If an all-long strategy does well in bears, the bull stretches will take care of themselves : )
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Jim, are there any such strategies that perform well in bears that you’d point to?


I ultimately decided that the most reliable quant strategies had very modest goals. My favourite ended up being one dubbed LargeCapCash, created a few years ago.

There are a few slight variants, but a typical one goes like this:
Start with the ~1700 stocks covered by Value Line, considering only those that have a valid/populated "Timeliness" value. Any value will do (they run from 1 to 5), but it has to have one.
Of those, consider only those currently paying a dividend. (optional step, but it improves performance a hair in backtest)
Of those remaining, take the 30% with the highest reported ROE.
Of those remaining, calculate (cash - long term debt) for each firm. Not per-share values, absolute piles of dollars.
Sort on that [cash-debt] figure to find the firms with the largest cash piles.
Buy equal dollar amounts of the top 40 ranked.
Hold for two months then check: sell any position no longer ranked among the top 45, instead buy 1/40th of the portfolio value worth of the highest ranked pick which is not already held.

2000-2024 inclusive, this tested as beating the S&P 500 by several percent per year, having a better return in 78% of rolling years.
As for the issue of bear market resilience, looking at all rolling 6-month stretches that the S&P total return was negative (average -9.5%), the average 6-month return of this screen was +1.4%.
I ran this screen myself with real money for a while. It picks very large rich companies, and the largest allocation is only 2.5% of the portfolio, so you can trust it with quite a lot of money. The goal was to have something like an S&P 500 alternative which picks only companies that are more solid than average, and has a very good chance of at least a couple of percent per year of outperformance over the long run.

Figures from backtests are always suspect, but it has also beat the market since it was created. And it has lower company-specific risk than SPY which has 7 firms with higher allocations.

Jim