Fourth Quarter Playbook
We are in the fourth quarter. Now is the time to review your accounts and take action to put all in order.
Let Us Help You Position Your Portfolio
At GRYNING, we pride ourselves on our unique and sophisticated investment strategies designed to capture the gains of the stock market while minimising drawdowns during bear markets. If you're seeking expert guidance in your investment journey, we're here to assist you.
GRYNING | Signals - providing durable and consistent return streams independent of beta.
Access six quantitative strategies - not data mined and based on sound hypothesis about price action behaviour and the formation of anomalies - generate systematic trading signals with precise entries and exits in the weekly timeframe (for the open price of the next weekly bar). The strategies cover price series and cross-sectional momentum, mean reversion, and long/short with major ETFs and large-cap stocks.
STOCKBOND (SB) [252.037] is a long-only systematic tactical allocation (SPY & TLT) strategy using price series momentum for timing and cross-sectional momentum for position sizing.
MEANREVERSION (MR) [248.771] is mean-reversion strategy for SPY ETF based on sound mathematics that generates long-only signals while avoiding bear markets.
SECTORROTATION (SR) [372.141] trades several sector ETFs long-only based on momentum and can hold up to four ETFs at a time based on a ranking method.
ETFROTATION (ER) [510.173] trades several ETFs long-only based on momentum and can hold up to three ETFs at a time based on a ranking method.
DOWBULL (DB) [264.546] is a mean-reversion strategy based on sound mathematics that generates up to 6 long-only signals in Dow 30 stocks while avoiding bear markets.
LONGSHORT (LS) [148.555] is a long/short strategy that trades up to six stocks long/short from the Dow 30 group of stocks using a proprietary ranking method. The strategy is dollar-neutral: 3 long and 3 short stocks of equal dollar allocation.
Equity Performance | Six Strategies
Comparison of the Average Performance [329.553] of the five strategies excluding LONGSHORT (LS) to SPY ETF performance (Strategy vs Buy & Hold)
Annualised Return: 8% vs 9.3%
Maximum Drawdown: -8.3% vs -55.2%
Volatility: 7.7% vs 20.3%
Sharp Ratio: 1.05 vs 0.46
MAR Ratio (CAGR/MDD): 0.97 vs 0.17
The main benefit of using an ensemble of strategies is the low volatility of the equity curve. Leveraged alpha is possible while maintaining a low maximum drawdown. Note that the Sharpe ratio stays nearly constant under leverage. Yearly Return (%) charts for the five strategies ensemble and LS is shown on the next page.
Yearly Return % | Five Strategies (excluding long-short)
Yearly Return % | Long-Short
Price: £500 / 3 months or £1500 / year (25% off)
Navigate the complexities of the financial markets and achieve your investment objectives using GRYNING | Signals. For more information on our Systematic & Portfolio solutions, click on the link below.
Please note, this is a bespoke offering, in some instances, it may take up to 7 days for the service to be fully set up. In such cases, the time allotment will be added to the back end of the membership period.