Investors FastTrack

Quality Data for Investing Strategies

FT Cloud

Earlier Nightly Data Update

Data Available at 6:50 pm EST

We’ve been hard at work improving our data collection and publishing process. We did a full revamp of our data collection back end, and are now collecting, processing, and adjusting data at a record pace.

Our new database publish schedule is as follows:

Publish 1

6:50pm Eastern

Publish 1 includes updated prices and dividends for all stocks, ETFs, COF, and approximately 90% of open end funds. Liquid Alts, smaller funds, some internationals, etc commonly need to report delayed NAVs and get updated in Publish 2.

Publish 2

8:20 pm Eastern

Publish 2 includes any changes made to Publish 1 number, index updates, and all remaining open-end funds not reported in Publish 1.

Publish 3

7:20 am Eastern (on the following day)

Publish 3 is released the following morning and includes any updates and dividends processed overnight and early morning.

Visit the data blog here: http://www.fasttrack.net/system_status.asp

Visit our new status page here: https://investorsfasttrack.com/data-status/

Reduce Portfolio Volatility

Portfolio VolatilitySince the S&P 500’s recent high on 9/20/2018, the S&P 500 has lost 8.47%. However, smart investors have options to reduce portfolio volatility, as there are many strong funds and stocks in sectors which:

  • Are attracting safety conscious investors
  • Have less volatility than the broad market
  • Are not highly correlated to the S&P 500
  • Funds are inherently diversified (Individual stocks are too risky for this analysis)

The remainder of this article describes the use of FastTrack tools to find these attractive, low volatility, diversified funds to reduce portfolio volatility (risk) and increase return of a portfolio which is losing value in current markets (Increase risk adjusted return).

Defining an Investment Universe

Defining a universe of candidates with FastTrack requires the Sieve. We start start with all no-load, low-fee, oldest share class, open end funds, plus all ETFs not including ETNs.
Use sieve to remove all bond funds. Bias toward all equities.

  1. Use sieve to remove all Short (bear) funds. No market timing gimmicks.
  2. Use the FastTrack spreadsheet to remove all funds with correlation >90% to the S&P 500. Bias toward reducing exposure to a broad bear market.
  3. Use Spreadsheet to remove funds with less than 1-year of daily history.
  4. Use the spreadsheet to remove all funds with recent volatility greater than the S&P 500 OR less than half the S&P. Bias toward less risk.

Analysis – Reduce Risk, Increase Return

We’re looking for funds that would increase return and reduce volatility of the S&P 500 index. First, ranking the 207 issues in the selected universe for the trailing one year (11/24/2017- 11/26//2018). Using a metric risk and return metric called NCAlpha, we picked three diverse funds from in the top 10 funds ranked by NCAlpha:

  • PSL – Invesco DWA Consumer Staples Mom ETF
  • PDFDX – Perkins Discovery
  • IHF – iShares US Healthcare Providers ETF

Below is a chart the shows a 33% / 33% / 34% mix of PSL / PDFDX / IHC rebalanced quarterly.

Returns
YTD
1 year
3 year
5 year
10 year
RDV$
22.8%
27.6%
45.9%
73.3%
392.0%
SP-DA
2.1%
5.1%
36.4%
63.9%
271.8%
Stats
Rtn
Ann
SD
UI
Corr
RDV$
73.3%
11.6%
3.9%
5.9
83.1%
SP-DA
63.9%
10.4%
3.7%
3.3
100.0%
DrawDown Stats
Max Draw
Length
Recovery Length
Peak Date
Valley Date
RDV$
(21.6%)
6
14
8/5/15
2/11/16
SP-DA
(13.1%)
7
2
7/20/15
2/11/16

Result – Reduced Volatility

The new portfolio found funds that backtested consistently better than the S&P 500 over many years, and had less drawdown than the S&P 500 for the period 9/20/2018 to 11/25/2018. While, the final portfolio was less diverse than the S&P 500. The top-ranked funds benefit from successful fund manager and index construction and the recession-proof nature of the health industry.

Next Step

Since the portfolio is optimized for down-trending markets, it will require reallocation to take full advantage of a bull market. Step 5 above should be changed to have a bias toward more risk.

Free Trial

Click here to sign up for a 30 day free trial

FT4Web Spreadsheet of Top Ranked Funds

FastTrack-Spreadsheet Top Ranked Funds

Download 800+ Market Indexes with the FastTrack Database


FastTrack’s database has over 800 market indexes available through our APIs, local install software, and cloud products. We publish all the industry standards: S&P, GSCI, MSCI, Dow Jones, NYSE, CBOE, etc. Additionally, we include 100+ high yield indexes broken out by rating, country, industry, etc and all market rates such as LIBOR, Fed Fund, mortgage rates, and bond spreads.

30 Years of Data

All data goes back as far as 1988 and our data model is easy to use and mature. We’ve published and curated data for RIA, professional money managers, funds, and individuals, since 1988.

Other Popular Posts:

https://investorsfasttrack.com/backtest-bogles-3-position-portfolio/
https://investorsfasttrack.com/simple-steps-diversified-portfolio/
https://investorsfasttrack.com/help/export-data/

New Families Out

New FT Cloud families are out today!

Included in the release are our new “Purchase Minimum” families. These families group mutual funds but their minimum initial purchase amount.

Use these families to screen the 17k dividend adjusted tickers in the database.

Practical Example

Use the Family Sieve to mix, match, remove, add funds for custom screens.

Try this sieve to find retail-ish investable funds: Start with the “All – Equity” Family, then “And” the “PurchaseMin-Under $10k” family. This will display all equity funds with initial minimum purchase amounts of less than $10k.

 

30 Years of Service!

Every 10 years FastTrack extends its database to accommodate more days of data. We just completed the 4th expansion!

All FT4web users should have seamlessly downloaded the new database via FT Comm. FT Cloud users access data on demand, via the web, and remain un-impacted.

If you’re experiencing any issues, give us a call at (866) 295-0166 x2

Some Fun History


In 1989, FastTrack released our first database. We designed it to fit on a 40Mb hard drive and included 300 or so of the biggest mutual funds at the time. A typical users connected to our T1 server via a 1200 baud dial up modem and 800 number. (If you’re not aware or new to FastTrack, our FT4web product houses all data for the 17k+ tickers in our database on your local computer. )

Today, FastTrack includes, over 17k high quality funds, etfs, and stocks in the database and deliver our products over the HUGE pipes at Amazon AWS. We dividend adjusted all symbols with the highest quality data on the market. It literally cannot be found anywhere else.

The Future

We’ve proud of the solid 30 years of service to we’ve provided and thankful for all our existing, new, and future customers. We looking forward to the next 10 and beyond!