The Logical-Invest Monthly Newsletter For August 2015
This is the monthly monthly Logical-Invest newsletter for August 2015.
Strategy performance overview:
symbol | close | year to date % ▴ | 3 month % | 1 month % | 1 day % | 60 day volatility | 60 day correlation | 3 month Sharpe | 12 month Sharpe | 36 month Sharpe |
---|---|---|---|---|---|---|---|---|---|---|
MYRS | 655.65 | 11.96 | 7.07 | 6.51 | 0.79 | 17.98 | 0.79 | 2.63 | 1.92 | 2.97 |
UIS-SPXL-TMF | 6117.16 | 10.78 | -1.08 | 6.79 | -0.22 | 27.10 | 0.97 | -0.22 | 2.97 | 2.68 |
WORLD-TOP4 | 284.21 | 8.04 | -3.53 | -0.21 | 0.29 | 11.09 | 0.72 | -1.68 | 2.99 | 2.90 |
GSRLV | 492.67 | 4.23 | -0.74 | 2.44 | 0.34 | 9.77 | 0.82 | -0.43 | 2.00 | 2.09 |
UIS | 474.92 | 4.13 | 0.13 | 2.44 | -0.08 | 9.10 | 0.97 | 0.08 | 2.76 | 2.57 |
GMRSE | 6350.35 | 3.96 | 0.89 | 6.49 | 0.78 | 17.03 | 0.66 | 0.30 | 0.13 | 2.47 |
SPY | 210.45 | 3.35 | 0.36 | 2.21 | -0.18 | 10.74 | 1.00 | 0.19 | 1.38 | 2.29 |
AGG | 109.50 | 0.52 | -0.38 | 0.86 | 0.39 | 4.12 | -0.28 | -0.52 | 1.20 | 0.73 |
BRS | 247.04 | 0.11 | -1.89 | 0.17 | 0.13 | 5.84 | 0.86 | -1.81 | 0.92 | 2.41 |
BUGLEV | 275.91 | -1.45 | -2.85 | 0.57 | -0.04 | 7.64 | 0.64 | -1.98 | 0.59 | 1.73 |
TLT | 122.53 | -1.47 | -0.75 | 4.48 | 0.74 | 17.20 | -0.37 | -0.25 | 1.05 | 0.13 |
BUGST | 214.34 | -1.51 | -2.74 | 0.48 | -0.04 | 5.70 | 0.63 | -2.56 | 0.84 | 2.03 |
GMRS | 4053.22 | -2.11 | -6.74 | -5.66 | 1.36 | 12.34 | 0.69 | -2.61 | -0.84 | 1.29 |
GSRAG | 481.00 | -6.37 | -8.51 | -1.24 | -0.49 | 18.11 | 0.75 | -2.19 | -0.41 | 1.58 |
Symbols:
BRS – Bond Rotation Strategy
BUGST – A conservative Permanent Portfolio Strategy
BUGLEV – A leveraged Permanent Portfolio Strategy
GMRS – Global Market Rotation Strategy
GMRSE – Global Market Rotation Strategy Enhanced
WORLD-TOP4 – The Top 4 World Country Strategy
UIS – Universal Investment Strategy
UIS-SPXL-TMF – 3x leveraged Universal Investment Strategy
AGG – iShares Core Total US Bond (4-5yr)
SPY – SPDR S&P 500 Index
TLT – iShares Barclays Long-Term Trsry (15-18yr)
Market comment:
At the moment we are in quite a difficult market environment. At the end of June, European markets sold off because of Greece “Grexit” fears. For a brief period, investors preferred Emerging markets. In July, the exact opposite happened. The Chinese stock market bubble burst causing Emerging markets to sell off. On the other hand, Grexit fears vanished causing European markets to recover nearly 8% in just a few days.
At the moment investors don’t really know where to go with their money. For our strategies, the lookback periods are mostly about 3-4 months and at the moment all major asset classes (equities, treasuries, precious metals and commodities) have a negative Sharpe ratios. This is a very rare situation. We did not have such a situation the last 7 years.
The Global Market Rotation Strategy was hit hard, for a second time, mainly due to ILF, the Latin America ETF. I will have to study and see if it makes sense to exclude this ETF from the strategy as it can have very large, unpredictable swings.
On the defensive side, precious metals had a bad month with Gold losing about 7%. At least Treasuries seem to have found a bottom and have worked well as a volatility hedge for this month. This will make the strategies much safer again in the future and help our bond strategies.
The leader strategies did not change much from last month. Maximum Yield is still on top, but with volatilities again at the very low level of little more than 2%, the future gains will be limited to the roll yield of actually about 2.5%. At this low volatility levels small corrections of ZIV are very probable. In Maximum Yield we have replaced EDV by TMF. TMF is more liquid and has smaller spreads than EDV. With TMF MYRS should have a higher return because you need a smaller percentage of your capital to hedge the volatility of ZIV.
It is still a good strategy to try to invest among the top half of the strategy table.
Frank Grossmann
August 2015