Performance
A smooth, steadily climbing performance chart: As you can see from this chart that runs from the strategy's inception on July 1, 2006-to-Present, the S&P Dynamic 500 Bull/Bear Strategy provides a steady and consistent upward assent in its equity curve. The S&P 500 Dynamic Bull/Bear Strategy carefully and consistently identifies the market's regime – whether expansionary or contractionary – or something in between, and selects the optimum S&P 500-based ETF for conditions.
The choices are bullish conditions (using SPY), extremely bullish conditions (using SSO), sideways and volitile (using a short-term Treasury ETF, SHY), bearish (using the inverse ETF, SH), or extremely bearish (using the -2x leveraged ETF, SDS). The S&P 500 Bull/Bear Strategy's performance is shown by the red line while its benchmark, the S&P 500 index, is displayed by the blue line.
Performance Chart
STRATEGY PERFORMANCE - SINCE INCEPTION (July 1, 2006 - Present)
KEY: The blue line shown as the benchmark is a buy-and-hold of the SPDR S&P 500 (large-cap) ETF (SPY).
The red line shows the "S&P 500 Bull/Bear Strategy's" performance since inception.
The advantage of combining two uncorrelated asset classes is that you benefit from a significant drop in volatility with only a minor loss of performance, and a dramatically improved risk-adjusted return. This strategy provides the best Sharpe Ratio (a measure of
risk-adjusted return) of all our strategies, at 1.69. Its Sortino Ratio (another measure of risk-adjusted return that compares the return to the investment's downside volatility only) is an exceptionally high 2.34 - the second-highest of our strategies (just behind our conservative Adaptive Fixed Income Rotation Strategy).
You Can Get This Performance Today
With a compound annual growth rate of about 30%*, this easy-to-use, 1-ETF strategy nearly quadruples (387%-times) the average return of its benchmark (the S&P 500 index), and according to data provided by Morningstar, outperforms 100% of mutual funds in the last 3, 5, 10, and 20 year periods. Since inception in July 2006, the S&P 500 Bull/Bear Strategy has outperformed its benchmark every year since inception and has never experienced a money-losing year.
Description & Statistics
The S&P 500 Bull/Bear Strategy continuously selects the optimum S&P 500-based ETF (of a universe of 5 ETFs) for conditions, with trades taking place about every 2.01 months, on average. The S&P 500 Bull/Bear Strategy strategy is equipped with an effective defense against severe downturns (using cash and/or inverse S&P 500 ETFs when appropriate), and dramatically enhanced performance during market rallies from the 2x-leveraged S&P 500 component. These decisions are determined using a 24-data-set quantitative decision matrix that produces sophisticated analysis and highly robust signals. As a result, the S&P 500 Bull/Bear strategy generates a very steady return of about 30% per year.
In fact, during the Financial Crisis that began in 2008 and saw US stocks plummet -56% in 18 months – a loss which then required another 3-1/2 years to recover – this strategy lost nothing and instead, generated an annualized return of 33.69% throughout (learn more). As a result of producing profits when the market declines, this model also has an exceptionally high Risk-Adjusted Return, with a Sortino Ratio of 2.13 (compare to the S&P 500 Sortino ratio at 0.76).
S&P 500 Bull/Bear (1 ETF) Strategy
KEY STATISTICS SUMMARY
Inception: June 30, 2006
Rebalance Frequency: Weekly
Average Position Hold Time: 39.92 market sessions (about 1.99 months)
Nearest Benchmark: SPDR S&P 500 Index ETF (SPY)
PERFORMANCE*
Annualized Return (since inception): 30.88%
Last Year's (2017) Return: 37.89%
1 Year Return: 23.68%
3 Year Return: 91.79%
Total Return since Inception: 2,523.99%
Benchmark Return since Inception: 187.77%
Financial Crisis & Recovery Return: 369.79% (see "Financial Crisis Performance' below)
Percentage of Winning Trades: 69.64%
Biggest Winner, Biggest Loser: 59.29%, -13.21%
Winning Trades Held for: 46.75 Days
Losing Trades Held for: 21.39 Days
*Past performance is not necessarily indicative of future returns.
RISK
Number of Money-Losing Years: ZERO
Number of Years Outperforming the S&P 500: 12 of 12
Strategy's Average Annual Max Drawdown (AAMDD): -13.26%**
Last Year's (2017) Max Drawdown: -4.23%
Benchmark (S&P 500) Max Drawdown (since inception): -55.19% (in 2008-2009)
Standard Deviation: 16.51%
RISK-ADJUSTED RETURN (Higher is better)
Sharpe Ratio - Since Inception: 1.52 (Compare to Benchmark at 0.61)
Sharpe Ratio - Last 3 Yrs: 1.87 (Compare to Benchmark at 1.46)
Sortino Ratio - Since Inception: 2.16 (Compare to Benchmark at 0.80)
Sortino Ratio - Last 3 Yrs: 2.58 (Compare to Benchmark at 2.14)
(Our abbreviated name for this strategy is "SP500-BB")
Make This Performance Yours!
*Past performance is not necessarily indicative of future returns. **Average Annual Max Drawdown (AAMDD) is the average of the deepest drawdown each year since inception, which we believe is the best representation of the peak-to-trough declines you might experience as a subscriber.
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Turning Market Losses into Your Gains
Outperformance is nothing if it isn't accompanied by downside protection when the market begins to slide. After all, who wants an aggressive investment approach that produces an excellent performance when stocks are rising – but loses it all (and perhaps more) when conditions turn negative? (There are already far too many investment approaches that match that noxious description.)
However, your S&P 500-based quantitative investment strategy will provide you with protection from loss whenever the risk of a significant market decline occurs. The S&P 500-BB Strategy has never lost money during any year since inception, and has consistently produced a substantial return, year after year.
DURING RECESSIONS AND OTHER DOWNTURNS
Because the strategy is programmed to automatically switch to the optimum S&P 500-based ETF for all possible conditions, it consistently analyzes well-established drivers of investment performance and rotates its S&P 500-based holding to the optimum position. When conditions turn significantly negative, as occurs during economic recessions, this strategy is programmed to rotate first to a cash-proxy, the iShares 1-3 year Treasury Bond ETF (SHY), thereby eliminating any risk there might be of incurring a substantial loss. If conditions continue to deteriorate and turn moderately negative, the strategy will switch to the ProShares Short S&P 500 ETF (SH), and if extremely negative, to the ProShares UltraShort (-2x-leveraged) S&P 500 ETF. This approach has provided exceptionally high profits during significant market declines, such during as the Financial Crisis in 2008-2009. (Please see the next section showing the Financial Crisis for details.)
DURING EXPANSIONS
Then, when economic and market conditions begin to recover coming out of a recession, the S&P 500-BB strategy rotates first to the S&P 500 SPDR (SPY) ETF, and then, if conditions are robust and continue to accelerate, to the ProShares 2x-leveraged S&P 500 ETF (SSO). Always selecting the optimal S&P 500-based ETF selection at any given time produces a phenomenal overall performance with infinitesimally small risk of losing money in any given year (as long as you stick with the staratgy and don't sell on a temporary downturn).* However, that risk does not go away entirely, and no matter how small, you should be aware that you can always lose money when investing in equities.
In the next section, you'll see how this strategy switched to cash just before the Financial Crisis downturn – losing no principal at all – while many investors lost more than half of their life's savings. When the recovery got underway, the S&P 500-BB Strategy entered an incredibly profitable stretch in which it appreciated 280% while investors in other investments were struggling to reach breakeven for full years, gaining 0% in all that time – virtually dead money for 55 long months.
Get Protection from Market Losses
Financial Crisis Performance
To demonstrate how this strategy protects you from severe market losses and achieves strong performance, the best example we can provide is the Financial Crisis, when the S&P 500 benchmark plummeted throughout all of 2008 and into the first quarter of 2009, losing -54% of its value. Meanwhile, the ETFOptimize S&P 500-BB Strategy first switched to a cash proxy ETF during the downturn, then consistently rotated to the optimum inverse ETFs as stocks declined and outperformed the market by a huge margin.
We show the story in two charts:
The Left Chart below presents the 2007 High to Financial Crisis Bottom. These developments began at the early-December 2007 high just before the downturn, until the lowest point at the Financial Crisis trough on March 9, 2009. You can see that the S&P 500-BB Strategy was climbing the entire time the market was declining – not dipping more than -6% at any time during the crisis – and providing an outperformance of 145% (90% + the 55% downturn of the benchmark).
The Right Chart below shows the entirety of the wild tale – from the Beginning of the Financial Crisis through the Recovery – progressing until some 63 months – 5 long years and 3 months later – when the benchmark finally recovered the -55% loss it suffered at the depths of the Crisis. By the time investors in the S&P 500 benchmark got back to breakeven (0%) after more than five seemingly endless years, our S&P 500-BB Strategy had produced a phenomenal return of 403.93% for subscribers – never losing a dime throughout the entire Financial Crisis and instead, making money every single year of those 5.25 years and turning every $1 invested into $5!
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2007 High to Financial Crisis Bottom – From the December 2007 high just before the Financial Crisis began to its low on March 9, 2009, this strategy's benchmark, the SPDR S&P 500 ETF (SPY) lost -55%. During the same period, our S&P 500 Bull/Bear (1 ETF) Strategy had already switched to cash from its long position – before the start of the downturn. Then it correctly anticipated the worst market selloff since the Great Depression, and strategy subscribers sat peacefully in cash, watching the crisis unfold without a worry about their financial security. |
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Financial Crisis & Recovery – This strategy's benchmark, the S&P 500 index, descended from its December 2007 high (just before the Financial Crisis) through its low on March 9, 2009, and lost -55%. Then, as shown in the chart above, stocks began to gain ground and It required until March 4, 2013 (48 months) to finally recover that enormous loss. During all that time, investors in the S&P 500 had 'dead money,' and struggled to breakeven for 5.25 long years, while our S&P 500 Bull/Bear Strategy was produced a return of an amazing 404% – 36% Annualized!
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Eliminating significant market declines – and the recovery time required – is one of several ways this ETFOptimize strategy produces considerable outperformance. However, it is also generating substantially greater-than-market performance when conditions are bullish. During long bull rallies, when conditions are safe, this strategy will hold the 2x-leveraged S&P 500-based ETF (SSO).
Our sophisticated ETF strategies produce highly accurate timing signals that rotate to the appropriate ETF for conditions, resulting in a very steady equity curve, consistent gains regardless of what the market is doing, and elimination of undue drama – providing you with an investment service that not only has generated a return that is more than 13 times the S&P 500 return over the same time period, but substantially reduces the stress that can haunt an investor's night whenever market conditions get volatile.
Make Money During Crashes
Year-by-Year Performance Detail
As millions of investors and their advisors become concerned about changing economic indicators or the latest threatening headline, not knowing what the future holds, subscribers to the S&P 500 Bull/Bear (1 ETF) Strategy can sit back and just ignore all that noise. The S&P 500-BB Strategy assesses as many as 28 different data sets each weekend and determines the optimum ETF to own for any type of economic and market condition that can affect stocks, bonds, and alternatives.
Our S&P 500 Bull/Bear (1 ETF) Strategy has provided subscribers with profits every single year since inception, regardless of the performance of the economy or the stock market. This may be the most impressive benefit of all for those who lived through the Financial Crisis of 2008-2009 and lost a substantial amount of money (or felt the intense stress of a potential loss): i.e., the S&P 500-BB Strategy has never experienced a money-losing year! Furthermore, the strategy has outperformed its benchmark every single year since inception).
The tables and chart below provide both a numeric and a graphic presentation of the annual performance of the S&P 500-BB Strategy since its inception in July 2006.
The 'Performance by Calendar Year' table below shows the following data...
• This Model's annual performance on the top line,
•
The Benchmark's performance on the middle line, and the
• The 'Excess' performance or outperformance of the S&P 500-BB Strategy over its Benchmark on the bottom line.
From the top line, you can see that the S&P 500-BB Strategy provided healthy, positive annual returns in each calendar year since its inception in mid-2006 with an average annual return of about 36%. From the bottom line, you can see that the S&P 500-BB Strategy also outperformed its S&P 500 benchmark every year (with an average outperformance of more than 24% per year). All other years provided significant outperformance, at a rate that averaged more than 25% per year (see 'Alpha %' below).
The 'Yearly Returns' bar chart below shows a graphical interpretation of the data above. Notice from the strategy's performance bars (red) that it has been profitable every year (indicated by all red bars being above 0%), and in every year, the strategy (red bars) outperformed its benchmark (indicated by red bars being above the blue bars), most years significantly. 2018 is turning out to be a difficult year for stocks, yet the S&P 500-BB strategy has provided a return at the half-way mark of more than 10% – which is more than triple the S&P 500's return to this point.
The S&P 500 Bull/Bear (1 ETF) Strategy's annual performance is shown by red bars and its benchmark return is shown by blue bars.
The outperformance of the S&P 500 benchmark was relatively small in 2006 and 2007, but very significant in 2008 (outperformance of 69.62%), 2010 ( 32.45% gain), 2017 (38.72%) and in 2009, when the strategy produced a gain of 63%, which was 36.65% more than its S&P 500 benchmark. Again, while the chart shows that 2018 has been an anemic year to date, animal spirits are building and with corporate profits at conspicuously high levels, we expect this strategy could take off as the second half of the year progresses.
Make This Performance Yours
Risk Measurements
One of the most important criteria for selecting any investment approach is its 'Risk-Adjusted Return,' which is usually assessed by the Sharpe Ratio or the Sortino Ratio measures. These two metrics show the ratio of an investment's performance to its volatility (which is called its 'risk' in the investment world). Notice in the table below the dramatic outperformance of this strategy when
those two ratios are compared to the strategy's benchmark - a buy-and-hold approach with the widely used 70-30 weighted S&P 500 /Total Bond (SPY/BND) ETF combo.
Since the inception of this strategy in 2006, the Sharpe Ratio (or "risk-adjusted return") of the SPY benchmark is 0.60 – compared to a ratio of 1.45 for the S&P 500-BB strategy. For perspective, most “good” investments produce long-term annualized Sharpe ratios that fall between 0.5 and 1.0, and the S&P 500's long-term Sharpe ratio is about 0.40. Even more impressive is the S&P 500-BB Strategy's Sortino ratio (which measures the return against downside volatility only), which is 2.18 since inception, compared to the SPY benchmark's Sortino ratio of just 0.77. In the last 3 years, the S&P 500-BB strategy's risk-adjusted return ratios are even higher at 2.00 and 2.77, respectively.
You can also see from the last entry at the bottom of the table showing Alpha % that this strategy outperforms its market benchmark by an average of about 20% per year. Compare this to Warren Buffett (with a net worth of more than $80 billion and one of the wealthiest men on the planet, is considered to be the world's most successful investor of all time), who has attained a long-term Alpha of 9.86%. So you'll legitimately be able to say you are outperforming Warren Buffett for as long as you stick with this strategy!
*Note: All figures quoted above are based on their status at the time this section was written. While the numbers will change slightly week to week, the overall thrust of the text remains accurate – this strategy has a very high absolute performance very high risk-adjusted-return.
Get Exceptional Risk-Adjusted Returns
STRATEGY UNIVERSES
The S&P 500-based Bull/Bear Strategy selects from a 5-ETF S&P 500-based Universe that consists of the following ETFs (displayed from most bullish to most bearish):
• ProShares Ultra (2x) S&P 500 ETF (SSO) - provides leveraged (2x) tracking of the S&P 500 for robustly bullish conditions
• SPDR S&P 500 ETF (SPY) - the first ETF ever created (1993), it tracks the S&P 500 index during bullish conditions (no leverage)
• iShares 1-3 Year Treasury Bond ETF (SHY) - this ETF is used as a proxy for cash during sideways or unpredictable conditions
• ProShares Short (-1x) S&P 500 ETF (SH) - tracks the inverse of the S&P 500 index for use during lengthy bearish conditions
• ProShares UltraShort (-2x) S&P 500 ETF (SDS) - tracks the -2x leveraged inverse of the S&P 500 during extensive, extremely bearish conditions
Some investors who are fairly new to ETF investing wonder if the ETFs in these universes have enough trading volume to accommodate their investment dollars. When they see low daily average volume figures for some ETFs, they become greatly concerned that it will mean they cannot sell the position when it comes time (as can occur with low-volume stocks). However, you cannot compare the daily avg. volume of an ETF to the daily avg. volume of individual stocks. They are entirely different animals. Please read this
resource article for information on ETF trading volume and liquidity considerations.
For investment (not trading) purposes, investors should have no problem entering and exiting the ETFs in these universes. While you may not be able to get an instantaneous fill on each trade, ETFs used for investment purposes (as opposed to more rapid-fire trading purposes) can accommodate individual investors with a relatively large personal portfolio of up to $20-$30 million. If you are investing more than $5-$10 million in any one ETF transaction, please contact us for suggestions on how to optimize your fill prices.
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Benefits of This Strategy
Consider the Many Advantages that Accompany This Strategy...
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STEADY, EXCEPTIONALLY STRONG PROFITS: Selecting a single ETF (from a Universe of five S&P 500-based ETFs) based on the largest, most popular and prolific market index (the S&P 500), this quantitative strategy always rotates to the optimum position, providing you with consistently exceptional performance regardless of market conditions. With an annual return of about 30% and an excellent risk-adjusted return, the S&P 500 Bull/Bear Strategy rewards users with an investment approach that never significantly dips and never incurs a money-losing year. The S&P 500 Bull/Bear Strategy's 3-year Sharpe Ratio at 1.85 (S&P 500's Sharpe is 0.60) is one of the highest of all our strategies, indicating that this approach produces outstanding returns compared to relatively low volatility. The S&P 500-BB strategy also has a Sortino Ratio (performance relative to downside volatility-only) of 2.13 since inception and an amazing 2.77 in the last three years, which is truly exceptional (considering that the S&P 500 ETF (SPY) has a Sortino Ratio of just 0.77).
PROTECTION DURING DOWNTURNS: When significant market declines begin to take place, this strategy offers a very effective defense: it switches to cash. That is, when the strategy's quantitative algorithms determine that a significant economic contraction is beginning – before stocks start to slide with alacrity – this strategy will have already rotated to the iShares 1-3 Year Treasury Bond ETF (an ETF proxy for cash). If conditions continue to worsen, it switches to the ProShares Short (-1x) S&P 500 ETF (SH), which tracks the inverse of the S&P 500 index. If conditions become extremely abysmal, the strategy will rotate to the ProShares UltraShort (-2x S&P 500 ETF (SDS), which tracks the -2x leveraged inverse of the S&P 500 during extensive, extremely bearish conditions.
Then, when underlying fundamentals and technical measures signal that conditions have turned favorable, the S&P 500-BB Strategy will automatically switch to the long S&P 500-based ETF (SPY) – and if the upturn in conditions is exceptionally robust, the 2x-leverage version (SSO) will be used, which provides performance that is double the return of the S&P 500 index. Since the S&P 500 is an index of America's largest, most well-established corporations, this 2x-leveraged ETF based upon that index is very stable and consistent. The excellent, steady performance of this S&P 500-based strategy provides you with a sample of we can expect going forward, regardless of what the future may may throw at the markets.
UNEMOTIONAL, EFFICIENT INVESTMENT DECISIONS: Having a proven, mathematically driven investment system working for you allows you to ignore the financial media, with its click-bait pessimistic market outlooks, coffee-fueled TV shysters, and hype-reliant internet hooligans that attempt to lure you into their own capricious agendas that surreptitiously hijack your wallet. Instead, your weekly ETFOptimize Strategy Update will provide you with the accurate intelligence you need about your strategy's performance for the last week, month, and year, detailed documentation of trades when they occur, and a comprehensive set of statistics so you can quickly check your progress toward achieving your financial goals. You also get a weekly review of market conditions that will prepare you for what's coming in the next five sessions and more. Subscribers can sleep soundly knowing that their strategy is always selecting the optimum positions for conditions and perhaps most advantageous of all – knowing that by design, there is virtually no risk of losing money in any given year.*
EASY TO USE: With the ETFOptimize strategies, activity is infrequent, with 3.83 months between trades. For this strategy (S&P 500 Bull/Bear), the average hold time is 40.27 business days or about 2.01 months. When a transaction occurs, you get clear recommendations that you can quickly execute with the click of a button at your broker's website. For investors who want to become familiar with each position, we provide a link to complete background data and relevant news for each ETF selected for use by the strategy.
The ETFOptimize strategies are unquestionably a breakthrough in the investment world – providing what legitimately may be the easiest way to attain substantial wealth through consistent compounding – with minimal risk. For investors, they can be the "Holy Grail" – a simple, proven investment approach that significantly gains ground through both bull markets and bear markets alike.
Your Subscription Includes...
You get all the following features with your S&P 500 Bull/Bear Strategy:
1) Strategy Updates – Every Sunday evening (by 7PM EST) each Strategy Status Page will be completely revised with your model's freshly updated documentation, including complete Performance Details and Statistics for both current holdings and the overall strategy. This ensures you have the latest performance information to keep you abreast of the profits you're accumulating toward achieving your financial goals – and much more....
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All this for...
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2) Trade Notice Details – When your model schedules a new transaction for the following business day (usually Monday), you will receive a Strategy Trade Notice by email that will include the complete details of that trade, with everything you need to know about the ETFs that are involved, including links to the ETF's history, statistics, and news – if you wish to review that information (optional). Across our strategies, the average hold time is 3.83 months, with a range from 2.01 months to 6.54 months, depending on the strategy.
3) Performance Update – Each week's Strategy Update Summary email includes an update of your strategy's return for the last week, last month, and last year as well as the same information for your strategy's benchmark (or for the S&P 500, whichever is closer in performance to your strategy). This allows you to assess how much you are outperforming the market at each of these points of measurement.
4) Optimized Market Outlook – Each Sunday your Strategy Update Summary includes a fact-filled "Market Outlook" section, which summarizes the current status of economic data and related investment market developments. You will gain insights into little-known factors affecting the market, so you know what to expect in the days and weeks ahead.
5) Premier Access: Optimized Insights™ – You get first access to our award-winning Optimized Insights™ data-driven market reports as soon as they are released – well ahead of the public and media outlets that cover us. Since 1998, thousands of individual investors and advisors have come to depend on the premium quantitative assessment in our Optimized Insights™ market reports, but you'll get that information several days before non-subscribers or media outlets have an opportunity for access.
6) Premier Access: ETF Investment Strategy Blog – When we post a timely, news-worthy, or educational article to our ETF Investment Strategy Blog, you'll get the first available access to that valuable information before it's posted to the site where the public can view it.
7) Perhaps Most Importantly – You'll get the potentially life-changing benefit of consistent and exceptional growth of your investment dollars, without the stress and corrosive worry about a potential loss of your capital that accompanies most other investment approaches.* An average Sharpe ratio of 1.50 and an average Sortino Ratio of 2.21 consistently rank our strategies atop the highest risk-adjusted return of any mutual fund, professionally managed portfolio, or turnkey investment models of which we are aware.
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8) 60-day Money-Back Guarantee – each strategy subscription is backed by a 60-day, 100% No-Risk Guarantee. We guarantee that you'll be thrilled with the results you get, or just let us know within the first 60 days and we'll promptly refund every penny that you paid. No questions asked! (See the next section for further details on this airtight guarantee...) This is your iron-clad assurance that you can try the ETFOptimize investment strategies and discover just how well they perform – without risk!
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