(Note: this the third update to a post which first appeared in 2019. It is instructive in describing the approach and priorities which I bring to my strategy development process.) “The most recent incremental upgrades were released in mid-2019 and are described in considerable detail below together with the resulting outcomes. In each case, the … Read more
(Updated 07/01/22) There has been no shortage of talking heads ranging from FOMC members to economists to market timers; each expounding upon their views of the future. Inflation will be up. Inflation will be down. Recession ahead. No recession. Yields are going much higher. Yields are about to turn lower. Equities still in a bull … Read more
We are just two years into the new decade yet it has already succeeded in repeatedly upending the expectations of most in the financial community. We’ve experienced a pandemic, a brief collapse in the credit markets, a brief equity bear market, an unprecedented easing of monetary policy, unimagined fiscal stimulus, a raging non-stop equity rally, … Read more
I believe that readers and subscribers have a right to as much information as possible about the TAAStrategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.
Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.
You should insist on this information before investing in any financial product.
Results for Adaptive Global are near actual results from mid-2018 and actual results from mid-2019. Results for Adaptive Income are actual results from mid-2019. More information is available in the blog article: The TAAStrategies, A Short History.
The Adaptive Global and Adaptive Income strategies were developed using bear/bull datasets from 2007 through 2017. Out of sample validation of risk and return metrics using bear/bull datasets from January 2000 through September 2007 were statistically comparable to the 2007-2017 period.
The fund baskets for the TAAStrategies are constructed from indexed Exchange Traded Funds (ETFs) with just two exceptions, an Open End Fund and a Closed End Fund, both with long history. A number of the ETFs we use were not created until 2007+. In each case, we infill using predecessor Open End Funds (OEFs) for which the indexing and/or subclass is substantially similar to the ETF.
I have been asked if it is possible to extend backtests to the 1970’s. While a few publishers attempt this; I believe it is not possible to produce credible results for any but the most basic TAA strategies using a handful of classes/sub-classes due to the lack of funds with substantially similar indexing and/or classification. Doing so would force me to stretch the term "substantial" far beyond my comfort level.
Full Market Cycle CAGR & MaxDD is calculated between bull market tops. Bull and bear markets are signaled by a 20%+ change in the S&P 500 based on weekly closes. Each cycle begins with a bear market and concludes with a bull market. Comparisons are provided to TAAStrategies benchmarks.
I believe that readers and subscribers have a right to as much information as possible about the TAAStrategies including the good (returns) and the bad (draw downs) on a month by month, year by year and summary basis.
Why a right? Because it’s your investment dollars and you need complete information to determine if the strategies are suitable for your portfolio.
You should insist on this information before investing in any financial product.
Results for Adaptive Global are near actual results from mid-2018 and actual results from mid-2019. Results for Adaptive Income are actual results from mid-2019. More information is available in the blog article: The TAAStrategies, A Short History.
The Adaptive Global and Adaptive Income strategies were developed using bear/bull datasets from 2007 through 2017. Out of sample validation of risk and return metrics using bear/bull datasets from January 2000 through September 2007 were statistically comparable to the 2007-2017 period.
The fund baskets for the TAAStrategies are constructed from indexed Exchange Traded Funds (ETFs) with just two exceptions, an Open End Fund and a Closed End Fund, both with long history. A number of the ETFs we use were not created until 2007+. In each case, we infill using predecessor Open End Funds (OEFs) for which the indexing and/or subclass is substantially similar to the ETF.
I have been asked if it is possible to extend backtests to the 1970’s. While a few publishers attempt this; I believe it is not possible to produce credible results for any but the most basic TAA strategies using a handful of classes/sub-classes due to the lack of funds with substantially similar indexing and/or classification. Doing so would force me to stretch the term "substantial" far beyond my comfort level.
Full Market Cycle CAGR & MaxDD is calculated between bull market tops. Bull and bear markets are signaled by a 20%+ change in the S&P 500 based on weekly closes. Each cycle begins with a bear market and concludes with a bull market. Comparisons are provided to TAAStrategies benchmarks.
