Publications by Ilya Kipnis
The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT
I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be comprised of the SPY and TLT etfs. The concept introduced by Logical Invest, in a Seeking Alpha article written by Frank Grossman, essentially uses a walk-forward methodology of maximizing a modified Sharpe ratio, biased heavily...
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The Downside of Rankings-Based Strategies
This post will demonstrate a downside to rankings-based strategies, particularly when using data of a questionable quality (which, unless one pays multiple thousands of dollars per month for data, most likely is of questionable quality). Essentially, by making one small change to the way the strategy filters, it introduces a massive performance d...
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Introduction to my New IKReporting Package
This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are useful to compare recent performance, since simply looking at two complete equity curves may induce sample bias (EG SPY in 2008), which may not reflect the state of the markets going forward. In any case, the motivation fo...
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Rolling Sharpe Ratios
Similar to my rolling cumulative returns from last post, in this post, I will present a way to compute and plot rolling Sharpe ratios. Also, I edited the code to compute rolling returns to be more general with an option to annualize the returns, which is necessary for computing Sharpe ratios. In any case, let’s look at some more code. First off...
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The Logical Invest “Hell On Fire” Replication Attempt
This post is about my replication attempt of Logical Invest’s “Hell On Fire” strategy — which is its Universal Investment Strategy using SPXL and TMF (aka the 3x leveraged ETFs). I don’t match their results, but I do come close. It seems that some people at Logical Invest have caught whiff of some of the work I did in replicating Harry ...
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The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends)
This post will display my implementation of the Logical Invest Enhanced Bond Rotation strategy. This is a strategy that indeed does work, but is dependent on reinvesting dividends, as bonds pay coupons, which means bond ETFs do likewise. The strategy is fairly simple — using four separate fixed income markets (long-term US government bonds, hig...
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The JP Morgan SCTO strategy
This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns with a momentum equity strategy. It’s nothing spectacular, but if a large bank markets it, it’s worth looking at. Recently, one of my readers, a managing director at a quantitative investment firm, sent me...
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Advertising a Few Systematic ETFs (Strictly Of My Own Volition)
This post will introduce several ETFs from Alpha Architect and Cambria Funds (run by Meb Faber) that I think readers should be aware of (if not so already) in order to capitalize on systematic investing without needing to lose a good portion of the return due to taxes and transaction costs. So, as my readers know, I backtest lots of strategies on...
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A Basic Logical Invest Global Market Rotation Strategy
This may be one of the simplest strategies I’ve ever presented on this blog, but nevertheless, it works, for some definition of “works”. Here’s the strategy: take five global market ETFs (MDY, ILF, FEZ, EEM, and EPP), along with a treasury ETF (TLT), and every month, fully invest in the security that had the best momentum. While I’ve tr...
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Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices — The Constrained Critical Line Algorithm
This post will feature the differences in the implementation of my constrained critical line algorithm with that of Dr. Clarence Kwan’s. The constrained critical line algorithm is a form of gradient descent that incorporates elements of momentum. My implementation includes a volatility-targeting binary search algorithm. First off, rather than t...
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