This is the trading record of my Trend Model signals, whose weekly published history began on December 31, 2013. The trading signals are not backtested and they are out-of-sample signals. However, the reported portfolio returns are purely hypothetical and do not represent the performance of any account, In other words, your own mileage will vary.
The return calculations shown are based on the following assumptions:
- The instrument traded is SPY for equity exposure and IEF for fixed income exposure.
- Returns are total returns, which includes all dividends and distributions. In the case a dividend or distribution is issued, we assume a re-investment into the same instrument.
- Execution is done at the closing price on the day after the publication date of the signal.
- There are no commission costs.
- The account targets the following weights based on Trend Model signal:
- Buy: 80% SPY, 20% IEF
- Neutral: 60% SPY, 40% IEF
- Sell: 40% SPY, 60% IEF
- The account is re-balanced to target weights on a weekly basis.
- The benchmark consists of a passive holding of 60% SPY and 40% IEF, re-balanced weekly.
A chart of the history of the account, the 60/40% benchmark, and the relative performance of the account against the benchmark is shown below. As the chart shows, the model portfolio has managed equity-like returns with 60/40 like (or better) risk.
Latest Performance (to 30-Aug-2021)
Last month: Model 2.5% vs. 60/40 1.7%
Last 1 year: Model 23.0% vs. 60/40 18.1%
Last 2 years: Model 21.9% vs. 60/40 17.4%
Last 3 years: Model 18.1% vs. 60/40 14.5%
Last 5 years: Model 15.1% vs. 60/40 11.8%
YTD: Model 18.0% vs. 60/40 12.8%
2020: Model 19.7% vs. 60/40 16.1%
2019: Model 22.3% vs. 60/40 22.6%
2018: Model 1.9% vs. 60/40 -2.7%
2017: Model 17.4% vs. 60/40 13.8%
2016: Model 13.9% vs. 60/40 7.9%
2015: Model 2.5% vs. 60/40 1.4%
2014: Model 14.2% vs. 60/40 12.2%
Please take note. Your own mileage will vary.