Strategy
Almost exactly the same as the Tactical Asset Allocation strategy from my previous post, however, rather than reallocating the entire portfolio to one asset when the other’s long window is below its short window, the strategy is to move to cash for that portion of the account. The interesting takeaway from this is that moving to cash actually improves performance.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.08 | | Annual Volatility | 0.08 | | Sharp Ratio | 1.08 | | Max Drawdown | -0.1 | | Alpha | 0.08 | | Beta | 0.11 | /* 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 | -0.0953 | 02-24-2015 | 01-06-2016 | 2016-07-08 | 358 | | 2 | -0.085 | 12-18-2008 | 07-09-2009 | 2009-08-21 | 176 | | 3 | -0.0639 | 05-30-2011 | 08-07-2011 | 2011-09-19 | 80 | | 4 | -0.0475 | 05-20-2013 | 06-23-2013 | 2013-08-01 | 53 | | 5 | -0.0445 | 09-13-2012 | 11-14-2012 | 2013-01-23 | 94 | /* 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 | -0.013 | 0.013 |
| US downgrade/European Debt Crisis | 0.001 | -0.026 | 0.028 |
| Fukushima | 0.001 | -0.011 | 0.009 |
| EZB IR Event | 0 | -0.006 | 0.01 |
| August 2007 | 0.001 | -0.016 | 0.012 |
| March 2008 | 0 | -0.008 | 0.003 |
| September 2008 | 0 | -0.013 | 0.013 |
| 2009Q1 | -0.001 | -0.013 | 0.009 |
| 2009Q2 | 0 | 0 | 0 |
| Flash Crash | -0.001 | -0.012 | 0.017 |
| April 2014 | 0.001 | -0.009 | 0.007 |
| October 2014 | 0.001 | -0.014 | 0.01 |
| Fall 2015 | -0.001 | -0.023 | 0.015 |
| Low Volatility Bull Market | 0 | -0.022 | 0.012 |
| GFC Crash | 0 | -0.017 | 0.02 |
| Recovery | 0 | -0.026 | 0.028 |
| New Normal | 0 | -0.023 | 0.015 |
/* 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 { ... } */
