3Settimana·

EPI@GTAA

A smaller position of between 2 and 3% of @Epi s GTAA.

Probably would have been better to wait for the end of the month to buy when the previous month's winners are in. But anyway, it's in now.


I still have to decide whether to keep the position open to have some strategy diversification against my B&H multifactor portfolio, or whether to keep it small. Then at some point the question would be whether I rebalance.


Actually, my gut feeling is that it's hardly worth rebalancing, as GTAA (or momentum strategies in general) should suffer less from return to average than classic B&Hs đŸ€”

11.03
LUS
Acquistato x23 a 122,83 €
2825,09 €
7
44 Commenti

immagine del profilo
3Settimana
Brave, in these volatile times! But as the saying goes: the world belongs to the brave!
Welcome to the wild ride with 3xGTAA and thank you for your trust! 🚀
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immagine del profilo
3Settimana
@Epi Momentum is exciting, but 3xGTAA is in a league of its own. Due to the leverage and the strict rotation rules, this can quickly become dangerous in volatile or sideways market phases. Personally, I prefer to focus on a broad selection of strong individual stocks with stable trends (at least that's the overall plan 😏).
I use the MA200 as a guard rail to keep an eye on whether stocks remain in the longer-term uptrend and prefer to hedge profits from high-flyers flexibly with additional stops. Drawdowns are thus more effectively under control and I am not trapped in rigid reallocations that may take effect with a delay. This requires discipline and solid money management, but even this becomes routine at some point with experience and a fixed set of rules.
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immagine del profilo
3Settimana
@Yoshika
Otherwise, I'm with you...
Fear, greed and herd instinct are timeless.

And because expectations shape the market, both rising and falling prices reinforce existing trends ... like a self-fulfilling prophecy. And this is precisely why trend following and momentum strategies have worked for decades
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immagine del profilo
3Settimana
@Yoshika I'm going with George Soros and his thesis on reflexivity here.
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immagine del profilo
3Settimana
@Yoshika I also find it rather irritating when people post wildly here about the EMH and feel called upon to propagate it as the holy grail of investing, even though it fails spectacularly time and again in practice.
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immagine del profilo
@Yoshika hmm the EMH is difficult to refute in my view. EMH fans will always find reasons why things have happened, prices have fallen, etc.

Investing in market capitalization-weighted ETFs or factor-weighted ETFs has not failed spectacularly either. At most, if fundamental premises such as risk appetite or investment period were misjudged.

However, momentum is difficult to reconcile with EMH. Depending on how seriously you take it. One could argue that momentum stocks are a risk (vola) that therefore come with a premium. Or that it is merely an inefficient one, which is simply more difficult to arbitrage, as it changes regularly and requires more rebalancing and it therefore simply takes longer for the inefficiency to disappear completely.

Either way, momentum is undeniable and I like to use it.
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immagine del profilo
3Settimana
@SchlaubiSchlumpf Hmm... a theory that only makes sense in retrospect doesn't really help me predict real market movements. It's more like a weather report that only explains why it rained after the storm. It sounds logical, but it's completely useless for a functioning strategy.

You could argue that momentum is either a risk premium or an inefficiency that is difficult to arbitrage. But if that were really the case, surely this inefficiency would have disappeared long ago? Instead, it has persisted for decades. Because reflexivity is real. Expectations form prices, which in turn reinforce expectations.

Markets are not perfectly efficient ... they are a psychological playing field. And that is precisely why trend following works for so long.
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immagine del profilo
@Yoshika therefore difficult to arbitrage. With 3xGTAA I buy myself a considerable (hoped for) excess return through absurd volatility, with a simpler momentum strategy I only have increased trading costs, possibly additional tax expenses that prevent me from doing so and (here one leaves the EMH to a certain extent) the feeling of moving into stock market voodoo.

But as I mentioned, I am not a 100% advocate of the EMH either. Nevertheless, I would argue that it is the most relevant model to explain market movements on a large scale. The problem is that it explains them more or less after the fact, because it talks about risks and premiums, but risks have the property that they have a probability of occurrence that we do not know beforehand (or afterwards). In my view, wherever people are involved in models, model and practice drift apart.


But I am an engineer with an interest in the market and not an economist. So this is just my view of things.
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immagine del profilo
3Settimana
@SchlaubiSchlumpf
Börsenvoodoo .. hihi.
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immagine del profilo
3Settimana
@Yoshika
Reflexivity is not as predictable as classic models. This is why the EMH is flawed in practice, because it assumes that market players are not influenced by sentiment, expectations and trends. Yet these are precisely the forces that move and reinforce prices.

The interesting question is, if EMH is the best model, why can phenomena such as momentum ... or bubbles only be explained inadequately or hardly at all with it?
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immagine del profilo
3Settimana
@Yoshika
If trading costs alone were keeping momentum alive, the effect would have evaporated long ago. It would have been a classic arbitrage opportunity, which would have been leveraged out over time.
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Visualizza tutti 22 ulteriori risposte
immagine del profilo
I have given the strategy 2% in my portfolio.
I trust @Epi more than the entire Australian economy 😅
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immagine del profilo
3Settimana
@TotallyLost In the end, you don't trust the epi, but an offensive momentum strategy.
I've said it many times: 2025 will be the big test of the strategy.
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immagine del profilo
@Epi In principle, the strategy is already running surprisingly close to the historical Max DD according to the backtest, isn't it? I don't think you can pin down many strategies that are designed for the long term to a few months.
The fundamentals are pretty well worked out, so we'll have to wait and see.

What could also be noticeable could be quite high costs for financing the certificates. In particular, Trump should ensure that interest rates continue to rise
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immagine del profilo
3Settimana
@SchlaubiSchlumpf The maxDD of the backtests refers to the monthly closing prices. I think we are higher at the end of the month than we are today.
But yes, you're right, the strategy is designed for many years and decades, and anyone who is knocked out by a one-month drawdown knows that such strategies are not for them. Also good.

Regarding the financing costs of the 3xETFs: yes, rising interest rates drag on performance. But what can you do? đŸ€·
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immagine del profilo
@Epi nix just keeps going. In fact, I don't think rising interest rates are that dramatic. As a rule, real assets also rise more strongly. In any case, I will enjoy pursuing the strategy.

Quite possibly. I'd be delighted 😁 At least with GTAA I don't have to secretly hope that everything will fall in order to get in cheaply. The share price is pretty much irrelevant at the moment😄
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immagine del profilo
@Epi OK then let me put it this way:
I like you more than Australia 😘
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immagine del profilo
@TotallyLost I'll say that to my girlfriend next time
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3Settimana
What exactly is the ETF all about? How expensive is it and is the profit just donated at the end, or do you really get your return out of it?
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3Settimana
you won't find it anywhere either
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immagine del profilo
@Maddy-0 This is a wikifolio set up by @Epi to implement his 3xGTAA strategy in a more tax-efficient way. An explanation can be found in his profile. According to Wikifolio, the costs are 0.95% certificate fee and 5% performance fee. In principle, anyone can invest. However, it should be explicitly treated with caution, as this is not a forest and meadow ETF, but is traded in a very concentrated manner with (partly) leveraged derivatives.
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immagine del profilo
@Maddy-0 This is not an ETF, but a Wikifolio certificate. You profit from price gains.
You would first have to clarify whether your broker trades such products at all. And then you must be activated for trading. This is not the case by default, as the Wikifolio contains leveraged products and is therefore considered very risky.
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