This model is similar to our iM-BestogaX-5 System which is partially hedged by shortening SSO. But the underlying component models of the iM-BestogaX-5(SDS) System use a long SDS hedge instead of short SSO. The Trader model is partially hedged long 60% SDS, and the Investor model long 40% SDS.
Historic simulated performance
In the Figure-1 below, the red graph represents the simulated performance of the model and the blue graph shows the performance of the benchmark SPY.
- This combination model shows a simulated annualized return of 32.3% from January 2000 to April 2016, and maximum drawdowns would have been -16.9% in the year 2000.
Return and risk figures for this combination model are shown in the table below.
The simulated trading performance of the system from Feb-2014 to Apr-2016 is shown in Figure-2 below. The total return would have been 92% with maximum drawdown of -9.0%. It is apparent that the model continued to perform well during the period when returns for the general market were stagnant, or lower.
Figure-3 shows performance from Jan-2000 to Dec-2015. The green graph is the performance ratio of the BestogaX5-System to SPY. A rising slope of this graph indicates when it outperformed SPY; it produced about 48 times the value to December 2015 which one would have had from a buy-and-hold investment in SPY over the same period.
Calendar year performance shown in Figure-4 ranged from a maximum of 54% for 2009 to a minimum of 5% for 2008. There would never have been a loss over any calendar year. All annual returns exceeded those of the benchmark SPY.
Rolling 1-year returns
Figure 5 shows the rolling 1-year returns starting each trading day from 2000. The minimum return over 12 months would have been 1.4% and the maximum about 60%. Also shown is the hedge ratio which varied from about 20% to 50% of portfolio value when the model was hedged.
Distribution of Monthly Returns
Figure 6 shows the distribution of monthly returns. There were a total of 192 months in the period under consideration. The BestogaX5-System produced positive returns during 134 months and only 58 months had negative returns. SPY had 81 months of negative returns.
Also shown are the maximum drawdowns during each calendar year. The highest D/D of -16.9% occurred in the year 2000.
Following the Model
As the performance of the iM-BestogaX-5(SDS) System is very similar to the iM-BestogaX-5 System we will not publish detailed performance reports. The long hedging strategy can be followed using the table below, which shows the percentage allocation of capital invested in the BestogaX-models and SDS.
All results are presented for informational and educational purposes only and shall not be construed as advice to invest in any assets. Backtesting results should be interpreted in light of differences between simulated performance and actual trading, and an understanding that past performance is no guarantee of future results. All Systems should make investment choices based upon their own analysis of the asset, its expected returns and risks, or consult a financial adviser. The designer of this model is not a registered investment adviser.