Tactical Adaptive Strategies Update
Adaptive Global finished the month with a gain of 4.83% and a YTD gain of 2.47%. Adaptive Global is our most broadly diversified “go anywhere” strategy with a 22+ year CAGR of 14.3%, a very modest maximum monthly drawdown of 7.7%, and a low 9.4% standard deviation of monthly returns.
Adaptive Income finished the month with a gain of 0.40% (cash) and shows a YTD gain of 1.28%. With a 22+ year CAGR of 9.3%, this strategy captures $6 dollars of gain for every $1 in loss. Adaptive Income sports our lowest maximum monthly drawdown of 3.9% and our lowest volatility with a monthly standard deviation of just 4.2%.
The S&P 500 finished with a gain of 3.71% for the month and a YTD gain of 7.46%. It has a 22+ year CAGR of 6.4%, maximum monthly drawdown of 50.8%, and monthly standard deviation of 15.4%.
The iShares Aggregate US Bond Fund (entirely investment grade) finished the month with a gain of 2.64% and a YTD gain of 3.23%. It has a 22+ year CAGR of 3.8%, maximum monthly drawdown of 17.1%, and monthly standard deviation of 4.2%.
For details, see the links below to strategy descriptions, charts, and tables or the Insights page.
Tactical Model Upgrade
The Tactical Model generates 2+ million pieces of data during each run for each strategy. In addition to the Performance Tables which appear on the website, the Model generates both detail and summary reports on those 2+ million data points. During the 5 years since the current Model was finished, I’ve developed a wish list of additional insights I want from the Model.
I’ve just finished a months-long project focused on providing much more detailed statistical analysis of strategy performance during each of our Market Conditions.
The new Performance Tables and Summary now includes strategy performance by market condition and direct comparison to the benchmark in lieu of separate tables. Readers are now able to fully evaluate and compare the TAAStrategies. Ultimately, subscribers will see additional benefits as this information is used to develop or improve both new and existing strategies..
I am extremely pleased to be able to demonstrate the robustness of the TAAStrategies across all market conditions as well as their ability to capture much/most of the benchmark upside with relatively little of the downside.
Have a look at the Chart & Table links below.
I’ve long recommended BIL (SPDR® 1-3 Month T-Bill ETF) as a reasonable placement for cash; however we have not historically accounted for cash. The Tactical Model is now allocating any cash balance remaining after strategy allocations to BIL as a separate allocation.
At the February month-end, the Tactical Income strategy showed a loss for the month of 1.28%. The dividend for the Ivy High Yield Fund which went ex on the 28th, was not reported in the quote stream until early March. The actual loss was 0.99%.
What Do Our Models See?
Market Conditions Model: The Model remains Hostile. Equity momentum has improved slightly while credit market risk has increased and valuations remain extended. Should the improvements persist, we could see a return to a Balanced condition in the near future. Should recent worsening conditions in both the equity and credit markets persist, we can hope for a washout which will permit a shift to Favorable conditions.
Tactical Model: The Tactical Model calculates TrendScores for both short and intermediate trends for all 27 of the funds we use. The current environment is marked by a great deal of uncertainty. 15 funds show positive trends; however only 2 of those are “high confidence” in the trend persisting. 6 funds show high confidence of which 2 show positive trends and 4 show negative. .
Subscription Change (reminder)
We are shifting from one-time annual subscriptions to recurring quarterly. While this entails some additional effort and costs, we trust that subscribers will find it a bit easier on the wallet.
Thank you for reading.
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Exceptional results are due entirely to the complementary strengths of our Market Conditions Model and our Tactical Model.