Allocation change
The Alpha strategy will change allocations at today’s close and move to cash. Another entry into XIV will happen when contango strengthens again between the first two VIX futures.
Posted on November 8, 2012, in Alpha Strategy, Transactions. Bookmark the permalink. 4 Comments.
Thanks for the update, Mike.
Alex, do you subscribe to etfreplay.com? if yes, does it useful? thanks
Yes, I do. I have mixed feelings about it. It is, indeed, very useful, as far as it goes. The problem is that most backtests only go back to 2005 or so (the max is 2003). One could use simulations, as Mike does here, to go back further, but ETFreplay doesn’t allow you to input your own values as would be necessary with simulations.
I have set up a relative strength strategy using QQQ, TLT, and GLD that has a good CAGR and a nice equity curve dating from 2005, however I would like to know how it would have performed for a longer period than that. Incidentally, this strategy works even better with leveraged ETFs, but, as you know, the testing period for these is much shorter than with QQQ etc.
With the fiscal cliff looming in, I am surprised contango doesnt steepen up more, like much of 2012…
what do you guys think ?