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Now I've had to read up a bit more. So essentially it would be relevant for me at most as an addition to the multifactor portfolio, in perspective I lower my volatility somewhat more than my return if I add it, for example, 10%?
Interesting in any case.
I think I can ignore it for several reasons:
1) long investment horizon; almost 35 years to go. So I still have time diversification
2) more in the portfolio than previously planned: only when prices fall by around 30% will I be at the portfolio size I should have according to my original planning. So I have some room for risk
3) whether the implementation works would also be a bit of luck, because you don't yet know whether the fund will do what it's supposed to.
Interesting in any case.
I think I can ignore it for several reasons:
1) long investment horizon; almost 35 years to go. So I still have time diversification
2) more in the portfolio than previously planned: only when prices fall by around 30% will I be at the portfolio size I should have according to my original planning. So I have some room for risk
3) whether the implementation works would also be a bit of luck, because you don't yet know whether the fund will do what it's supposed to.
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@SchlaubiSchlumpf If you can withstand the drawdown, you don't really need such a product.
It has been available in the USA for some time $DBMF.
The important thing is to rebalance it regularly.
Keyword:
Shannon's Demon - a positive return can be achieved if the underlying assets themselves have no long-term upward return at all - as long as they fluctuate.
It has been available in the USA for some time $DBMF.
The important thing is to rebalance it regularly.
Keyword:
Shannon's Demon - a positive return can be achieved if the underlying assets themselves have no long-term upward return at all - as long as they fluctuate.
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@TotallyLost Yup though it should generally work better if they have a positive upside.
I would say at 10% allocation the benefit is already acceptable compared to the cost. I think 10-15% should be a sweet spot for many reasonably long-term investors.
However, I make the assumption at 4%. If the return fluctuates around 0 or is even negative, I think I would tend towards cash.
I would say at 10% allocation the benefit is already acceptable compared to the cost. I think 10-15% should be a sweet spot for many reasonably long-term investors.
However, I make the assumption at 4%. If the return fluctuates around 0 or is even negative, I think I would tend towards cash.
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@SchlaubiSchlumpf Incidentally, GTAA could fulfill a similar purpose (low correlation). Only with absurdly higher volatility
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@SchlaubiSchlumpf At its core, the 3xGTAA is a trend follower.
The big difference is that it is long only and reacts much more strongly to short intensive trend breaks.
In addition, the GTAA has a non-negligible model / manager risk.
And you can assume that tail risk manifests itself precisely when the rest of the market is also heading south.
This is also the reason why I started selling the tips.
If the 3xGTAA makes up more than 3.5% of the portfolio and then has another > +5% day, I trim it to 3%.
Conversely, I would also top it up again at -30%.
Which is not to say that managed future funds don't also regularly explode.
The dispersion between the best 10 and the worst 10 funds is massive and much greater than with equity funds.
The big difference is that it is long only and reacts much more strongly to short intensive trend breaks.
In addition, the GTAA has a non-negligible model / manager risk.
And you can assume that tail risk manifests itself precisely when the rest of the market is also heading south.
This is also the reason why I started selling the tips.
If the 3xGTAA makes up more than 3.5% of the portfolio and then has another > +5% day, I trim it to 3%.
Conversely, I would also top it up again at -30%.
Which is not to say that managed future funds don't also regularly explode.
The dispersion between the best 10 and the worst 10 funds is massive and much greater than with equity funds.
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@TotallyLost oh crap now I wrote 3 paragraphs, swiped to the side and it deleted the text.
But yes, the problem is that GTAA correlates strongly at times and only less strongly on average. Depending on how high the equity share is at the time.
Because of the risks you mentioned I completely avoid rebalancing and try not to see it as part of my portfolio, which is sometimes hard for me because getquin has the aggregated approach where I somehow pick it up after all
But yes, the problem is that GTAA correlates strongly at times and only less strongly on average. Depending on how high the equity share is at the time.
Because of the risks you mentioned I completely avoid rebalancing and try not to see it as part of my portfolio, which is sometimes hard for me because getquin has the aggregated approach where I somehow pick it up after all
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