An Introduction Who are we? My friend and I after years of suffering at the hands of the muppets (yes, you know who you are) have decided to partner up with the hopes of creating a managed account platform. We both come from wonderful pedigrees (e.g., ivy league schools, from an extremely prestigious financial institution and work as quantitative traders). But you donât care about that, and you shouldnât. What should you care about? We are going to make you money. I have heard this before. How are you going to make me money? Initially, we have created a robust and simple trading strategy that can be implemented in a managed account for a retail investor. At the same time, we have a multiplicity of intermediate and higher frequency strategies, but for the purpose of this journal, we are just going to focus on the simple strategy. With respect to that strategy, we are going to trade ONLY the most liquid exchange traded funds. At the end of each month at the close, we are going to exit our existing monthâs position and apply our new allocation. Each month we will post our allocation after the close on the last trading day of each month. The portfolio will be long only, and it will apply small amounts of leverage (we will always be at least 100% invested and never more than 200%). Leverage is applied on a proprietary basis depending on our model. What is your strategy? The strategy is simple. By utilizing a simple orthogonal universe of ETFs that covers the major asset classes (equities, bonds, commodities, volatility, quasi-equities, etc.), we apply our proprietary tactical allocation model on a walk forward optimization basis to derive our monthly weights. Weights and allocations to different ETFs is non-discretionary and completely based on our mathematical model. We also have one simple rule: no cherry picking. One of the problems with Wall Street is that they are great at lying to their clients and even better at lying to themselves. Finally, we wanted to reiterate that we are quantitative traders, and there is no technical analysis in our model. We do not use any Fibonacci numbers, Bollinger bands or other technical voodoo mumbo jumbo. How much are you running? For March, we are going to be running $480,000 USD of our own money. What are your expected returns? We want to achieve annual returns of 20% per year and volatility of less than 10% for a sharpe ratio of at least 2. Our max drawdown should never be more than 10%. Please also remember that we will always be at least 100% invested. How long have you been running your strategy? We were beta testing for the last six months and running money since the beginning of the year. We have now formalized our strategy and we would like to share it with the community. What are this monthâs allocations? Stay tuned. We will post it tomorrow.