Balanced stock/cash with full-stock on drop
Maintain constant stock/cash balance (e.g., 75% stock/25% cash).
Take the profit by selling extra stock every time the ratio is out of balance (e.g., by 5%).
Additionally, go full-stock in the case of a major drop (e.g., 40%) and sell back once the stock recovers.
|Investment symbol||Symbol of the stock to be traded|
|Stock holdings portion||Percent of the total portfolio value that is normally allocated to stocks (e.g., 75% of the total value)|
|Stock holdings adjustment step||Percent of the stock/cash allocation imbalance that triggers profit taking by selling of extra stock.
For example, with 5% adjustment step, we will be selling the extra stock whenever the stock/cash ratio swings to 80%/20% to reach the 75%/25% target.
|Decline thresh. to go full-stock||Decline from the stock all-time-high that full cash investment into the stock.
E.g., on a 40% drop of S&P you may want to go full stock.
|Decline thresh. to leave full-stock||Decline from the stock all-time-high that triggers the sale of all extra stock purchased on the drop.
E.g., for 10% we would be selling the same number of shares we purchased on the 40% drop
Invest 75% of the available cash into S&P 500 index ETF (SPY).
Sell extra stock each time the stock-to-cash swings above 80%/20%.
On a 40% drop invest all cash into stocks. Sell the stocks once SPY recovers to -10% from the all-time-high.
Invest for the period of 7 years.
Simulation on a single period
Note: We quote the results for just the most recent 7-year period from 2004-10-09 to 2011-10-08. Review the simulation for other periods.
|Annualized return||2.41%||Compound annual return (CAGR) over the period|
|Max drawdown||-34.32%%||Maximum loss relative to the initial value experienced over the period|
Note: We simulate over all 7-year periods since 1995.
|Percentile 20% of annual return||3.79%||80% of the periods produced this annualized return (CAGR) or better|
|Percentile 20% of max drawdown||-40.6%||80% of the periods experienced this max draw-down (relative to the initial investment) or better|