Portfolio Design Contest Champion #2 -- Most Impressive Ride

Want access to profitable info. at SectorSurfer?

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.

Results were announced in December 2013 by Scott and provided details for each for our immediate use.

The purpose of this page is to help you get started using the strategy selected as "Contest Champion #2 -- Most Impressive Ride."




Glenn Patterson's Sail Express Portfolio -- Most Impressive Ride

Picture
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. >>

Portfolio Construction

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% 

 

Underlying Strategies

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.  

Portfolio 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!
champion_2_chart_1.png
File Size: 749 kb
File Type: png
Download File
champion_2_chart_2.png
File Size: 749 kb
File Type: png
Download File
champion_2_chart_3.png
File Size: 857 kb
File Type: png
Download File
champion_2_chart_4.png
File Size: 876 kb
File Type: png
Download File
champion_2_chart_5.png
File Size: 899 kb
File Type: png
Download File

Want access to this Champion Portfolio and other great strategies? >>>