Strategy
Using momentum on the classic 60/40 portfolio, drawdown and performance are both improved. This strategy takes the simple SMA cross of both SPY and TLT and determines whether to hold both, only one, or move to cash. The optimized SMA crosses are 200-20 for SPY and 80-15 for TLT; when only one asset has its long window greater than its short window, 100% of the portfolio will be allocated to that asset.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.12 | | Annual Volatility | 0.12 | | Sharp Ratio | 0.98 | | Max Drawdown | -0.18 | | Alpha | 0.12 | | Beta | 0.02 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.1768 | 12-18-2008 | 07-09-2009 | 2009-09-28 | 202 | | 2 | -0.1063 | 10-02-2011 | 10-26-2011 | 2011-12-19 | 56 | | 3 | -0.1024 | 02-01-2015 | 12-10-2015 | 2016-06-30 | 369 | | 4 | -0.0733 | 09-13-2012 | 11-14-2012 | 2013-01-29 | 98 | | 5 | -0.0658 | 05-01-2013 | 06-23-2013 | 2013-07-15 | 53 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Stress Events| Stress Events | Mean | Min | Max |
|---|
| Lehmann | 0.001 | -0.032 | 0.033 |
| US downgrade/European Debt Crisis | 0.003 | -0.028 | 0.033 |
| Fukushima | 0.001 | -0.019 | 0.015 |
| EZB IR Event | 0 | -0.01 | 0.016 |
| August 2007 | 0 | -0.027 | 0.012 |
| March 2008 | -0.001 | -0.02 | 0.009 |
| September 2008 | 0.001 | -0.032 | 0.033 |
| 2009Q1 | -0.003 | -0.031 | 0.024 |
| 2009Q2 | 0 | 0 | 0 |
| Flash Crash | 0 | -0.009 | 0.009 |
| April 2014 | 0.001 | -0.005 | 0.005 |
| October 2014 | 0.001 | -0.01 | 0.007 |
| Fall 2015 | 0 | -0.019 | 0.017 |
| Low Volatility Bull Market | 0 | -0.036 | 0.019 |
| GFC Crash | 0 | -0.032 | 0.051 |
| Recovery | 0.001 | -0.034 | 0.04 |
| New Normal | 0 | -0.025 | 0.025 |
/* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */
