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Model portfolio LSS Model Portfolio Model Portfolio Crypto Model Portfolio Traditional Cryptocurrencies Bitcoin Ethereum Fixed income US Treasury Bonds
Stocks S&P500
US Treasury bonds are bonds issued by the US Department of Treasury. Our US treasury model is calibrated on hypothetically calculated US treasury returns that we derive directly from changes in the US yield curve. We estimate a long duration of approximately 18 years, which makes the model more sensitive to duration impact than the yield/carry effect. The model is calibrated by training it on returns going back decades which have been smoothed over the medium term, and also incorporates signals from other asset classes. (Date added to LongShortSignal: 2019-12-02).
| Date | Return |
|---|
| Date | Asset | Long/short | Long only |
|---|---|---|---|
| 2022-01-06 | -3.73% | -3.73% | -3.73% |
| 2021-12-31 | -1.13% | -1.13% | -1.13% |
| 2021-11-30 | 1.98% | 1.98% | 1.98% |
| 2021-10-29 | -1.09% | -1.09% | -1.09% |
| 2021-09-30 | -3.10% | -3.10% | -3.10% |
| 2021-08-31 | -1.48% | -1.48% | -1.48% |
| 2021-07-30 | 4.57% | 4.57% | 4.57% |
| 2021-06-30 | 2.37% | 2.11% | 2.24% |
| 2021-05-31 | 0.68% | -0.73% | 0.00% |
| 2021-04-30 | 2.17% | -2.22% | 0.00% |
| 2021-03-31 | -5.78% | -0.37% | -2.86% |
| 2021-02-26 | -5.93% | -5.93% | -5.93% |
| 2021-01-29 | -2.66% | -2.66% | -2.66% |
| 2020-12-31 | -1.28% | -1.28% | -1.28% |
| 2020-11-30 | 0.61% | 0.61% | 0.61% |
| 2020-10-30 | -3.33% | -3.33% | -3.33% |
| 2020-09-30 | 0.41% | 0.41% | 0.41% |
| 2020-08-31 | -3.11% | -2.39% | -2.74% |
| 2020-07-31 | 2.44% | 2.44% | 2.44% |
| 2020-06-30 | -0.14% | -0.14% | -0.14% |
| 2020-05-29 | -0.23% | -0.23% | -0.23% |
| 2020-04-30 | 0.52% | 0.52% | 0.52% |
| 2020-03-31 | 8.11% | 8.11% | 8.11% |
| 2020-02-28 | 6.70% | 6.70% | 6.70% |
| 2020-01-31 | 7.75% | 7.75% | 7.75% |
| Date open | Date closed | Days | Asset | Signal | Return | Result | |
|---|---|---|---|---|---|---|---|
| 2021-06-02 | Open | Open | UST | LONG | -2.4% | Loss | |
| 2021-03-08 | 2021-06-02 | 86 | UST | SHORT | -0.1% | Loss | |
| 2021-03-05 | 2021-03-08 | 3 | UST | NEUTRAL | +0.4% | Loss | |
| 2020-08-31 | 2021-03-05 | 186 | UST | LONG | -15.5% | Loss | |
| 2020-08-25 | 2020-08-31 | 6 | UST | SHORT | +0.4% | Profit | |
| 2019-12-19 | 2020-08-25 | 250 | UST | LONG | +22.3% | Profit | |
| 2019-12-02 | 2019-12-19 | 17 | UST | SHORT | +1.8% | Profit |