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:... 