Global Asset Allocation-Strategy Description

C2
1

Hi,

Since the strategy description page does not provide an idea about what the strategy is all about, I thought I will share with you some background behind the strategy and what I am trying to achieve with it.

Global Asset Allocation (GAA) as the name implies tries to gain exposure to asset classes such as global equities, bonds, commodities and real estate through ETFs. I work with 12-15 ETFs which are run through a model that uses fundamental, technical and economic variables.

Every week the model will select one asset class based on these variables. For most part, the system will stay with one asset class for months on the end as has been the case with Zero Coupon Treasuries (ZROZ) in recent months. The system has been designed for investors who don’t want to trade in and out of stocks/ETFs. For example, the system was invested in the Russell 2000 Small Cap (IWM) for almost all of 2013,

The idea for this system came from my time working on Wall Street on the hedge fund side of the business. I have personally been using this system since 2010 and have tested it extensively going back to 1996. The system has handily beaten SP500. I am confident that the sound economic and finance principles on which the system has been designed should allow it to do very well going forward. If you have any further questions, do write to me. Happy Investing.

Best regards,

Nihar Dalal
B.Engg, MBA (Finance), MS (Finance), CFA

1 Like
2

I’m having trouble finding your strategy. How is it listed on C2?
Mark

3

Hi Mark,

The strategy is called Global Asset Allocation, This link should lead to it.

Nihar

4

Since you’ve back tested since 1996 and traded it since 2010, could you tell me the annual returns, max drawdown and Sharpe Ratio for both periods: the back test since 1996, and the live trading since 2010?

Since the magic is in your selection mechanism. I won’t ask about how you select the best ETF… But I would like to know which are the 12 ETFs you’re selecting from? I want to see how global and diversified the pool of ETFs is. And I want to see for myself if there are any leveraged ETFs.

5

Chris,

Will send you the annual returns in an excel sheet. I don’t use leveraged ETFs. The pool of asset classes I use include US Large Cap, US Small Cap, US REITS, Latin American Equity, European Equity, Japan Equity, Asia-Pac Ex Japan Equity, Gold, Zero Coupon US Treasury Bonds and Cash. Within these asset classes, there could be more than one ETF that I might use depending on the market environment.

6

Chris,

Where do you want me to send you the return history for the strategy?