![]() ![]() The simulated trading performance of the system for other periods of interest are shown Figures-12, -13 and -14 This model can be followed live at iMarketSignals (requires Gold subscription), where it will be updated weekly together with our other trading- and macro models.Īs of 2/16/16 the holdings for Combo5 are 40% IEF, and 20% each SH, TLT and XLV. But when combined, the drawdown becomes an acceptable -10.5%. For example, the maximum drawdowns from inception range from -18.7% to -27.3% for the five component models. The below table highlights the advantage of combining models. The correlation between the component models is fairly low, with 1.0 signifying 100% correlation. (click to enlarge) Correlation between component models Combo5 produced positive returns during 137 months and only 55 months had negative returns. There were a total of 192 months in the period under consideration. (click to enlarge) Distribution of Monthly Returnsįigure-11 shows the distribution of monthly returns. The minimum return over 12 months was 1% and the maximum was about 80%. (click to enlarge) Rolling 1-year returnsįigure-10 shows the rolling 1-year returns starting each trading day from 2000 to 2015. There would never have been a loss over any calendar year. ![]() A rising slope of this graph indicates when Combo5 outperformed SPY Combo5 produced about 17 times the value to December 2015 which one would have had from a buy-and-hold investment in SPY over the same period.Ĭalendar year performance ranged from a maximum of 49% for 2009 to a minimum of 5% for 2000. The green graph is the performance ratio of the Combo5 to SPY. Performance statistics for other periods of interest are shown in the Appendix.įigure-8 shows performance from Jan-2000 to Dec-2015. Combo5 avoided the recent market correction and continued to produce positive returns while the stock market lost about 12%. The total return would have been 44.6% with maximum drawdown of -6.8%. The simulated trading performance of the system from Feb-2014 to Feb-2016 is shown in Figure-7 below. All values are with dividends reinvested. The annualized return would have been 24.0% with maximum drawdown of -10.5%. The simulated trading performance of the system from Jan-2000 to Feb-2016 is shown in Figure-6 below. (click to enlarge) Simulated Performance of Combo5 (Figure-5) (QLD-IEF) Timer, which switches between QLD and IEF. (Figure-4) (SPY-IEF) Timer1, which switches between SPY and IEF, and The performance curves of the five equal weight component models of Combo5 are shown below. Simulated performance of component models The two additional component models in Combo5 are : (SPY-IEF) Timer1, which switches between SPY and IEF and (QLD-IEF) Timer, which switches between QLD and IEF.Three of which are also represented in Combo3.R1: Best(SPY-SH).R1, Best(SSO-Bond).R1, and the Best1(Select SPDR).R1.There are five equal weight component models in Combo5.For the period 2000 to 2016 the backtested annualized return is 24.0% with maximum drawdown of -10.5%.This combination model aims to provide good returns with low drawdowns during all market conditions.Understanding why is as simple as looking at the top constituents of the index. The Consumer Staples sector owes its strong past performance to two wonderful characteristics, consistent demand and pricing power. As a result, investors are asking “what’s different this time?” Of course there is no “answer” but we do have a theory and it centers largely on inflation expectations.īefore diving into that we need to back up and provide a little context. Year-to-date, through the close on, the sector and the S&P 500 both experienced a drawdown, with Consumer Staples underperforming the index by over 4%. The sector also held up well during the more recent market drawdowns in 2011, 2015, and 2016, but this hasn’t been the case so far in 2018. This reputation is well deserved-during the 10 years starting and ending the Consumer Staples sector outperformed the S&P 500® Index by roughly 1.5% annualized with a maximum drawdown of 27.4%, compared to 48.4% for the S&P 500. In the past, the Consumer Staples sector has had a reputation for providing investors with the best of both worlds: market-like returns and defensive characteristics. By Denis Rezendes, Beaumont Capital Management ![]()
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