DIVERSIFIED.


CONCEPT

DIVERSIFIED is a rules-based strategy that trades the major asset classes: equities, bonds and commodities. Trading signals for each asset class are driven by a unique set of factors. Factors include price momentum/reversion, economic factors and inter-market relationships. The strategy aims to generate stable performance with low volatility that is not correlated to any of the equity, bond or commodity benchmarks. The low volatility is largely a result of the low correlations between the 3 asset classes and the overall portfolio constraint of 33.3% to each asset class.

The maximum portfolio exposures are as follows:

  • Equities:  33.3% Long or inverse S&P500 (2.0 leveraged)
  • Bonds: 33.3% Long or inverse US Government Long Term Bonds (1.25 leveraged)
  • Commodities: 33.3% to Mining Index (1.5 Long/1.0 Inverse), Energy Index (1.5 Long/1.0 Inverse), US Dollar (1.0 Long/1.0 Inverse)

The strategy is highly active - on average it does 2 to 3 transactions per day. For this strategy we only generate signals for Profunds mutual funds because of their specific long and inverse fund lineup. If a subscriber has no choice but to trade ETFs, they may do so but may not be able to match the exact leverages in the official version and the liquidity may be an issue with the US Dollar ETFs.

 

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