I don’t think what I’m looking for is possible, but I thought I would ask the community if I am missing something, or if there are any alternative ideas.
I have created a book called ’Ultimate Combo Strategy’ that is comprised of six live ETF-based models. It has excellent, consistent results, with profits every year and beating the S&P 500 for the past 14 years:
The six models contributing to this strategy are uncorrelated. However, when conditions are risky and defensive ETFs are appropriate, the Book can have multiple ports holding the same Defensive ETF, such as TLT, SHY, etc. During bullish periods, this is not a problem because I designed the models to use different Equity-ETF universes, but when defensive, two or more models can hold the same ETF.
Average position weight in the Book is about 15%, but because three of the models are currently holding the iShares 20+ Year Treasury Bond (TLT) for defense, the Book has a 45%-of-portfolio weighting for TLT.
My question: Is there any way to make the book choose the next-best defensive ETF rather than piling weight on a single position? The easiest solution would to use MaxCorrel in a book. However, since we can’t create rules in Books, that can’t be done. Does anyone have an alternative idea that will prevent the Book from placing so much weight on one ETF? Thanks.
Chris