A subscriber suggested adding a simple 1-month or 3-month momentum filter to the BGSV portfolio, which each month rebalances to equal weight the following three very risky assets:
- Grayscale Bitcoin Trust ETF (GBTC), an indirect Bitcoin holding.
- SPDR Gold Shares (GLD), an indirect gold holding.
- ProShares Short VIX Short-Term Futures ETF (SVXY), to capture part of the U.S. stock market volatility risk premium by shorting short-term VIX futures.
We choose a momentum filter requiring that an asset must have a positive return the prior month, or its allocation goes to cash. Initial allocations to each of the three assets is $10,000. Cash earns the 3-month U.S. Treasury bill (T-bill) yield. We very conservatively assume monthly portfolio reformation frictions of 1% of month-end portfolio value. Using monthly prices of GBTC, GLD and SVXY adjusted for splits/dividends and monthly T-bill yield during May 2015 (limited by GBTC) through July 2026, we find that:
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