TuringTrader's All-Stars Monthly
Similar Portfolios
- Objective: balanced growth
- Type: meta-portfolio
- Invests in: ETFs tracking stocks, bonds, commodities
- Rebalancing schedule: monthly
- Taxation: 90% short-term capital gains
- Minimum account size: $7,500
TuringTrader’s All-Stars Monthly aims to continually beat the balanced 60/40 benchmark while reducing portfolio maintenance to a minimum. The meta-portfolio achieves its objective by combining two proprietary momentum strategies with a bond rotation strategy, resulting in additional diversification benefits. All-Stars Monthly rebalances once per month, leading to low maintenance requirements and appealing to investors with a busy lifestyle or smaller accounts.
Strategy Rules
The operation of All-Stars Monthly can be summarized as follows:
- divide capital into three equal-sized tranches
- allocate one tranche each to TuringTrader's Round-Robin, Straight Four, and Buoy
- rebalance between tranches once per month
Curious investors will note that we are using a slight variant of Round Robin which replaces the leveraged treasury ETFs with their unleveraged equivalents.
Diversification
All-Stars Monthly aims to combine the benefits of a healthy diversification across multiple asset classes with those of tactical asset allocation. Two of the three tranches, Round-Robin and Straight Four, focus on growth through investing in the stock market. To add stability, the third tranche, Buoy, focuses on investments in debt instruments. Each tranche tilts its allocation to the current market environment, continually shifting the exact allocations between asset classes.
All-Stars Monthly combines momentum and mean-variance-optimization portfolios in a single strategy. This diversification across trading styles improves portfolio decisions' quality. As a result, the meta-strategy achieves higher risk-adjusted returns than the individual components, and can cope with a wider range of market scenarios.
Returns & Volatility
All-Stars Monthly handily beats the 60/40 benchmark in most years. During market downturns, the portfolio makes further gains over this benchmark. Over the full economic cycle, All-Stars Monthly leads over the S&P 500 by a wide margin.
The chart above shows how All-Stars Monthly continually expands its lead over the 60/40 benchmark while mostly avoiding deep downturns.
Account & Tax Considerations
All-Stars Monthly trades frequently and regularly triggers taxable events. Consequently, the strategy works best in tax-deferred accounts. However, due to its continuous and robust growth, it may also provide value in taxable accounts.
The strategy's monthly rebalancing schedule not only reduces maintenance efforts but also addresses potential issues with T+2 accounts.
To allow for proper position sizing, All-Stars Monthly requires a minimum investment of $7,500.
Portfolio Revisions
- v1, December 2020: Initial release, combining Round Robin, Straight Four, and Bonds-NOT.
- v2, April 2022: Replaced Bonds-NOT with Buoy for better performance in environments of rising rates.
- v3, October 2022: Upgraded Round Robin to v2 for improved performance in bear markets.
- v4, January 2023: Upgraded Round Robin to v3 and tweaked Buoy to limit trades to month-end only.
Summary
Performance
This table shows the portfolio's key performance metrics over the course of the simulation:
The following chart shows the portfolio's historical performance and drawdowns, compared to their benchmark, throughout the simulation:
Download as CSV
This chart shows the portfolio's annual returns:
The following charts show the Monte-Carlo simulation of returns and drawdowns, the portfolios 12-months rolling returns, and how the portfolio is tracking to its benchmark:
Asset Allocation
The portfolio last required rebalancing after the exchanges closed on . Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:
| Symbol | Name | Allocation |
|---|---|---|
| … | … | |
| … | … | |
| … | … |