Background music: Ennophonic by Redlounge Orchestra
The most popular question I frequently hear is: “Your back test results look great, almost too good to be true but do your portfolio designs really working going forward?” Very fair question and if you don’t mind this is a great time to add some legalese “Past results don’t guarantee future results or even that a model devised by man and laptops will actually turn a profit in the future”. You know the drill, a back test can look great but will it work in the future or will it be a flop?
Late last year we took (what we thought) was a brave and potentially embarrassing step by placing three distinct trading models on the quantitative trading platform Collective2.com By doing this we could demonstrate the effectiveness of our systems in real time going forward, rather than relying on hypothetical back-testing. While there is no actual cash behind these C2 portfolios we trade them on the C2 platform as if there were like any other client portfolio.
In addition, if you’re intrigued and curious about our holdings, volatility or turnover C2 is a great place to check us out. You’ll see our winners and alas, our losers. In addition to our holdings, Cs provides a month by month return graph. You’ll also notice in the link below that C2 has given our portfolios a rank which is based on their proprietary ranking system and our rank as of August 24 is 9.95 and the highest possible rank is 10. According to C2 “In general a ranking above 5.0 is good. A rating above 7.0 is excellent.”
(Click on this image to be directed to our C2 accounts)
RMHI/OP III has approximately 30 holdings when fully invested and is designed for investors with over $100,000. It is by default the portfolio management system we employ for new accounts. Its also very scalable where at present we have accounts approaching $2 million in size using RMHI/OP III.
In terms of socially responsible investing, it would be very easy to alter one or two holdings so that the portfolio would meet a Vegan investing criteria.
Year to date 8/23 our C2 account III has returned 34% versus 18% for the S&P 500. Returns include commissions and accounting for slippage. Returns do no include management expenses.
You’ll also see that its possible to subscribe to our models on C2. We don’t encourage C2 subscription hence we keep the monthly cost prohibitive.
If you have any questions you can always call us. Meanwhile Dodgers / Red Sox are starting and it is a Sunday night after all.
Brad