Max-Sharpe ETFs for February

January was one of the better months on record. The allocations were good for a 5% gain! Unfortunately, a common human trait led me to stay out of these positions in January. Thus, I missed most of it.

As one can expect (the initial filter is a sort of momentum), the allocations for February are similar. Yet, there are some fresh changes:

ETF Allocation
US Real Estate (IYR) 40%
S&P 500 (SPY) 10%
US Bonds (TLT) 40%
Germany (EWG) 10%

Germany is a new addition and hasn’t been among the choices in a while. The SPY is only on the list if one applies an upper maximum size for each position (if positions of any size were allowed – SPY doesn’t make it through the Max-Sharpe filter). So a lot of changes here, curious to see the developments. With my luck recently – IYR and TLT are simply going to turn around and give back all of their January’s gains. 😉


  1. Jim P. says:

    Your Max-Sharpe ETFs is an interesting strategy. A few questions:
    How does your Max-Sharpe filter work? Is is momentum based? What is basis for ETF selection?
    For your Max-Sharpe ETF strategy, would you be able to share equity plot, underwater dd, system statistics, and history of trades record? Are trades only made at start of new month, never at other times? Does strategy use stops? Have you given thought to a SPY L/S and TLT L/S mix, shorter term focused strategy? Appreciate your sharing your work, thanks sincerely.
    Best Regards, Jim P.

    1. ivannp says:

      The code I am using is based on While I have changed a few things, the basic approach is close enough to the original. I may show some statistics over the next few weeks, but I am trying to make the point that the important thing here is the idea and the approach.

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