Post #2744 by Rabelais on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 9

Here's a portfolio I developed that might fit the bill. It's not too bad as an equal-weight, but better optimized. The backtest is from Portfolio Visualizer with 5/25 rebalance bands and Vanguard Wellington as a benchmark.

Portfolio Analysis Results (08/01/2010 - 11/11/2024)
Note: The time period was constrained by the available data for iMGP DBi Managed Futures Strategy ETF (DBMF) [Aug 2010 - Oct 2024], and this time period was extended based on the configured backfill.

Pretty Good Risk Parity Portfolio

Ticker 	Name			    	    Allocation
QQQM 	Invesco NASDAQ 100 ETF 			10.00%
XLK 	The Technology Select Sector SPDR ETF 	12.00%
XLV 	The Health Care Select Sector SPDR ETF 	10.00%
XLP 	The Consumer Staples Sel SectSPDR ETF 	10.00%
GLDM 	SPDR Gold MiniShares 			10.00%
VGLT 	Vanguard Long-Term Treasury ETF 	 7.00%
DBMF 	iMGP DBi Managed Futures Strategy ETF 	13.00%
VGSH 	Vanguard Short-Term Treasury ETF 	 8.00%
BIL 	SPDR Blmbg 1-3 Mth T-Bill ETF 		 6.00%
UUP 	Invesco DB US Dollar Bullish 		14.00%

PGRPP Equal Weight

Ticker 	Name			    	    Allocation
QQQM 	Invesco NASDAQ 100 ETF 			10.00%
XLK 	The Technology Select Sector SPDR ETF 	10.00%
XLV 	The Health Care Select Sector SPDR ETF 	10.00%
XLP 	The Consumer Staples Sel SectSPDR ETF 	10.00%
GLDM 	SPDR Gold MiniShares 			10.00%
VGLT 	Vanguard Long-Term Treasury ETF 	10.00%
DBMF 	iMGP DBi Managed Futures Strategy ETF 	10.00%
VGSH 	Vanguard Short-Term Treasury ETF 	10.00%
BIL 	SPDR Blmbg 1-3 Mth T-Bill ETF 		10.00%
UUP 	Invesco DB US Dollar Bullish 		10.00%

Performance Summary
Portfolio performance statistics

Portfolio			Initial Balance	  Final Balance	 CAGR	Stdev  Best Year  Worst Year  Max. Drawdown  Sharpe Ratio  Sortino Ratio  Market Correlation
Pretty Good Risk Parity Portfolio	$10,000		$35,885	9.32% 	6.24%	  20.35%      -5.46%	     -7.45%	     1.27	    2.32		0.81
PGRPP Equal Weight			$10,000		$33,412	8.78% 	6.03%	  18.38%      -7.02%	     -8.97% 	     1.23	    2.22		0.80
Vanguard Wellington Inv			$10,000		$37,841	9.73% 	9.60%	  22.51%     -14.32%	    -20.22% 	     0.89	    1.40		0.96

JRB

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