Un exemple dâallocation dynamique basĂ©e sur une mesure du momentum par Andrea Clenow. Il sâagit juste dâun exemple qui peut servir pour vous inspirer votre propre stratĂ©gie dâallocation.
A Simple Way to Increase Performance
It doesnât have to be hard or complicated to create performance. Simple concepts are usually the most reliable. This time, Iâd like to tell you about a little trick that can enhance most portfolios. I find it easiest to explain by showing you an example.
Letâs Start with the All Weather Portfolio
Just to isolate the effect, Iâll use Ray Dalioâs All Weather Portfolio as a starting point. As a quick reminder, this portfolio holds 30% stocks, 40% long term bonds, 15% medium term treasuries, 7.5% gold and 7.5% commodities. Iâll use ETFs to allocate to these buckets, and rebalance monthly.
Improving the Model
The All Weather Portfolio is really not a bad model. From a risk adjusted point of view, it massively beats regular stock indexes. Iâll keep almost all of it in my improved version. All Iâll do is to measure momentum once a month, and then toggle the weights up and down slightly based on that. At the most extreme negative momentum, Iâll half the default weight and at the most extreme positive Iâll double it. Then we normalize the weights, so weâre back to 100% in total. Thatâs it.
What do I mean by Momentum?
There are many way to measure momentum. Some bad, some mediocre and some pretty good. Iâll use my own aptly named Clenow Momentum analytic. This calculates exponential the regression slope, in this case for 90 days, and multiples by the R2. This gives us a momentum, adjusted for trend strength.
Results Speak for Themselves
Below you see the S&P 500 in black, the standard All Weather Portfolio in purple and our new dynamic version in gold. First, even visually you can see how the standard AWP greatly outperforms the market. Second, the momentum based dynamic version has a slow and steady outperformance against the standard version. But visual inspection can be deceptive. Letâs check the numbers.
The Sharpe ratio is not perfect by any means, but it does tell a clear story here. The S&P may have the highest return in the end, but at the cost of very high risk, deep drawdowns and a horrible Sharpe. The standard AWP model does far better. But the really important thing here is how much our momentum based AWP outperforms. A full percent better performance, lower drawdown and nearly ten points higher Sharpe. Thatâs a massive increase.
Ceci est un exemple parmi dâautres dâune stratĂ©gie dâallocation dynamique basĂ©e sur
une mesure du Momentum. Elle est proposée par Andrea Clenow
. Je prĂ©fĂšre donc miser sur la croissance mondiale que sur la croissance dâune partie du monde : ça me rassure. AprĂšs tu parles de tout vendre si ça commence Ă ne pas sentir bon. OK mais le problĂšme est que le fait dâenvisager de peut ĂȘtre devoir battre le marchĂ© est incompatible avec lâinvestissement passif et donc un portefeuille « all weather ». Un portefeuille all weather a quâun seul objectif câest de pouvoir investir sans te poser de question et de toujours pouvoir dormir comme un bĂ©bĂ© quoi quâil se passe dans le monde⊠Non tu ne crois pas 
.
). je le cite ici non pour la perf mediocre 3.96% YTD mais parce que la methodologie est bien detaillée
