Tranche Model followers will find the following table of interest as I varied some of the positions and ranking metrics. In hopes of capturing a recovering market, I reverted back to HedgeHunter’s original ROC1 and ROC2 settings of 50% and 30% respectively. Placing more emphasis or lifting the percentage from 30% to 50% for ROC1 will capture any recovery at a quicker pace. Also note the 60 and 100 trading days as well as the Offset Portfolios setting of eight (8).
Tranche Model: The settings below are set to catch a recovering market by placing more emphasis on the most recent 60 trading days. In addition to the “Rutherford 10” ETFs I added BIV, VOE, VBR, and BWX. VOE and VBR are included to capture any value anomalies that may exist and BIV and BWX add a bond component previously missing. Based on yesterday’s data, BIV shows up as a buy in the most recent two offsets. Holding BIV and SHY at this time is not a bad position to be in as both are low volatility ETFs.
If I had chosen just two (2) Portfolio Offsets the portfolio would be divided equally among BIV and SHY. Using eight offsets results in a heavy concentration in SHY. Either way, we are out of equity ETFs during this market correction.
With all the current interest in Tranche Investing, I thought a Tranche 1.6 table showcasing this list of ETFs would be useful.