profits are realized?

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Epi@Epi

2Année

@11Js-Referat That remains to be seen 😉 I run two models in two custody accounts. One at TR, one in a net ETF policy. I don't pay taxes on the net policy. 👍 With TR I collect the small losses of the sales. This is an advantage of the strategy: the big profits stay in depot for a long time, the small losses are realized quickly. How it will affect tax in the end, I don't know yet. Theoretically, it should be about 25% of the targeted 15%pa, so a reduction in performance to about 11% pa. If the tax burden becomes too great, everything will just be shifted into the net policy.🤷

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