Systematic investment

The Money Shot


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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 UK listed 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






17 comments:

  1. Shawn7 July 2016 at 09:13

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

    ReplyDelete
    Replies
    1. Rob Carver7 July 2016 at 09:20

      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.

      Delete
  2. Unknown24 November 2016 at 16:02

    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.

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    Replies
    1. Rob Carver24 November 2016 at 16:18

      Probably because it's a unit trust (https://www.vanguard.co.uk/adviser/adv/detail/mf/overview?portId=9143&assetCode=BOND##overview)

      Buy XBAG instead https://www.bloomberg.com/quote/XBAG:GR

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

      Delete
  3. Levi31 March 2021 at 15:08

    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?

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    1. Rob Carver31 March 2021 at 16:42

      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...

      Delete
  4. Unknown1 December 2021 at 09:12

    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?

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    Replies
    1. Rob Carver1 December 2021 at 09:14

      Which spreadsheet (can you paste the link)?

      Delete
    2. Unknown1 December 2021 at 09:48

      https://docs.google.com/spreadsheets/d/1Zr98Pdx3t3dBiyoJ0xvxnsBWVbPRC3-vL5uS6zhECrg/edit#gid=922685278

      Delete
    3. Rob Carver1 December 2021 at 09:50

      Good spot, fixed thanks.

      Delete
  5. Lorenzo21 June 2022 at 22:29

    Hi Rob, I was looking at the various alternatives in your book (mostly precious materials), any reason you don't use Oil/Gas?

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    1. Rob Carver22 June 2022 at 08:22

      You mean "Smart Portfolios" I assume? It's down to the availability of ETFs; and also the rolldown on futures means that commodity ETFs will tend to lose money even if spot prices are constant.

      Delete
  6. Moritz18 September 2022 at 11:11

    Hi Rob,
    first of all thanks for all your hard work - you have become my preferred source of unbiased high quality information on investing. I am a retail investor in Europe and at the moment i am putting together a portfolio for my savings. Your book "smart portfolios" and the TTU podcast is helping me a lot but there is a question i couldn't find an answer to:

    I want to put roughly half of the portfolio in systematic funds (mostly CTAs and some in L/S multi-factor funds) because I find them the most suited for most environments especially for stagflation and prolonged bear-markets. My views on the near term future of financial markets are quite gloomy and i see a real risk of a renewed financial crisis like '07 in the context of a possible bursting of the "everything bubble" and the rise of interest rates while private debt has exploded since the crisis of '07. Therefore i want to carry as little counterparty-risk as possible especially towards banks.
    Now i know that CTAs trade futures and that futures themselves are very safe as long as the exchanges continue to run. However when i look into the portfolios of my favorite CTAs i just see a lot of bank-bonds and money market bonds. I guess this is the collateral to trade the futures? What would most likely happen if the issuers of those bonds would go bankrupt in a systematic event? Would I be on the safe side a long as futures are still trading or would the loss of this collateral mean that my CTAs blow up?

    To be clear: i am not saying such a thing will happen, i just think it's a real possibility.

    Thanks a lot for your opinion on this!

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    Replies
    1. Rob Carver19 September 2022 at 15:00

      Yes, the idea is that we don't want cash lying around both because it is very low return, and also gives you counterparty risk against your prime broker; a diversified portfolio of bonds and money market funds spreads the risk and also improves the risk. I'm not an expert on (say) Cayman island bankruptcy law so I've no idea what would happen in the event of the situation you describe. Frankly, as long as the collateral is good quality I wouldn't worry. If that goes then the entire financial system will be in deep doo-doo and the futures clearing houses wouldn't neccessarily be a safe haven eithier.

      Delete
  7. Risparmio Personale29 May 2023 at 21:01

    Hello Mister Carver, I'm reading your book - really great!
    Consider I'm at chapter 3, maybe this is clarified later. Anyway, if possible a clarification. It is about the handcrafting method applied to the example of portfolio 50 bond + 50 equity (25 US+25UK). In order to maximise the sharpe ratio, should I ideally to apply the risk weighting methid on the first level (bond/equity) and leave the second level equally weighted because of the assumptions (high correlations, same standard deviation and geometric mean)?

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    1. Rob Carver5 June 2023 at 10:33

      Which book? Also yes, can you please read the entire book before asking questions.

      Delete
  8. Andjandan3 January 2024 at 02:04

    Hello rob!
    Smart Portfolios was a great read, however since 2017 the retail trading space has changed somewhat. Specifically almost all major brokerages in the US have no-commission trades for US listed ETFs and stocks.
    In the book, you state the minimum amount of money needed to change a position on a stock for a $1 trade fee is $300. However, we can now trade for free! Does this mean that a measly change in a portfolio such as one share of a sub $300 stock is a logical trade, or do you recommend keeping to the $300 minimum when buying and selling?
    Also, post the Russia-Ukraine conflict, it leaves very little EMEA EM ETF options (the iShares MSCI Emerging Markets EMEA ETF (EEME.US) has been liquidated since 2018). Currently I am in a Poland, Turkey, and South Africa ETFs to get EMEA EM exposure. Are there any more optimal or recommended ways of getting this exposure?

    ReplyDelete

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