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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: lizgdal ✶☼  😊 😞
Number: of 6244 
Subject: Re: best way to hedge an SPY portfolio
Date: 11/27/24 5:34 PM
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No. of Recommendations: 7
This is my summary of Aussi's results (from 19780124):

14.1 CAGR and 9.5 DDDD3 with RSP.
18.1 CAGR and 4.2 DDDD3 with 75% hedged about 30% of the time.
20.1 CAGR and 3.0 DDDD3 with final rule.

NHNL was Bearish about 30% of the time, and so I changed what appears to be a typo. Just for reference (from 19780124, no friction):

        Screen         CAGR  SAWR  GSD  LDD  LDDD3  MDD  UI  Sharpe  Beta  TI  AT
SP500EqualWeight 13.6 8.5 20 13 9.7 -60 10 0.58 1.1 10 0
SP500EqualWeight_BCC0 15.1 11.3 16 10 6.3 -39 7 0.74 0.8 14 1
SP500EqualWeight_NHNL 14.0 9.3 12 6 4.8 -21 5 0.85 0.5 21 3


SP500EqualWeight_BCC0 goes to Cash when BCC=0.
SP500EqualWeight_NHNL goes to Cash when NHNL=0.

All of the risk metrics say NHNL is the lowest risk, except SAWR that prefers BCC0. SAWR captures sequence risk, and so there might be some period that was particularly bad for NHNL.

gtr1.net: GTR1 Backtester - SP500EqualWeight(class.a,permco.a,step1)et1
https://gtr1.net/2013/?~SP500EqualWeight_BCC0:h63:...
https://gtr1.net/2013/?~SP500EqualWeight_NHNL:h63:...
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