Assuming the overlay Ts have no currency exposure on average (lacking the regressed 100% USD collateral from the average fund), I calculate the following USD exposures
MoSp 1: -25%
MoSp 2: 0%
MoSp 2 Helix: -25%
Tony: -15%
That is of course, if we take our margin loan in USD.
Ah yes, had that at first, then I checked again and deleted it. i wrote the comment in the gym 
And yes thatâs a very big difference from the start.
@MoSp think of my comment as assuming equal equity allocations 
Thanks for pointing that out and thanks for your analyses! I actually wanted to have equal equity allocations!
This is actually what I wanted.
Have been snooping around the sex shop district of reddit investing (r/LETFs - the red light district would be r/wallstreerbets, r/options) and saw KMLM supposedly employs a 200 SMA strategy. Isnât that way too long to do anything? I mean a year barely has 250 trading days?
Ignorant so happy to learn.
Iâll try to remember to find a podcast episode where the strategy was discussed in detail and the rationale for KMLMs longterm signal.
But in general, there are different approaches on how to do it. KMLM is specifically longterm trend only. The data also shows that longterm trends are really what gives the big returns.
There are other funds that incorporate shorter signals and most of the time a blend of signals.
What the advantage specifically is of longterm: keeps trading costs very low, as you do not switch from short to long and back frequently.
This also keeps preventing a lot of the whipsaws you can get (meaning a short term trend in one direction â dund goes there and then a short term reversal, where you are on the wrong side, this for example helped the fund not crash as much in the Yen Carry blowup and quick reversal)
Especially in crazy volatile back and force phases this can help prevent losses.
Thanks, read it. I am wondering if the key benefit of KMLM is its exclusion of stocks more than anything, as having so many moving parts in the index makes me wonder if its performance gets constantly diluted unless many of the underlying assets move in the same direction, at the same time.
I would like to unpick what happened in 2022 and the previous years it did very well when the (stock) market didnât, meaning how did the individual components do, just for my own learning.
The thing is with these funds, that the exposure to the assets varies by time. That means if an asset has a strong trend, the fund will have higher exposure to that and ebenefit from that trend.