About - ETF Model Portfolios

Our quantitative ETF model portfolios are designed to be easy to follow and replicate.

Why Upbias

Our quantitative strategies are designed to achieve smoother long-term returns by keeping up with the market during the good times and outperforming the market during the bad times (by cutting or shifting risk to minimize the drawdowns).

Please consider the following questions:

What will you do during the next financial crisis?

Will you stick with your portfolio no matter what? Will you resist the urge to get out of your positions?

Here's the thing. To manage an investment portfolio during a financial crisis is, indeed, a really hard thing to do.

The Upbias' algorithms handle this issue by systematically adjusting the composition of our model portfolios. As market conditions evolve, it reacts to market developments and adjusts the model portfolios accordingly.

This puts our models in a much better position to navigate whatever environment the future brings.

Our Strategies

We designed our dynamic asset allocation strategies taking into consideration that any strategy that requires daily monitoring and readiness to act is probably not feasible for most individual investors because it might conflict with their regular jobs and other responsibilities.

Another important point is that frequent allocation adjustments are not advisable because the transaction costs would overwhelm the benefits.

Adjustments Frequency

Thus, we allow our algorithms to make allocation changes only once a month (on the first Sunday of every month to make it even more convenient).

Given the long-term nature of our strategies, the allocations might not change every month. If there are changes, the models' adjustments will be made on the following trading day.

Look-inside Feature

As a "look inside" feature, we publish weekly provisory updates (every Sunday but the first of the month) containing the ETF model portfolios' provisory calculations at that point in time.

Asset Allocation Strategies


As the name implies, the passive strategy uses a static allocation strategy. It rebalances the portfolio from time to time.


The ready-made ETF models that use our dynamic strategy are designed for investors that are seeking an adaptive model. As market conditions evolve, these models' allocations are adjusted aiming to produce better risk-adjusted returns.

Strategies in Action

Let's illustrate the strategies with two simulated example portfolios.

The objective of these examples is to show how our strategies would have behaved during recent crises. The key points we want to highlight are the relative performance and the smoothness of the returns.

Passive Allocation Example

This example strategic portfolio is our benchmark. It keeps a fixed allocation of 50% bonds and 50% stocks and rebalances the portfolio every quarter.

Dynamic Allocation Example

The example dynamic portfolio's composition (which changes over time) is calculated by our proprietary dynamic allocation algorithm. The allocation range is from 0% stocks and 100% bonds to 100% stocks and 0% bonds. The portfolio is rebalanced when the allocation changes by at least 10%.

The example portfolios are only allowed to "invest" in:

  • U.S. Corporate Bonds Total Return Index; and
  • S&P 500 Index.

Data from January 1990 until mid December 2017; source: Quandl.

Note that the shown performance was simulated using index data, which does not include ETF management fees. We did so because most ETFs have a short history. Therefore, had we used ETFs, the returns would have been smaller by the amount of the ETF fees. On the other hand, it would not materially impact the relative performance or the smoothness of the returns, which are the key points we want to show.

At the tables, notice how the Dynamic strategy experienced much smaller maximum drawdowns.

The Dynamic strategy protects the portfolio's capital by moving the exposure "around" between its constituents. It dynamically reduces or increases some constituents' exposure according with market conditions. The strategy may also hold cash if the conditions dictate. It is specifically designed to generate better risk-adjusted returns.

S&P 500
Data from Jan-1990 until mid Dec-2017.
AAR %Average Annual Return
SRSharpe Ratio
MDDMaximum Drawdown
Passive Dynamic
Simulated results: from Jan-1990 until mid Dec-2017, including transaction costs.
Past performance does not guarantee future results.  
AAR %Average Annual Return
8.56 9.80
SRSharpe Ratio
0.64 0.83
MDDMaximum Drawdown
-31% -18%

In the chart, you can see the S&P 500 and the Dynamic strategy in action.

Notice how the Dynamic strategy is able to move its exposure between bonds and stocks, positioning itself to generate better risk-adjusted returns and avoiding bigger drawdowns in the process.

Specifically notice the performances during the dot-com (2000-02) and credit-crunch (2008-09) crises.

What's Next - Step by Step Guide

Step 1 - Evaluate our ETF Model Portfolios

Check them out. You'll find the config, constraints, historical simulation numbers, and charts on the Dynamic Models' pages.

Our models are in a walk-forward mode. This means that, on an ongoing basis, the Upbias Strategist downloads the market data, calculates the ideal allocations and, when the algorithm dictates, simulates the model portfolio adjustments (including transaction costs) - like someone would manage an actual portfolio.

Step 2 - Subscribe to the Upbias Strategist (ETF Models Subscription)

For a small monthly subscription fee, you get online access to the dynamic model portfolios' exact composition in addition to the Upbias Strategist's online publications (monthly report and weekly updates).

There is a free trial available (no credit card required). You may cancel your subscription at any time.

Step 3 - Benefit from our ETF Model Portfolios

Start using our model portfolios as practical examples to help you manage your actual ETF portfolio and gradually grow it over the long term.

You always have full control. Our model portfolios give you asset allocation ideas. You make the decisions and manage your actual ETF portfolio, not us.