Chuck Sugnet

@MebFaber @SowingAlphaSeed @orrdavid @AlexMoonvest @fundstrat @Hedgeye @opptrader1 @CarterBWorth @FundsmithLLP @Ritholtz @WarrenPies Might be a KO... Huge congrats to you and team, great ETF and amazing performance in first year. Really sound asset allocation and capital efficiency makes it new baseline IMHO

@chuckcode @SowingAlphaSeed @orrdavid @AlexMoonvest @fundstrat @Hedgeye @opptrader1 @CarterBWorth @FundsmithLLP @Ritholtz @WarrenPies more of an uppercut...

@HML_Compounder @Tanner_HL @RuleByPowerLaw @DadInvest What about swapping out some of VT for UPRO & EFO or something similar for capital efficiency and adding little more trend?

@Tanner_HL @RuleByPowerLaw @DadInvest I'd swap QMNIX out with QLEIX for a bit of capital-efficiency there, and use the extra freed up space (since QLEIX has some "VT" within it) for some managed futures ;). Also given your mention of BDMIX, $IALT comes to mind. Seems to be BDMIX + ISMF + long-vol.

QLEIX having a negative YTD return makes me love the fund even more.

@choffstein Any thoughts on using momentum/trend to help time rebalancing portfolios? "Strategic Rebalancing" paper seems to suggest simple heuristics delaying rebalancing while assets trending down seem to reduce overall draw downs papers.ssrn.com/sol3/papers.cf…

I've written a number of papers on the same topic (and one on timing luck in factor portfolios specifically). You can check them out here: thinknewfound.com/rebalance-timi…

Hot off the press, @Finominally out with a new piece on rebalance timing luck in factor investing insights.finominal.com/research-timin…

@SowingAlphaSeed Sounds like good diversification in a high valuations market. Unfortunately $QDSIX isn’t as tax efficient. Would definitely look at $AQMIX or $QMHIX for as well. I know you’re skeptical of MF traditional trend following, but I think AQR is doing more than that.

@SowingAlphaSeed AQR had a bad spell from 2018-2020 when their quant algos didn't perform. Last 5 years pretty consistent though. Amazing how liquid alts get solid returns with almost zero Beta or R2 and controlled vol. Don't mesh with mantra of low cost index and chill though

@SowingAlphaSeed Great table. Liquid alts can be tax inefficient. Would be interesting to estimate after tax sharpe. AQR has done work to keep returns capital gains, but some funds still have significant distributions which are painful for taxes.

@SowingAlphaSeed Thanks. I haven't figured out how identify quality managers yet, large quality screen could really help. With current skills I've been focused on basic approach of core portfolio with cheapish equity beta and uncorrelated alts with leverage to desired volatility

@SowingAlphaSeed Thanks for sharing! Real treasure trove of interesting stock picking funds with ORR, ONERX, GATRX, MRFOX. Curious how you select and size them? Also WDYT about liquid alts like trend following (e.g. QMHNX) or L/S across mult assets (e.g. QSPNX) for diversification?

@dampedspring Portfolio needs vary. I was surprised with level of DBMF equity correlation over past few years. QMHNX from AQR is not an ETF nor low expense, but good for me with relatively high sharpe combined with low equity beta and low taxable distributions testfol.io/?s=chFrFGpiqIQ

Shill me your favorite trend following futures etf. Preferably one who didn't get absolutely fucked over the last 7 weeks

@HML_Compounder Any software or services you recommend to track aggregated performance? Been disappointed how poorly Schwab does accounting for distributions being reinvested

Finally got a decent aggregated portfolio performance tracker going... not as bad as I thought given the 3.5 year managed-futures drawdown I am still near the lows of... Plus like a good Chamath investor, I have tons of carry-over losses!

@OptimizedPort Nice comparison to RPAR, would be curious to see how similar portfolio backtests too. Little surprised to see such large bond allocation given Dalio’s worry’s about govt debt and inflation

A lot of people have asked me to cover $ALLW, the SPDR Bridgewater All Weather ETF, so I finally got around to that: optimizedportfolio.com/allw/?1

@OptimizedPort @Investinc_Intel Where do portable alpha strategies like RSST or QCFNX land in the 4 phases?

@Investinc_Intel Spun my wheels for far too long trying to pick stocks and trade options. x.com/OptimizedPort/…

What mistakes do you see 18-27 year olds make with their money I am just 24 and I want to avoid as many mistakes as possible

@SowingAlphaSeed Sharpe and Sortino look low compared to testfol.io ? Do you have details about how you're calculating? testfol.io/?s=83BpGExQwrh

@SowingAlphaSeed Any reason to not expand to mutual funds like QMNIX?

@OptimizedPort Thanks! Do you have any thoughts on how RSSB or other return stacking ETFs change tax impact? Do the use of futures/derivatives have tax implications like additional distributions or classification of distributions?

$RSSB SIM data added to testfol.io going back to 1970. Presented without comment:

@iblanco_finance Meb Faber reported similar reduction in volatility, MaxDD going back to 1901 with 200 day MA in his paper "Quantitative Approach to Tactical Asset Allocation". Would probably have to do in a tax advantaged account. mebfaber.com/wp-content/upl…

🚦New research! "Trend following is not about alpha. It's about risk control." New research using data from 1979 to 2025: Simple equity trend filters (10-month MA or 12-1 momentum) deliver: * Same ~10% CAGR as buy-and-hold * Max drawdown slashed from -54% → -20% * Sharpe improved from 0.72 → 0.93 I always get the impression, in these dynamic asset allocation risk-on/off backtests, that the prob of curve fitting is high when filters are active only a few times. What do you think? Anw, worth taking a look. 📄 Paper: papers.ssrn.com/sol3/papers.cf… → More research like this in my weekly newsletter: ivanblanco.ai/newsletter

@kaggle Read our blog "Evaluating LLMs by Finding Werewolves" kaggle.com/blog/game-aren…

The AI field is in need of harder benchmarks to test capabilities of the latest AI models. This update to @Kaggle Game Arena with werewolf and poker (heads-up) plus chess, gives us new objective measures of real-world skills like planning and decision making under uncertainty.

Introducing Poker and Werewolf to Kaggle Game Arena Cool livestreams coming up! kaggle.com/game-arena