Systematic investment

The Money Shot

I have a long only portfolio of assets (ETFs and stocks) which I invest using systematic (though not automated) methods.

I wrote a book on systematic investing, "Smart Portfolios", which can be found here.

A curated ETF list and model portfolio based on my book:

My investment performance

Year three (in years one and two I didn't report on my investing, only my trading)

Year four

Year five

Year six


  1. For £2,000, what instruments would you recommend? ETFs? CFDs? While maintaining diversification to achieve what you book teaches.

    1. Buy two funds. Any more and you'll be paying too much in fixed costs.

      Bonds: DBX XBAG ETF or UK Vanguard Global bond fund
      Equities: Vanguard FTSE All world VWRL ETF

      Maximum Sharpe Ratio, Low risk: 70% bonds, 30% equities
      Medium risk: 50% bonds, 50% equities
      High risk: 20% bonds, 80% equities

      I answer this kind of question more fully in a book I'm currently writing that should be published next year.

  2. Hi Rob,
    thank you for the previous reply.
    I'm quite struggling to find an EPIC for the "UK Vanguard Global bond fund" or find it on my "BarcleysStockbroker" platform.
    Do you think it's possible that it is not even listed on my platform? If so, would you recommend any other bond fund?

    Can you also please provide some update on your next book release?

    Thank you very much.

    1. Probably because it's a unit trust (

      Buy XBAG instead

      Next book will be on exactly this subject! And should be out mid 2017

  3. Hi Robert,
    I have a portfolio of 100 or so hand-selected stocks. Today one of my companies announced a merger with another one of my companies. The overall effect to my portfolio is basically nil, however now I will have 2x the exposure to a single ticker. I intend to simply close out my position in the company to be acquired but it got me thinking deeper about diversification and such and theoretically how my risk would/wouldn't change if all my businesses merged into a few conglomerates. Any thoughts?

    1. I mean from a strictly economic point of view you have exactly the same exposure as you did before! You own the same % of the same cashflows, they're just labelled differently. Where you to, for example, do some kind of factor regression then in theory the factor weights would be unchanged...

  4. Rob

    On the Data page of the spreadsheet Mean Vol etc for website, the multiplier for annual mean and geomean (cells D2, D6 & D7)is 365.

    Is this correct or should it be something like 256?

    1. Which spreadsheet (can you paste the link)?



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