Free Monthly Recap


FREE MONTHLY RECAP

The model’s monthly read, in your inbox.

Once a month we send where the model stands: the market regime, what it’s holding, and what changed. Rules-based, backtested to 2018, free to follow.

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How the model has done

Backtested from 2018 to today, net of trading costs, against a 60/40 benchmark (iShares AOR).

Since 2018 Expanded Model 60/40 (AOR)
Annual return (CAGR)20.6%7.4%
Sharpe ratio1.080.43
Sortino ratio1.500.59
Worst drawdown-15.4%-22.9%
Volatility15.9%11.3%
Calmar ratio1.340.32
Growth of $1 since 2018, Expanded Model versus 60/40 benchmark

Growth of $1 since 2018. Model in blue, 60/40 benchmark in grey. Shaded bands mark market regimes.

Up months captured151%
Down months absorbed70%

It kept 151% of the benchmark’s good months and took only 70% of the bad ones.

Backtested / hypothetical results, net of estimated costs; benchmark shown frictionless. Hypothetical performance has inherent limitations and does not reflect actual trading. Past and hypothetical performance does not guarantee future results. Educational only, not investment advice. See our disclosures.

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