All Weather Fund

A portfolio that can survive and thrive throughout all economic conditions

Strategy Description

The All Weather Fund is our investment strategy product designed for the long term to complement the traditional equity only portfolio. Trading only ETFs it takes advantage of the strongest market anomaly according to academic research; that is momentum. Assets that exhibit signs of strong momentum generally tend to continue producing strong returns. Our strategy incorporates the momentum factor as the primary driver of fund selection. It also takes advantage of the wide array of ETFs available in order to create a highly diversified portfolio. Our portfolio always holds open 10 ETFs in equal amounts and is re-balanced on the 1st trading day of every month.

Strategy Objective

Benchmark: S&P 500 Index

To outperform the benchmark on a yearly basis and significantly so in the long term with a similar level of volatility and a moderate level of correlation.

Investable Universe

All electronic traded funds (ETFs) on US exchanges only with at least $1 million dollars in average daily traded value, which is approximately 1,200 funds as of this writing. No leveraged or short ETFs are traded, only plain vanilla long-only funds are included in the portfolio.

Investment Approach

This strategy is 100% systematic. At the start of each month our quantitative model analyses the entire market of liquid ETFs to find the 10 best funds to invest in for the upcoming month. It uses our unique algorithm that analyses every ETFs momentum and volatility characteristics to determine which funds are likely to keep delivering strong risk-adjusted returns.

Working in tandem with our ETF ranking algorithm is our portfolio construction algorithm which looks at how every fund correlates with other funds so that our portfolio is always diversified and doesn't have any specific concentrated risk exposures. If a fund is too correlated with another in the top 10 it will drop the lowest ranked fund and use the next best ranked fund to incorporate into the portfolio. This way we always carry a portfolio is that very diversified across equity industries, geography, and asset class.

Position Sizing

The model portfolio uses leverage equal to 125% total of the current account value.
10 positions are always held open equal to 12.5% of the current account value in each.

Trade Frequency

The portfolio is re-balanced on the 1st trading day of every month in the last hour before close. Some or all of the currently held ETFs will be replaced with new ones.

Key Benefits

Invest in the premier market anomaly "momentum"
Minimum trading of only 20 minutes per month to re-balance on the 1st monthly trading day
Achieve returns that are uncorrelated to the overall market
No stock specific tail risk by only investing in liquid ETFs
Carry a highly diversified portfolio across many asset classes, factors and geographies
Ability to deliver good returns regardless of economic environment

Strategy Performance

Below is the current performance of the All Weather Fund strategy of a hypothetical $50,000 portfolio following this strategy versus the S&P 500 Index as shown on the chart. The real time performance is tracked by independent 3rd party platform, Collective2 (C2) which includes all brokerage and our subscription fees. All of our trades are entered in real time into the C2 platform and can be publicly verified by anybody.

Cost to Follow

The cost to follow the All Weather Fund is $60/month to receive all trade alerts to your email so you can manually enter the trades into your own trading account.

How to Follow the All Weather Fund Strategy

The All Weather Fund is listed on Collective2, a copy trading platform that allows strategy developers to offer strategies for subscribers to follow and copy in real time. Think of Collective2 like an online hedge fund marketplace that anybody can join to find trading strategies to copy.

Follow the steps below to subscribe to the All Weather Fund.

Visit www.collective2.com and signup for a free account as an "Investor"

Visit the All Weather Fund strategy page on Collective2 here https://collective2.com/details/142739014 and signup for $60/month

Collective2 will now email you all changes to our portfolio in real time. Remember this portfolio is only updated on the 1st trading day of every month, where some or all of the current held ETFs are replaced with new ones. You can enter the trades into your account.

If you wish to have the trades automatically placed in your Interactive Brokers account then you have the option to sign up for an Auto-trade plan for an additional $49/month with Collective2 who will then automatically place all our trades in your IB account in real time.

After you sign up to our strategy on Collective2, you'll also be added to our members email list and immediately receive details on what current positions our portfolio holds. We also send out a monthly performance report to our members giving ongoing commentary on the markets and how our portfolio is performing so you'll always be aware of what is happening.

If you have any other questions you're welcome to email us at support@clickcapital.io