Current Drawdown Scorecard

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hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

Current Drawdown Scorecard

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

This is the history of drawdowns since 1950 (as of Dec-4/2018):

Image
Last edited by hdas on Sat Dec 08, 2018 3:15 pm, edited 3 times in total.
Stay the course and buy some more.

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smarcus3
Posts: 87
Joined: Sun Nov 18, 2018 9:57 pm
Location: USA

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.

hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

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
Stay the course and buy some more.

columbia
Posts: 1112
Joined: Tue Aug 27, 2013 5:30 am

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

hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

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%
Stay the course and buy some more.

hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

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.
Stay the course and buy some more.

hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

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.
Stay the course and buy some more.

columbia
Posts: 1112
Joined: Tue Aug 27, 2013 5:30 am

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

aristotelian
Posts: 4904
Joined: Wed Jan 11, 2017 8:05 pm

Re: Current Drawdown Scorecard

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

What is "wait time (days)"?

hdas
Posts: 407
Joined: Thu Jun 11, 2015 8:24 am

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%)
Stay the course and buy some more.

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