Asset Rotation
- hypothetical · Annual Return (Compounded)
- 8.7%
- Max Drawdown
- 14.7%
- Trades
- 16
- Win Trades
- 50.0%
- Profit Factor
- 1.50
- Win Months
- 5.8%
About this strategy
Purpose: The Asset Rotation system is designed to deliver outsized returns for lower volatility through the market cycle using the S&P500 Index as our benchmark.
Performance: Lower historical volatility means a moderate level of leverage (1.7x here) can be deployed such that it would still have been below that experienced by the S&P500. Based on prior years performance, our aim is to attain an average compound annual return of 40% per year, although clearly this cannot be guaranteed. For more details and prior years performance information please see our website at asset-rotation-system.com.
Operation: Having tested literally hundreds of asset rotation systems, our team has come up with a tightly focused list of key asset classes where money is rotated between them according to a proprietary measure of strength that they display. We look to be invested in a small range of diverse assets at any time. A short review is conducted once each month when any changes to the portfolio are made. On average, there have been just 5 trades each year making it very cost effective on this measure and, of course, relatively easy to operate. We have tested the model back to 1973 to our satisfaction.
Price: The price set is a very competitive flat rate of just $9.99 per month which does not reflect the innate value of the Asset Rotation system and proprietary trading signals. This introductory price offer is guaranteed until January 2013 when nearly a full 2 years data will be available for independent review via the collective2 website.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | -0.5 | 4.5 | 1.4 | 8.8 | -3.2 | -5.0 | 4.4 | 5.1 | -4.7 | -1.7 | 3.3 | -2.0 | 9.7 |
| 2012 | 4.6 | 0.8 | -2.5 | -0.1 | -8.5 | 2.5 | 3.2 | 1.3 | -1.2 | -1.0 | -0.9 | 0.0 | -2.6 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 1/6/2011 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 192 months |
| What it trades | Stocks |
| # Trades | 16 |
| # Profitable | 8 |
| % Profitable | 50.0% |
| Avg trade duration | 161.1 days |
| Max peak-to-valley drawdown | 14.7% |
| drawdown period | Sept 06, 2011 - May 18, 2012 |
| Annual return (compounded) | 0.7% |
| Avg win | $744 |
| Avg loss | $563 |
Ratios
| W:L ratio | 1.54 |
|---|---|
| Sharpe Ratio | -0.22 |
| Sortino Ratio | -0.31 |
| Calmar Ratio | 0.21 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.08 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 498.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -23.1% |
Return Statistics
| Ann Return (w trading costs) | 8.7% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.7% |
Slump
| Current Slump as Pcnt Equity | 12.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 29.3% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $563 |
|---|---|
| Avg Win | $744 |
| # Winners | 8 |
| Sum Trade PL (losers) | $4,501 |
| Sum Trade PL (winners) | $5,951 |
| Num Months Winners | 11 |
| # Losers | 8 |
| % Winners | 50.0% |
Dividends
| Dividends Received in Model Acct | 962 |
|---|
Age
| Num Months filled monthly returns table | 190 |
|---|
Frequency
| Avg Position Time (mins) | 231988.52 |
|---|---|
| Avg Position Time (hrs) | 3866.48 |
| Avg Trade Length | 161.10 |
| Last Trade Ago | 5083 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.03 |
| Treynor Index | -0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 4.99 |
| MAE:PL (avg, all trades) | -1.10 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 51.95 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 11.97 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.20 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.34 |
| Hold-and-Hope Ratio | 0.20 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.02 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.01 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 255 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TLT | long | 67 | Jun 1, 2012 | Nov 19, 2012 | ($233) |
| IYR | long | 153 | Apr 4, 2012 | Nov 19, 2012 | $84 |
| IEF | long | 93 | Apr 30, 2012 | Nov 19, 2012 | $277 |
| SPY | long | 76 | Jan 31, 2012 | Nov 19, 2012 | $568 |
| EEM | long | 230 | Feb 29, 2012 | May 31, 2012 | ($1,505) |
| GLD | long | 64 | Feb 28, 2011 | Apr 30, 2012 | $1,695 |
| DBC | long | 341 | Mar 1, 2012 | Apr 4, 2012 | ($215) |
| IEF | long | 96 | Jul 29, 2011 | Feb 29, 2012 | $622 |
| IYR | long | 165 | Jan 31, 2012 | Feb 29, 2012 | ($90) |
| TLT | long | 158 | Sep 1, 2011 | Jan 31, 2012 | $1,203 |
| DBC | long | 306 | Apr 29, 2011 | Sep 30, 2011 | ($1,879) |
| IYR | long | 144 | Feb 1, 2011 | Aug 31, 2011 | ($69) |
| SPY | long | 66 | Jan 6, 2011 | Jul 29, 2011 | $157 |
| GSG | long | 252 | Jan 6, 2011 | Apr 29, 2011 | $1,326 |
| EEM | long | 178 | Jan 6, 2011 | Feb 28, 2011 | ($326) |
| GLD | long | 63 | Jan 6, 2011 | Feb 1, 2011 | ($214) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.