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Asset Rotation

Stocks · Started Jan 2011

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

Background: We were first alerted to the potential of Asset Rotation by Mebane Fabers work. Since that time, we have been researching and testing this field to destruction and we hope anyone who follows us will be as happy as we have been.

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)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2011-0.54.51.48.8-3.2-5.04.45.1-4.7-1.73.3-2.09.7
20124.60.8-2.5-0.1-8.52.53.21.3-1.2-1.0-0.90.0-2.6
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/6/2011
Suggested Minimum Capital$20,000
Age192 months
What it tradesStocks
# Trades16
# Profitable8
% Profitable50.0%
Avg trade duration161.1 days
Max peak-to-valley drawdown14.7%
drawdown periodSept 06, 2011 - May 18, 2012
Annual return (compounded)0.7%
Avg win$744
Avg loss$563

Ratios

W:L ratio1.54
Sharpe Ratio-0.22
Sortino Ratio-0.31
Calmar Ratio0.21

CORRELATION STATISTICS

Correlation to SP5000.08
Return Percent SP500 (cumu) during strategy life498.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-23.1%

Return Statistics

Ann Return (w trading costs)8.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.7%

Slump

Current Slump as Pcnt Equity12.7%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss29.3%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$563
Avg Win$744
# Winners8
Sum Trade PL (losers)$4,501
Sum Trade PL (winners)$5,951
Num Months Winners11
# Losers8
% Winners50.0%

Dividends

Dividends Received in Model Acct962

Age

Num Months filled monthly returns table190

Frequency

Avg Position Time (mins)231988.52
Avg Position Time (hrs)3866.48
Avg Trade Length161.10
Last Trade Ago5083

Regression

Alpha0
Beta0.03
Treynor Index-0.15

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades4.99
MAE:PL (avg, all trades)-1.10
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats51.95
MAE:PL - Winning Trades - this strat Percentile of All Strats11.97
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.20
Avg(MAE) / Avg(PL) - Losing trades-1.34
Hold-and-Hope Ratio0.20

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 Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
TLT long67Jun 1, 2012Nov 19, 2012($233)
IYR long153Apr 4, 2012Nov 19, 2012$84
IEF long93Apr 30, 2012Nov 19, 2012$277
SPY long76Jan 31, 2012Nov 19, 2012$568
EEM long230Feb 29, 2012May 31, 2012($1,505)
GLD long64Feb 28, 2011Apr 30, 2012$1,695
DBC long341Mar 1, 2012Apr 4, 2012($215)
IEF long96Jul 29, 2011Feb 29, 2012$622
IYR long165Jan 31, 2012Feb 29, 2012($90)
TLT long158Sep 1, 2011Jan 31, 2012$1,203
DBC long306Apr 29, 2011Sep 30, 2011($1,879)
IYR long144Feb 1, 2011Aug 31, 2011($69)
SPY long66Jan 6, 2011Jul 29, 2011$157
GSG long252Jan 6, 2011Apr 29, 2011$1,326
EEM long178Jan 6, 2011Feb 28, 2011($326)
GLD long63Jan 6, 2011Feb 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.