Strategy
A classic buy and hold strategy recommended for passive portfolios. The ETFs SPY and TLT were used to gain the equity and fixed income exposures respectively. This classic buy and hold strategy has worked well in the past given the tendency for these two asset classes to have negative correlation (except during major market corrections).
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.08 | | Annual Volatility | 0.11 | | Sharp Ratio | 0.74 | | Max Drawdown | -0.32 | | Alpha | 0.05 | | Beta | 0.46 | /* 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 | -0.3191 | 10-30-2007 | 03-08-2009 | 2010-11-04 | 787 | | 2 | -0.0793 | 03-19-2015 | 08-24-2015 | 2016-03-29 | 268 | | 3 | -0.0656 | 05-20-2013 | 06-23-2013 | 2013-10-22 | 111 | | 4 | -0.0579 | 05-30-2011 | 08-07-2011 | 2011-08-30 | 66 | | 5 | -0.0318 | 02-24-2015 | 03-05-2015 | 2015-03-18 | 16 | /* 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 | -0.03 | 0.015 |
| US downgrade/European Debt Crisis | 0.001 | -0.025 | 0.027 |
| Fukushima | 0.001 | -0.006 | 0.007 |
| EZB IR Event | 0 | -0.008 | 0.008 |
| August 2007 | 0.001 | -0.017 | 0.012 |
| March 2008 | 0.001 | -0.011 | 0.024 |
| September 2008 | -0.002 | -0.03 | 0.015 |
| 2009Q1 | -0.004 | -0.03 | 0.021 |
| 2009Q2 | 0.002 | -0.02 | 0.038 |
| Flash Crash | -0.001 | -0.012 | 0.018 |
| April 2014 | 0.001 | -0.01 | 0.007 |
| October 2014 | 0.001 | -0.014 | 0.01 |
| Fall 2015 | -0.002 | -0.024 | 0.015 |
| Low Volatility Bull Market | 0 | -0.017 | 0.013 |
| GFC Crash | 0 | -0.053 | 0.061 |
| Recovery | 0.001 | -0.025 | 0.027 |
| New Normal | 0 | -0.024 | 0.021 |
/* 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 { ... } */
