Strategies

Active Strategies

In the table below you will find all the strategies I follow on the blog. The results of the strategy are based on data from January 2000 to the last full month of the current year. The data is updated at the beginning of each month. The table can be freely sorted using the arrows next to the column name. Click on the strategy you are interested in to see detailed statistics.

Nr	Name	CAGR	Max Drawdown	Sharpe Ratio	UPI	Standard Deviation
5	GEM	8,67%	-19,58%	0,57	0,91	11,96%
7	GFM-4	15,66%	-14,41%	1,06	3,12	13,11%
10	GFM-L2-4	19,67%	-18,39%	1,07	2,76	16,77%
12	N-GPM	10,08%	-7,94%	0,98	3,32	8,48%
14	AGG6	9,52%	-10,29%	0,93	2,44	8,30%
15	AGG3	10,09%	-13,36%	0,76	1,68	10,90%
16	GTAA12	7,20%	-13,24%	0,77	1,61	6,97%
17	GTAA5	7,51%	-13,38%	0,83	1,57	6,89%
18	N-PAA	11,18%	-11,24%	0,92	2,87	10,14%
20	VAA-G12-T2-B4	8,92%	-27,50%	0,68	0,82	10,46%
21	VAA-G4-T2-B1	11,18%	-21,79%	1,00	1,44	9,40%
22	VAA-G4-T1-B1	12,64%	-19,66%	0,97	1,70	11,14%
23	DAA-G12-T6-B2	9,98%	-17,49%	0,92	1,71	8,90%
28	DAA-G4-T1-B1	12,60%	-20,14%	0,87	1,37	12,44%
29	L2-DAA-G12-T6-B2	12,82%	-25,47%	0,81	1,39	13,52%
34	L2-DAA-G4-T1-B1	17,35%	-29,84%	0,87	1,30	17,85%
35	L3-DAA-G12-T6-B2	16,20%	-33,21%	0,76	1,30	18,98%
40	L3-DAA-G4-T1-B1	20,06%	-37,73%	0,83	1,13	21,89%
41	The One	15,67%	-18,34%	1,02	2,19	13,63%
42	The One Lev	17,76%	-24,76%	0,99	1,97	16,18%
43	The One Lev 2	25,23%	-24,22%	1,02	2,64	23,00%
44	ID-Defensive	12,35%	-13,52%	1,09	2,97	9,67%
45	ID-Standard	15,18%	-12,84%	1,12	3,23	11,98%
46	ID-Offensive	15,55%	-14,21%	1,12	3,10	12,26%
47	ID-Aggressive	17,30%	-20,04%	1,07	2,61	14,42%
48	ID-Extreme	23,32%	-21,78%	1,19	3,07	18,07%
49	ID-Crazy	25,14%	-25,84%	1,15	2,75	20,26%
50	ID-Classic	15,81%	-14,41%	1,14	3,67	12,31%
51	ID-Classic Lev	19,16%	-14,41%	1,15	3,32	15,12%
52	ID-Extreme 2	20,06%	-19,20%	1,12	2,72	16,32%

Total returns for different time periods

Nr	Name	1m	3m	6m	12m	YTD	3y	5y	10y	20y
5	GEM	-0,81%	-7,56%	-1,8%	12,0%	-5,1%	24,4%	70,1%	82,0%	478,1%
7	GFM-4	1,05%	5,16%	4,9%	20,5%	9,8%	23,6%	82,2%	154,9%	1864,9%
10	GFM-L2-4	1,05%	-0,23%	8,7%	35,1%	6,5%	42,6%	140,7%	258,1%	4660,9%
12	N-GPM	0,41%	0,89%	1,2%	7,6%	3,3%	19,5%	55,4%	129,8%	571,2%
14	AGG6	0,53%	0,12%	1,1%	11,8%	2,8%	11,8%	47,7%	82,1%	534,0%
15	AGG3	-1,15%	-0,44%	0,1%	12,5%	3,8%	9,9%	61,0%	93,9%	729,9%
16	GTAA12	0,33%	1,44%	1,7%	11,0%	4,0%	6,6%	33,2%	54,4%	235,8%
17	GTAA5	2,67%	4,79%	5,5%	17,5%	7,4%	21,8%	38,7%	63,2%	275,3%
18	N-PAA	0,48%	-0,49%	0,0%	11,0%	1,8%	14,8%	71,6%	134,7%	847,9%
20	VAA-G12-T2-B4	1,05%	5,57%	0,4%	9,7%	6,0%	7,5%	21,0%	84,8%	580,3%
21	VAA-G4-T2-B1	1,05%	1,56%	0,2%	5,5%	1,9%	-2,9%	4,8%	51,8%	623,8%
22	VAA-G4-T1-B1	1,05%	-0,24%	-2,0%	5,2%	0,1%	-2,6%	10,4%	53,8%	847,0%
23	DAA-G12-T6-B2	0,72%	0,66%	-1,0%	6,0%	1,0%	4,6%	30,2%	94,0%	573,8%
28	DAA-G4-T1-B1	-0,02%	-1,30%	-3,0%	4,1%	-0,9%	-3,6%	11,7%	39,6%	803,8%
29	L2-DAA-G12-T6-B2	0,72%	-1,64%	-5,2%	2,4%	-1,3%	1,9%	48,4%	131,3%	1023,7%
34	L2-DAA-G4-T1-B1	5,69%	2,25%	-2,6%	11,5%	2,6%	-4,8%	11,2%	122,5%	2540,0%
35	L3-DAA-G12-T6-B2	0,72%	-3,99%	-9,7%	0,6%	-3,6%	-5,3%	63,8%	163,1%	1712,7%
40	L3-DAA-G4-T1-B1	5,69%	0,27%	-7,5%	10,3%	0,7%	-7,4%	14,0%	160,8%	5421,9%
41	The One	1,05%	-5,79%	-5,9%	2,5%	-5,2%	-5,1%	-0,5%	81,8%	1547,8%
42	The One Lev	1,05%	-13,50%	-16,2%	-2,7%	-13,0%	-10,0%	-4,3%	112,0%	2744,0%
43	The One Lev 2	1,05%	-13,50%	-16,2%	-2,7%	-13,0%	-10,0%	2,1%	143,0%	6979,0%
44	ID-Defensive	0,85%	2,45%	1,3%	11,7%	4,5%	12,0%	49,5%	117,9%	958,3%
45	ID-Standard	0,84%	3,85%	3,3%	17,1%	7,6%	17,8%	65,9%	127,8%	1621,6%
46	ID-Offensive	-2,29%	-2,90%	-2,4%	9,7%	-0,2%	17,5%	70,3%	197,5%	1972,6%
47	ID-Aggressive	-5,04%	-8,27%	-7,4%	5,2%	-5,9%	16,9%	81,3%	275,3%	3057,2%
48	ID-Extreme	-5,03%	-16,61%	-13,7%	0,7%	-14,9%	9,4%	68,4%	330,2%	8000,8%
49	ID-Crazy	-6,81%	-20,19%	-17,1%	-2,8%	-18,8%	8,1%	75,1%	415,1%	11990,1%
50	ID-Classic	1,05%	0,72%	0,6%	13,1%	3,6%	11,5%	43,8%	125,3%	1775,9%
51	ID-Classic Lev	1,05%	-5,58%	-1,8%	18,9%	-1,6%	19,4%	68,3%	197,4%	3951,9%
52	ID-Extreme 2	-3,04%	-11,21%	-6,0%	12,2%	-8,0%	21,5%	89,6%	310,7%	5527,6%

Results for VIX-Model and SlowVIX

Available data from 04.2008 except for portfolios with SPXL (from 04.2009) and TQQQ (from 02.2010).

Nr	Name	CAGR	Max Drawdown	Sharpe Ratio	UPI
2	SPY/IEF	14,49%	-26,31%	0,96	2,09
3	SPY/TLT	16,91%	-28,27%	1,01	2,24
4	QQQ/TLT	20,73%	-39,22%	1,08	1,96
5	IWM/TLT	15,80%	-31,58%	0,74	1,31
6	VO/TLT	17,53%	-29,99%	0,96	1,83
7	SSO/TLT	26,84%	-48,33%	0,92	1,85
8	QLD/TLT	33,43%	-64,36%	0,97	1,69
9	MVV/TLT	26,75%	-45,81%	0,76	1,56
10	SPXL/TLT	40,41%	-63,47%	0,96	1,88
11	SPXL/TMF	46,02%	-66,94%	1,00	2,02
12	TQQQ/TLT	44,84%	-81,02%	0,89	1,50
13	TQQQ/TMF	51,71%	-82,34%	0,96	1,68

Nr	Name	CAGR	Max Drawdown	Sharpe Ratio	UPI
2	S-SPY/IEF/TLT/CASH	16,48%	-24,85%	1,01	2,02
3	S-SPY/QQQ/VO/IEF/TLT/CASH	19,01%	-26,64%	1,03	2,02
4	S-QQQ/IEF/TLT/CASH	19,28%	-30,50%	1,03	1,78
5	S-IWM/IEF/TLT/CASH	15,32%	-37,18%	0,72	1,19
6	S-VO/IEF/TLT/CASH	17,10%	-26,73%	0,96	1,81
7	S-SSO/IEF/TLT/CASH	26,26%	-43,05%	0,91	1,73
8	S-QLD/IEF/TLT/CASH	31,31%	-55,87%	0,93	1,56
9	S-MVV/IEF/TLT/CASH	25,62%	-55,71%	0,74	1,39
10	S-SSO/QLD/MVV/IEF/TLT/CASH	30,38%	-47,94%	0,91	1,73
11	S-SPXL/IEF/TLT/CASH	40,30%	-58,19%	0,98	1,89
12	S-TQQQ/IEF/TLT/CASH	40,64%	-75,04%	0,83	1,40
13	S-SPXL/TMF/CASH	49,35%	-65,95%	1,10	2,35
14	S-TQQQ/TMF/CASH	46,72%	-79,61%	0,90	1,61