Current Drawdown Scorecard

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hdas
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Current Drawdown Scorecard

Post by hdas » Tue Nov 20, 2018 10:25 pm

This is the history of drawdowns (<= -10%) since 1950 (as of Feb-1/2019):

Image

Here are the different paths of <=-20% drawdowns:

Image

Image

Notes:
1. This is SP500 index. Free data from Yahoo! Finance. Not Total Return (this series only has free data since 1988)
2. There's some evidence that the distribution of drawdowns is different from 1950, hence the period of observation
Last edited by hdas on Sat Feb 02, 2019 11:43 am, edited 22 times in total.
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Re: Current Drawdown Scorecard

Post by smarcus3 » Tue Nov 20, 2018 10:36 pm

Shows the power of investing for the long term.
This is my personal opinion. I'm an engineer not a financial advisor.

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Re: Current Drawdown Scorecard

Post by hdas » Wed Nov 28, 2018 7:29 pm

Powerful bounce of all markets. Here's the distance from 252d Min.
Emerging Markets VWO, already 6.7% from it's low of the year.

Code: Select all

VNQ     0.149661
USMV    0.117568
QQQ     0.078492
VWO     0.067067
IJR     0.062593
SPY     0.055432
XLF     0.051902
MTUM    0.042557
XBI     0.040571
EDV     0.036953
IAU     0.033748
VSS     0.022953
VEA     0.019355
VDE     0.012860
JNK     0.009411
LTPZ    0.008447
LQD     0.001796
DBC     0.000654
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Re: Current Drawdown Scorecard

Post by columbia » Wed Nov 28, 2018 9:21 pm

As a tie in to leveraged thread, any takers on a 3x EM ETF?

https://www.barrons.com/quote/etf/us/arcx/edz

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Re: Current Drawdown Scorecard

Post by hdas » Wed Dec 05, 2018 10:11 pm

Tomorrow will be day #53. At the moment -7.87%*** . The median duration is 303 days.
One distinct feature of the current drawdown is that is exhibited the shortest time from peak to peak, or wait time. 237 days.
Most of the big dogs are bearish and talking about a "rolling bear" market. Meaning a longer process. Only the shadow knows.

Be safe out there :greedy

*** Index only doesn't include dividends
*** Measuring drawdowns of <= -10%
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Re: Current Drawdown Scorecard

Post by hdas » Sat Dec 08, 2018 3:21 pm

Looking at 252d returns, only Low Vol Stocks, Nasdaq-100, Momentum, US Reits and SPY are up. Very soon most markets are going to be in sell signal for TS momentum strategies, given their mechanic moving window.

Code: Select all

USMV    0.068364
QQQ     0.059418
MTUM    0.036909
VNQ     0.033593
SPY     0.019494
IJR    -0.006384
DBC    -0.008212
JNK    -0.008381
IAU    -0.015638
XBI    -0.019647
LQD    -0.045253
VDE    -0.045950
LTPZ   -0.058613
EMB    -0.059053
EDV    -0.073792
XLF    -0.079652
VWO    -0.091891
VEA    -0.099230
VSS    -0.119496
In terms of drawdown larger than 20% we have: Emerging Stocks, Biotech and small cap international. Good time to keep accumulating those!!

In the department of "thing that have been doing bad but now have bounced" we have: Long Term Bonds, Gold and US Reits.
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: Current Drawdown Scorecard

Post by hdas » Tue Dec 11, 2018 10:33 pm

Looking at the performance of assets some ideas start developing:

1. It's time to start moving out of Low Vol ETF's and move to the total ETF's
2. It's time to start loading up on small caps, specifically Emerging Markets (EEMS)
3 Large Cap International Ex-US (VEA) is perhaps the most unloved class, but it really is a stinker. I only have a bit of it and most of my exposure is VSS. Looking at VEA vs SCZ, seems like there's never a case to prefer the large cap over small.
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Re: Current Drawdown Scorecard

Post by columbia » Wed Dec 12, 2018 7:14 am

Vanguard 500 since 1985:

Code: Select all

Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
Drawdowns for Portfolio 1 (worst 10)
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.78%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
5	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
6	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
7	Sep 1986	Sep 1986	1 month	Jan 1987	4 months	5 months	-8.31%
8	Feb 1994	Mar 1994	2 months	Aug 1994	5 months	7 months	-6.98%
9	Oct 2018	Oct 2018	1 month				-6.85%
10	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
Worst 10 drawdowns included above

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Re: Current Drawdown Scorecard

Post by aristotelian » Wed Dec 12, 2018 8:00 am

What is "wait time (days)"?

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Re: Current Drawdown Scorecard

Post by hdas » Wed Dec 12, 2018 8:30 am

aristotelian wrote:
Wed Dec 12, 2018 8:00 am
What is "wait time (days)"?
The # days peak to peak between drawdowns (>= -10%)
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Re: Current Drawdown Scorecard

Post by hdas » Tue Dec 18, 2018 12:02 pm

Day 59 of the current drawdown. ~13% --> Remember median (since 1950) is 17% and 300 trading days)

Quick Notes:
- Looking on a 252d basis (1year), only nasdaq100 (QQQ) and US low vol funds are up.
- Biotech and Emerging Market Small caps are down 25% from max
- Long term bonds and US Reits are up ~10% from their respectiv min of the year
- Spread between low vol funds and their market cap siblings is reaching 2016 stress level with alacrity
- Small Caps (IJR - SP600) is down almost 10% in last month.

This is all good news for prospective returns. Cheers :greedy
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Re: Current Drawdown Scorecard

Post by hdas » Thu Dec 20, 2018 8:28 am

Day 61 of the current drawdown. ~14% --> Matching the 2015-2016 drawdown

Quick Notes:
- Only US Low Vol (USMV) is up on 1 year basis. Interesting implications for momentum strategies.
- Biotech (XBI) down 30% from Max
- Long term bonds (EDV), and Gold have behaved as expected in the last 3 months up ~7% and ~4% respectively.
- US Small Caps (IJR) are down ~13% in last 21 days.

The chart of the day goes to the performance of long term bonds (EDV) vs US Stocks (SPY). Very notably, since 2007 both assets have done about the same.

Image
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Re: Current Drawdown Scorecard

Post by ReformedSpender » Thu Dec 20, 2018 9:53 am

Biotech/pharma down big this year (still at quite as bad as 2015 - 2016 election woes). Vanguard Health fund (VHT or VHCIX) still squeaking out a positive return YTD (~4%)

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Re: Current Drawdown Scorecard

Post by hdas » Fri Dec 21, 2018 11:55 am

The day is still young, but looking at SP futures which settle at 15:15 CT:

> The market is down 7 days in a row
> Down 11 of the last 14 days
> Down ~12% in last 14 days.

A remarkable exodus. The forward expectation 12 months out is very bright again. :greedy
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Re: Current Drawdown Scorecard

Post by hdas » Fri Dec 21, 2018 7:22 pm

Day 63 : Down ~-17.5%. --> This is the median of all drawdowns since 1950. For me is time to be more aggressive with my contributions and cash deployment.

Quick Notes:
> There are no major assets or subgroups up on a 1year basis. The best is long term bonds (EDV) down a simdgen and the worst is Biotech.
> Biotech (XBI) and SmallCaps (IJR) are down from their max 35% and 26% respectively.
> The low volatility ETF's have accomplished what they promised.
> Last 10 days have been treacherous, but Long Term Bonds, Gold and Emerging Market Bonds have saved the day.
> One notices Emerging Markets Holding very well in the last 10 days relative to US stocks

Finally, it's worth noting that the median duration of the down phase of the drawdowns since 1950 is 161 days.

Cheers :greedy
Last edited by hdas on Sat Dec 22, 2018 10:03 pm, edited 2 times in total.
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Re: Current Drawdown Scorecard

Post by livesoft » Fri Dec 21, 2018 7:30 pm

hdas wrote:
Fri Dec 21, 2018 7:22 pm
> There are no major assets or subgroups up on a 1year basis. The best is long term bonds (EDV) down a simdgen and the worst is Biotech.
Not including CASH$ as at least a subgroup?

I withdrew some assets from a 529 plan this week and I was surprised it was up YTD.
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Re: Current Drawdown Scorecard

Post by hdas » Fri Dec 21, 2018 8:46 pm

livesoft wrote:
Fri Dec 21, 2018 7:30 pm
hdas wrote:
Fri Dec 21, 2018 7:22 pm
> There are no major assets or subgroups up on a 1year basis. The best is long term bonds (EDV) down a simdgen and the worst is Biotech.
Not including CASH$ as at least a subgroup?

I withdrew some assets from a 529 plan this week and I was surprised it was up YTD.
You are correct. And I also failed to include the volatility complex. VXX is up more than 50%.
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Re: Current Drawdown Scorecard

Post by DorothyB » Sat Dec 22, 2018 10:24 am

Thanks for posting this and keeping it updated!

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Re: Current Drawdown Scorecard

Post by hdas » Sat Dec 22, 2018 12:20 pm

After removing the paths of previous drawdowns that were shallower and shorter than the current one (17.5%, 63 days), we are left with a small number of historical comparisons, see chart:

Image

08/03/1956 -21.47%
12/12/1961 -27.97%
02/09/1966 -22.18%
11/29/1968 -36.06%
01/11/1973 -48.20%
11/28/1980 -27.11%
08/25/1987 -33.51%
07/16/1990 -19.92%
07/17/1998 -19.34%
03/24/2000 -49.15%
10/09/2007 -56.78%


A median drawdown of ~ -21%
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Re: Current Drawdown Scorecard

Post by hdas » Mon Dec 24, 2018 2:04 pm

Day 64 of the drawdown --> We have basically arrived to the 20% (lame media driven mark)

Some notes:
> The median down phase of a drawdown is 151 days and the median loss is -17%. So we are getting there in terms of rank of worst.
> Given the speed of the 20% down move, this drawdown is looking more like July/1990 bear market (S&L) and 1198 (Long Term Capital Management)
> The market is also testing the 200 week moving average around 2348.
> Last reference level is the election day area around 2100.

It's hard to do a more formal quantitative analysis of the paths of these drawdowns, but I do notice a bit of a cluster around 10% mark and then doors open for further decline. The current drawdown is different than all other historical references in that:

1. Broke the 10% mark earlier than 2007, 2000, 1998, 1990, 1980, 1973, 1968, 1966, 1961 and 1956
2. It's very deep relative to it's duration, only second to 1987 and matching 1990

Image
Last edited by hdas on Mon Dec 24, 2018 5:24 pm, edited 1 time in total.
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Re: Current Drawdown Scorecard

Post by dalbright » Mon Dec 24, 2018 2:10 pm

HDAS, I appreciate your ongoing updates to this thread and just wanted to let you know. Thanks!

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Re: Current Drawdown Scorecard

Post by hdas » Wed Dec 26, 2018 6:57 pm

Day 65 >> What a day it was. 4.96% Bounce. So for the moment we are entering the Up Phase of the drawdown. Monday was the min = -19.78% from highs. And the down phase lasted 64 days.

>> The working hypothesis is that the low of the drawdown is behind us and today is day 1.

Quick Notes:
> The Up phase (recovery from min to previous max) has a median duration of 112 days. (min=22, max=1462)
> Biotech, International Small Caps, US Small Caps remain in drawdowns greater than -20%
> Biotech, Nasdaq, US large growth bounced the hardest. See this related timely thread.
> As it should be the case, market cap funds went up more than their low vol siblings. I expect the ratio to mean revert.

See the paths of the most similar drawdowns since 1950:

Image
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Re: Current Drawdown Scorecard

Post by hdas » Sat Dec 29, 2018 3:33 pm

Day 67 >> We don't know yet if the Dec-24th min is going to hold, but that is the working hypothesis. The median recovery time from low, from the sample of most similar (depth, duration) drawdowns is 143 days.

General Observations
> Safe heavens doing what they are supposed to: Long term bond up 7.7% and gold up 5.4% in the last 20 days.
> Emerging Market equity holding well. Seems like ppl are finding value there. The low vol version is even up in the last 20 days.
> Emerging Market Bonds doing well in the short term driven by lower US yields.
> US REIT's showing it's true colors in the last 10 days down 7%

We can classify the opportunity set like this:
>> Deep Value Opportunities: International Equities, specially Small Cap
>> Things that are holding well: Low Volatility US equities, MidCap Growth
>> Things that have been doing great and have gone down in the short term: Momentum US, Nasdaq-100
>> Things really oversold in short term: Nasdaq-100, Biotech

It's worth mentioning that this classification it's looking at cross-sectional performance. I shall look later at each group and compare to it's own volatility and history of drawdowns.

Image
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Re: Current Drawdown Scorecard

Post by TheTimeLord » Sat Dec 29, 2018 3:37 pm

hdas wrote:
Tue Nov 20, 2018 10:25 pm
This is the history of drawdowns since 1950 (as of Dec-28/2018):

Image

Notes:
1. This is SP500 index. Free data from Yahoo! Finance. Not Total Return (this series only has free data since 1988)
2. There's some evidence that the distribution of drawdowns is different from 1950, hence the period of observation
Could you define the calculations for Duration, Wait Time, Down Phase and Up Phase? Is Duration in Trading Days?
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Re: Current Drawdown Scorecard

Post by hdas » Sat Dec 29, 2018 4:09 pm

TheTimeLord wrote:
Sat Dec 29, 2018 3:37 pm

Could you define the calculations for Duration, Wait Time, Down Phase and Up Phase? Is Duration in Trading Days?
Worth noting this is all drawdowns >= -10%

Duration = # trading days it takes to make a new all time high.
Wait Time = #days between "peaks", so for instance the current drawdown peak (Sep-20-2018) - Previous Drawdown peak (Jan-26-2018)
Down Phase = #trading days Peak to trough
Up Phase = #trading days trough to new peak
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Re: Current Drawdown Scorecard

Post by hdas » Thu Jan 03, 2019 9:25 pm

Day 70 >> Today was the first bad day after the tentative low of Dec 24th-2018. Today is day 6 of the bounce.

>> Nasdaq-100 (QQQ) and Large Growth (VUG) are down the most in the short term (10d + 3m)
>> Long Term Bonds (EDV) are up 10% in the last 20 days
>> International stocks holding the best in last 10 days
>> Emerging Market Bonds doing well, including the local currency version (EMLC)
>> Biotech, International small cap and small caps down the most from 252d Max

Code: Select all

XBI     -0.295332
EEMS    -0.254539
VSS     -0.243371
VWO     -0.241118
SCZ     -0.239697
IJR     -0.237303
PDN     -0.235022
This is the updated chart of the current drawdown with it's more similar historical referents.

Image
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Re: Current Drawdown Scorecard

Post by hdas » Sat Jan 05, 2019 10:29 am

Day 71 >> Finally a 10day Max :D . Today is the 7th day of the bounce from the cathartic Xmas bottom. The median recovery time of all drawdowns (<= -10%) is 112 days. And for the big ones (=< -20%) the median is 266 days.

Quick Notes:
>> It has paid well to trust the working hypothesis that the low is in.
>> Emerging Markets, Emerging Debt (local) and Biotech are up the most in the last 10days
>> US Low Volatility and Growth are still up in a 1 year basis
>> High Yield Debt (JNK) holding very well during this turbulent times
>> Looking at different assets/groups in relationship with it's own volatility, using the standard score, the upward move of the last 10 days in most equity markets is >=2 standard deviations above the norm.
>> As expected, these are the things that have bounced the most since Dec 24th:

Code: Select all

XBI      0.146744 > Biotech
PXLG     0.104825 > Large Growth
PXMG     0.090240 > Midcap Growth
QQQ      0.088711 > Nasdaq-100
IJR      0.087043 > Small Caps Blend
This is the updated chart of the current drawdown with it's more similar historical referents:

Image

Cheers :greedy
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Re: Current Drawdown Scorecard

Post by nisiprius » Sat Jan 05, 2019 11:22 am

Attempts to figure out where we are in any part of any supposed bear market, cycle, or what have you seem to me to be very sterile. We'd all love to know how long this will go on, or when to buy close to the bottom, but all the evidence suggests that it's not easy. It's tricky enough hoping to make statistical predictions, but specific predictions of events in progress are... impossible.

For recessions, for example, National Bureau of Economic Research, for example, is not even willing to say that we are in a recession--only after it the recession is over will they say that we were in one. Market cycles can't be any easier than recessions.

To state the obvious, there are many economic, social, and political processes in progress right now that can't be predicted, and that I feel sure will have a casual relationship with the market. For example, we're planning to visit a national park in late spring--any idea whether it will be open?
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Re: Current Drawdown Scorecard

Post by hdas » Sat Jan 05, 2019 11:48 am

nisiprius wrote:
Sat Jan 05, 2019 11:22 am
Attempts to figure out where we are in any part of any supposed bear market, cycle, or what have you seem to me to be very sterile. We'd all love to know how long this will go on, or when to buy close to the bottom, but all the evidence suggests that it's not easy. It's tricky enough hoping to make statistical predictions, but specific predictions of events in progress are... impossible.

For recessions, for example, National Bureau of Economic Research, for example, is not even willing to say that we are in a recession--only after it the recession is over will they say that we were in one. Market cycles can't be any easier than recessions.

To state the obvious, there are many economic, social, and political processes in progress right now that can't be predicted, and that I feel sure will have a casual relationship with the market. For example, we're planning to visit a national park in late spring--any idea whether it will be open?
Thanks for the feedback. I understand and respect your personal belief. However, one takes a different approach: Observation, quantification, testing and adaptation as the basis for human progress can yield something useful in market related endeavors without excessive reliance on prediction, just common sense and discipline. From your posts, I gather you have successfully aligned your investing strategy to your temperament and interests. It's commendable, that's the first step: "know thyself". Cheers :greedy
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Re: Current Drawdown Scorecard

Post by hdas » Wed Jan 09, 2019 8:50 pm

Day 74 >> Magnificent 10 day bounce, we retraced ~50% of the whole drawdown. Some quick notes:

1. The impressive move it's going to encounter some technical/psychological resistance around the big round 2600 number.
2. The biggest 10 day winners in order: Biotech and US Growth (All sizes). Ppl in this forum hate growth. I like it. Large Growth is up on 1year basis (8.5%)
3. As expected low volatility funds under performed their market cap siblings. However most of the Low Vol funds are up in a 1 year basis.
4. The 20 day shows a different picture: Emerging markets, Emerging Market Bonds and Long Term Bonds leading.
5. The 3 month shows the extent of the damage better: Small Cap Value and Commodities are faring the worst. Emerging Markets are up.
7. VXX ETF horrendous -93% showing in last 5 years contrasts with being up 58% in the last year.

When looking at the performance of funds relative to it's own volatility (last 10 years), using the standard score, there are a few highlights:

>> The short term US treasuries (SHY) move is significant in almost all time-frames.
>> Mid-cap Value is down 2 standard deviations in 1 year time-frame
>> Emerging Market Debt (local), seems to be out of the woods, at least looking at the 3 month performance.
>> Dollar (UUP) just had a 3SD down move in the last 10 days. Seems like expectations of fed softening were priced quick.
>> I think international markets are safer now for ppl who don't like to catch bottoms.

The next task is to look at the prospective distribution of returns conditional on this high/low standard scores.
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Re: Current Drawdown Scorecard

Post by hdas » Wed Jan 16, 2019 8:20 pm

Day 79 >> Finally we are at a 20day Max, event not seen since Sep 20 -2018.

Quick Notes:

> Market has regained a lot of composure and VIX is finally below 20.
> The more they cry about Emerging Markets, the better......Up 5% in a 3 month basis vs -4% for US Market. Thucydides lives!.
> Low Volatility Mid Caps, Up in a 3 month basis
> 1 Year Momentum likes: Low Volatility, US Growth, Fixed Income, US Real Estate, US Dollar.
> Value Oriented folks like: Commodities, Emerging Market Bonds (Local), Gold.

Bonus chart: Funds flow seasonality

Image

Cheers :greedy
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Re: Current Drawdown Scorecard

Post by hdas » Thu Jan 17, 2019 7:02 pm

Day 80 >> Perhaps we are getting a bit ahead of ourselves. Spu exploded on some rumors just on time for Option Expiration tomorrow :twisted:

Quick Notes:

> We seem to be following the 1998 LTCM drawdown template.
> The market closed above the ominous 50 day moving average. VIX has been cut in half since the Xmas bottom.
> The market is fixated in two themes: US Growth still up on 1yr basis and Emerging doing extremely well on 3 month basis.
> These are the top 5 performers after 16 days of beautiful action:

Code: Select all

Ticker             	Bounce   Drawdown
-----------------------------------------
Biotech (XBI)		25.96	-18.46
US Midcap Growth (PXMG)	17.67	-11.81
US Small Growth (VBK)	17.05	-13.34
US Large Growth (PXLG)	16.57	-10
US Small Value (IJS)	16.24	-16.03
On a 1 year basis, momentum is chasing this:

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Ticker             1Yr Performance
-----------------------------------------
US Dollar (UUP)		8.95	
US Midcap Growth (PXMG)	8.38	
US Small Low Vol (SMMV)	4.93
US Midcap Low Vow (XMLV)4.69	
US Reits (VNQ)		4.38	
Cheers :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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hdas
Posts: 822
Joined: Thu Jun 11, 2015 8:24 am

Re: Current Drawdown Scorecard

Post by hdas » Sat Jan 19, 2019 4:11 pm

Day 81 >> VIX 17.80

> US MidCap Growth, US Reits, US High Yield Bonds and US Low Vol Stocks are above it's 200 day Moving Average
> Interesting to note the subdued performance of Momentum (MTUM) and Nasdaq100 (QQQ)
> These are the Top 10 of YTD returns

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Biotech XBI			16.21
US Midcap Growth PXMG		11
US Small Value IJS		10.72
US Small Growth VBK		10.42
US SP600 IJR			9.51
US Small Multifactor SMLF	8.49
US Midcaps VO			8.37
US Large Growth PXLG		7.89	
US Midcap Value VOE		7.89	
US Multifactor VFMF		7.87
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Topic Author
hdas
Posts: 822
Joined: Thu Jun 11, 2015 8:24 am

Re: Current Drawdown Scorecard

Post by hdas » Sun Jan 27, 2019 2:09 pm

Day 85 >> VIX 17.42

> We are about 1/3 of the median length of drawdown, until new highs.
> Midcap Growth up 10%+ on 1 yr basis
> Emerging Markets (in its diff flavors) up 8%+ on 3 month basis

Let's look at some ranks:

1.) YTD

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Biotech XBI			14.8
US Midcap Growth PXMG		12.49
Value Factor VFVA		12.4
US Small Value IJS		10.71
US Small Growth VBK		10.68
US Small Multifactor SMLF	9.58
2. Above 200d Moving Average

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Gold IAU			3.78
Emerging Bonds Hedged EMB	3.41
US Real Estate VNQ		3.19
Emerging Bonds Local EMLC	2.82
Long Term Bonds EDV		2.79
US Midcap Growth PXMG		2.52
Emerging Value FNDE		2.15
Long Term Corporate Bonds LQD	2.14
Emerging Low Volatility EEMV	1.92
Short Term Active PIMIX		1.78
International Real Estate VNQI	1.13
Junk Bonds JNK			1.12
Low Vol Midcap XMLV		1.05	
US Low Vol USMV			0.94	
Global Low Vol ACWV		0.56
Emerging Stocks Hedged HEEM	0.36
Cheers :greedy
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Topic Author
hdas
Posts: 822
Joined: Thu Jun 11, 2015 8:24 am

Re: Current Drawdown Scorecard

Post by hdas » Sat Feb 02, 2019 11:56 am

Day 90 >> VIX 16.14

YTD

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XBI	15.28
PXMG	15.16	
VBK	13.63	
VNQ	13.61	
VFVA	11.78	
3M Momentum

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DGS	9.44
EMGF	10.66	
VWO	8.36	
PXMG	15.16	
EEMS	5.89	
1Y Momentum

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PXMG	15.16	
VNQ	13.61	
XMLV	9.14	
SMMV	7.58	
USMV	6.83	
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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