Post #2829 by lizgdal on the Mechanical Investing board

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Investment Strategies / Mechanical Investing ❤

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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.

https://gtr1.net/2013/?~SP500EqualWeight:h63::sp50...(class.a,permco.a,step1)et1
https://gtr1.net/2013/?~SP500EqualWeight_BCC0:h63:...
https://gtr1.net/2013/?~SP500EqualWeight_NHNL:h63:...

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