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I think BTAL is a hidden gem ETF. It is market neutral anti-beta --> 50% long low beta and 50% short high beta. It works to diversify a portfolio and protect in drawdowns.
Go to PortfolioVisualizer at https://www.portfoliovisualizer.com/backtest-portfolio and test QQQ, RSP and BTAL equally weighted, rebalanced quarterly. I measured the portfolio against AOA (iShares Aggressive) and it matched the return with far less volatility and drawdown, much higher Sharpe and Sortino.
I've had BTAL in a tracking portfolio at Google Finance for a number of years and have yet to be impressed with the returns during time frames. The lone exception was during late 2015 through mid-2016. Our IG bonds offset any equity struggles at the time. BTAL may be viable during a prolonged down period in the equity sectors. I surely can't say. The below link for total return graphic includes BTAL , QQQ , RSP and AOA. The graphic start point date is limited by the youngest inception of these funds.
I inputted your 3 some and compared it to AOA, which by the way is not a very good comparison at 80% equities since your 3-some ends up being about 65% equity after the L/S thing gets figured out. You were right about that comparison. I also compared your 3-some to AOR which is 60:40, a much closer comparison and again your 3 ETF portfolio plays well.
But then I tested a portfolio using QQQ + RSP + VTBIX (Vanguard total bond market) . My 3-some using the total bond market did better than your 3-some which used the market neutral etf BTAL. Your 3-some grew $10,000 to $18,700 over a 6 year stretch, pretty good. My 3-some, substituting the total bond market for your market neutral fund went to $20,600.
Which just confirms to me, these market neutral, long short, whatever you want to label them funds are a marketing gimmick. A straight out balanced fund or portfolio will do better for 99.9% of average investors over most any investment range.
@MM, what correlation basis period do you use, and why? Note that (for example) when you enter PDI and DSENX, daily returns (60 days) correlate 0.35 while annual correlate 0.94.
I inputted your 3 some and compared it to AOA, which by the way is not a very good comparison at 80% equities since your 3-some ends up being about 65% equity after the L/S thing gets figured out. You were right about that comparison. I also compared your 3-some to AOR which is 60:40, a much closer comparison and again your 3 ETF portfolio plays well.
But then I tested a portfolio using QQQ + RSP + VTBIX (Vanguard total bond market) . My 3-some using the total bond market did better than your 3-some which used the market neutral etf BTAL. Your 3-some grew $10,000 to $18,700 over a 6 year stretch, pretty good. My 3-some, substituting the total bond market for your market neutral fund went to $20,600.
Which just confirms to me, these market neutral, long short, whatever you want to label them funds are a marketing gimmick. A straight out balanced fund or portfolio will do better for 99.9% of average investors over most any investment range.
When I ran it, QQQ+RSP+BTAL had lower std dev (5.79% to 7.26%), lower drawdown (-3.44% to -5.61%), higher Sharpe (1.79 to 1.66) and higher Sortino (3.83 to 3.37) than QQQ+RSP+VTBIX. Risk adjusted, the BTAL combo was better.
But you are right, QQQ+RSP+VTBIX did outgain the BTAL combo.
If we are in a bear market for bonds, VTBIX may not perform as well in the future as it has in the past . . .
davidrmoran , I'm not doing any correlations. Just using the Backtest Portfolio option to compare. With that it gives growth of $10k, stdev and a few other things.
Comments
Go to PortfolioVisualizer at https://www.portfoliovisualizer.com/backtest-portfolio and test QQQ, RSP and BTAL equally weighted, rebalanced quarterly. I measured the portfolio against AOA (iShares Aggressive) and it matched the return with far less volatility and drawdown, much higher Sharpe and Sortino.
The below link for total return graphic includes BTAL , QQQ , RSP and AOA. The graphic start point date is limited by the youngest inception of these funds.
http://stockcharts.com/freecharts/perf.php?BTAL,QQQ,RSP,AOA&p=6&O=011000
I inputted your 3 some and compared it to AOA, which by the way is not a very good comparison at 80% equities since your 3-some ends up being about 65% equity after the L/S thing gets figured out. You were right about that comparison. I also compared your 3-some to AOR which is 60:40, a much closer comparison and again your 3 ETF portfolio plays well.
But then I tested a portfolio using QQQ + RSP + VTBIX (Vanguard total bond market) . My 3-some using the total bond market did better than your 3-some which used the market neutral etf BTAL. Your 3-some grew $10,000 to $18,700 over a 6 year stretch, pretty good. My 3-some, substituting the total bond market for your market neutral fund went to $20,600.
Which just confirms to me, these market neutral, long short, whatever you want to label them funds are a marketing gimmick. A straight out balanced fund or portfolio will do better for 99.9% of average investors over most any investment range.
When I ran it, QQQ+RSP+BTAL had lower std dev (5.79% to 7.26%), lower drawdown (-3.44% to -5.61%), higher Sharpe (1.79 to 1.66) and higher Sortino (3.83 to 3.37) than QQQ+RSP+VTBIX. Risk adjusted, the BTAL combo was better.
But you are right, QQQ+RSP+VTBIX did outgain the BTAL combo.
If we are in a bear market for bonds, VTBIX may not perform as well in the future as it has in the past . . .