This portfolio algorithm first plots an "efficient frontier" of optimal portfolios (return vs. standard deviation) using the historical returns from the set of 8 ETFs (EFA, EEM, GLD, TLT, SPY, QQQ, IYR, IWM). All Rights Reserved. However, safe-haven investments continue to rise alongside equities, which makes me question what’s really going on here. Invesco QQQ Trust has an MSCI ESG Fund Rating of BBB based on a score of 4.33 out of 10. These are the top 5 holdings of QVR LLC. Steve LeCompte | Access some of the most innovative companies, all in one ETF that can help power your client's portfolio. We’ll also explore the profitable strategies to see if any outperform buy-and-hold TLT. Add a Comment. If you are investing more … BTC iShares Russell 2000 ETF ( IWM) - 1,800,000 shares, 32.64% of the total portfolio. Growth of $10,000 as of September 30, 2020. Adding double leverage assets, for the R12 portfolio SPY, QQQ, IWM, VNQ, and TLT are replaced by SSO, QLD, UWM, URE, and UBT respectively, while IEF is exchanged for UST on the bonds side. Combined Value-Momentum Strategy (SACEVS-SACEMS), Weekly Summary of Research Findings: 2/1/21 – 2/5/21, Update on Classic Portfolio Allocations with Leveraged ETFs, Testing the Low-volatility Effect on Chinese A Shares, Valuation-based Stock Market Return Expectations, SACEVS and SACEMS from a European Perspective, Evolution of Broad-based and Specialized ETFs, SACEMS, SACEVS and Trading Calendar Updates, Weekly Summary of Research Findings: 1/25/21 – 1/29/21. Backtest duration is limited due to the lack of CBOE data on QQQ prior to Mar 23 2011. TLT Portfolio Data. Both of the assets in this strategy's universe (QQQ and TLT) are very popular, widely-traded ETFs and subscribers should be able to enter and exit the trades with ease. We’ll also explore the profitable strategies to see if any outperform buy-and-hold QQQ. For my retirement accounts, I like to trade ETF strategies that require little work. In order to have always a consistent maximum level of risk, Lazy Portfolios require a rebalancing.. Rebalancing a portfolio means reporting the asset allocation to the original percentage composition.. The 2nd line of code calculates the trading algorithm’s performance, setting an initial portfolio value of $100. At Yahoo Finance, you get free stock quotes, up-to-date news, portfolio management resources, international market data, social interaction and mortgage rates that help you manage your financial life. There are 10 backtests in this study evaluating over 23,700 QQQ short put 45 DTE cash-secured trades. There are many flavors of this concept. LAA switches between risky (equal-weighted  QQQ, IWD, IEF and GLD) and defensive (equal-weighted IWD, GLD, SHY and IEF) portfolios based on trend in the U.S. unemployment rate (bullish when above and bearish when below its 12-month simple moving average). Bond ETFs comprised the second largest group among top ten creations at over 19%. A Lazy Portfolio is a collection of investments that requires very little maintenance.. It’s the typical passive investing strategy, for long-term investors, with time horizons of more than 10 years.. Duration 19.17. Posted in: Strategic Allocation. All other settings are kept equal to those of the benchmark setup. The Invesco QQQ ETF, which tracks the Nasdaq-100 Index, ranks in the top 1% of large-cap growth-funds. December 16, 2020 | Learn more, Gain access to hundreds of premium investing research articles and CXO's trading strategies, Weekly Summary of Research Findings: 2/1/21 – 2/5/21February 5, 2021, Update on Classic Portfolio Allocations with Leveraged ETFsFebruary 5, 2021, Testing the Low-volatility Effect on Chinese A SharesFebruary 4, 2021, Valuation-based Stock Market Return ExpectationsFebruary 3, 2021, SACEVS and SACEMS from a European PerspectiveFebruary 2, 2021, Evolution of Broad-based and Specialized ETFsFebruary 1, 2021, SACEMS, SACEVS and Trading Calendar UpdatesJanuary 29, 2021, Weekly Summary of Research Findings: 1/25/21 – 1/29/21January 29, 2021, Objective research to aid investing decisions. Choose your Lazy Portfolio, and implement it with ETFs. Asset Class & Sector Rotation Strategy - BUG Permanent Portfolio Strategy: The BUG strategy is one of our more conservative strategies. © 2004-2021 The CXO Advisory Group, LLC. 7. Call 1-800-998-4246 to discuss accessing Nasdaq's leading indices. Let’s dive in! Click on column header to sort table. Using a combination of modeled and (as available) actual monthly price data for the specified ETFs during December 1970 through November 2020, he finds that: Please log in or subscribe to continue reading... Slows the unemployment rate trend signal, simply comparing recent unemployment rate with that of a year ago. TLT; iShares 20+ Year Treasury Bond ETF (TLT) Updated: Jan 22, 2021. Those funds were the Invesco QQQ Trust (QQQ) which was the largest single inflow by a wide margin, the SPDR S&P 500 ETF Trust (SPY), and the iShares Russell 2000 ETF (IWM). To maintain the correspondence between the composition and weights of the securities in the trust (the securitie “One year rolling volatility (calculated by taking the standard deviation of daily returns, annualized) was 94% correlated between Dec. 31, 2007 and … Line chart with 3 lines. To investigate, we (1) backtest the switching strategy and (2) compare performances of GLD:TLT versus TLT when the S&P 500 Index is below its SMA200. Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more! Furthermore signal-trade separation is deployed to ascertain the discrimination effect of the permanent P2 protection universe. iShares 20+ Year Treasury Bond ETF ( TLT) - 795,900 shares, 11.61% of the total portfolio. All Rights Reserved. You can also find QQQ on most trading platforms. Portfolio composition of the INVESCO QQQ TRUST SERIES 1 ETF (QQQ). The fund generally invests at least 90% of its assets in the bonds of the underlying index and at least 95% of its assets in U.S. government bonds. 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