Portfolio Design Contest Champion #2 -- Most Impressive Ride
In November 2013, a Portfolio Design Contest was held by the President & Chief Sector Surfer, Scott Juds, to identify the best strategies created by SectorSurfer users.
Glenn Patterson's Sail Express Portfolio -- Most Impressive Ride
My portfolio design goals were to maximize Sharpe ratio, keep drawdown under 20%, and maintain annual returns over 30%. The results are: a Sharpe ratio of 1.82, max drawdown of 19%, annual returns over 30%, and no losing years. H.O.F. data was downloaded and sorted by Sharpe Ratio, Safety Score, and Max Drawdown to establish candidate strategies, which were then all run through Forward-Walk-Progressive Tuning (FWPT) and optimized using Advanced Options features. I'm sure there's room for further improvement.
Would you like to learn a better way to select funds? Glenn used Forward-Walk-Progressive Tuning (FWPT) in constructing his portfolio. He also considered the Sharpe Ratio, Safety Score and Max Drawdown. Not sure what these are?
No problem, click the buttons on the right for answers. >>
My portfolio design goals were to maximize Sharpe ratio, keep drawdown under 20%, and maintain annual returns over 30%. The results are: a Sharpe ratio of 1.82, max drawdown of 19%, annual returns over 30%, and no losing years. Hall of Fame (H.O.F.) data was downloaded and sorted by Sharpe ratio, Safety Score, and Max Drawdown to establish candidate strategies, which were then all run through FWPT and optimized using Advanced Options features. Glenn thinks that there's room for further improvement.
The Portfolio (Chart #1) holds four diversified sector and asset class rotation Strategies (Charts #2, #3, #4, and #5), rebalanced quarterly to their assigned allocation weights. Each Strategy selects the one, and only one, best-of-breed fund in its class to represent the Strategy in the overall Portfolio. The Portfolio holds only those four funds. The below allocation is used for each strategy:
Chart 2, Strategy #1 — ETF X-4e — 30%
Chart 3, Strategy #2 — Super Safe Moms — 20%
Chart 4, Strategy #3 — Vanguard Mutuals Mix —20%
Chart 5, Strategy #4 — ETF Sectors + Gold — 20%
Each of the four underlying Strategies, (Charts #2, #3, #4 and #5), is configured with a set of up to 12 funds, each representing a different slice of Vanguards's income fund management style. SectorSurfer's algorithms determine which fund is designated best-of-breed based on its trend leadership. The yellow line on each chart plots the performance of the strategy, which owns only the designated best-of-breed fund at any given time. This is True Sector Rotation (or serial diversification) and is a powerful investment ally best appreciated through its performance.
The Portfolio chart (Chart #1) plots the performance of each of the contributing strategies with the portfolio's net performance in yellow and the S&P500's performance in white.
The overall benefit of Tactical Diversification for this portfolio, relative to the S&P500, includes: (a) 24% higher annualized return, (b) 4.4 times better Sharpe ratio, and (c) less than 1/3 the maximum drawdown.
Now you know why this fund was selected as #2 Champion for this contest!