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S&P 500-EW Persistent Profits (RSP/TLT) Strategy


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The information on this page was most recently updated on:

Sunday, March 24, 2019

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This Strategy Profile (preview) page provides you with an introduction to our S&P 500-EW Persistent Profits (RSP/TLT) Strategy (abbreviated as "SP500EW-PP") and a preview of its many features and benefits. Below on this page you'll find comprehensive data and detail charts showing this quantitative strategy's historical and recent performance, its robust performance during the Financial Crisis, information documenting its exceptionally high Risk-Adjusted Return, and a clear accounting of the significant benefits that accrue to an investor by using this investment model's systematic guidance.

Here's a glimpse at the performance of the S&P 500-EW Persistence Profits (RSP/TLT) Strategy since inception:

 Performance Chart – Since Inception

The blue line shown as the benchmark is a buy-and-hold of the S&P 500 Index.
The red line is the S&P 500-EW PERSISTENT PROFITS (1 ETF) STRATEGY performance since inception.

 



 


Our Strategy Profile (preview) pages provide investors with a weekly updated preview of the actual performance of our Premium Strategies. Most of the charts and tables in this Profile page are a duplicate of the same tables and charts you will find in your Premium Strategy (subscription) page after you register. This Profile page, of course, does not include Current Holdings, Closed Positions, or recent Transaction information – the details you get – and more – when you subscribe.

With a conservative Annualized Return of 18.30% for the SP500-Persistent Profits Strategy, it produces a profit that is nearly quadruple the 5.49% Annualized Return for a buy-and-hold of its benchmark, the SPDR S&P 500 ETF (SPY) during the same time.
For a limited-time only, we are offering this strategy at the introductory price of just $99/year or $9/mo.

 – Try It for 60 Days – Satisfaction Guaranteed or 100% of Your Money-Back —

Why not register now and put this dynamic strategy to work for you, making money year-after-year? Choose either monthly at the introductory price of just $9 – or get an additional month free by registering for the 1-year subscription at just $99 – we think you'll agree it's money spent prudently, paying for itself every year – and 1000-times more. Either way, your subscription is backed by our 100%, 60-day Money-back Guarantee so you have ZERO risk.

If you have any questions about this – or any of our other strategies, please contact us for prompt assistance.

 



S&P 500 PERSISTENT PROFITS STRATEGY | ETFOptimize.com

Results Summary

Summary

Note: Since the chart on this page are not logarithmic, recent volatility will appear more significant than past volatility – even if it is actually less in percentage terms.
See the detailed performance charts below for further details.

 

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Asset Allocation-2-4: Optimal Equity & Fixed Income (2 Asset, 4 ETF) Combo Strategy





The S&P 500 EW PERSISTENT PROFITS (RSP/TLT) STRATEGY is designed to – as the name implies – produce consistent, persistently positive investment performance in all types of market environments. The strategy always holds one of two popular ETFs, i.e., either the Invesco S&P 500 Equal Weight ETF (RSP) when conditions are constructive for gains, or the iShares 20+ Year Treasury Bond ETF (TLT) as a defensive asset when the economic environment is contracting. No leveraged or inverse positions are ever held.

The S&P 500 EW Persistent Profits (RSP/TLT) Strategy provides subscribers with an alternative to buying-and-holding the SPDR S&P 500 ETF (SPY) that achieves far superior performance with a total return that since inception has produced a return that is five-times (513%) more than the return of its benchmark, the S&P 500 ETF (SPY). In less than 16 years, every $100,000 invested was turned into $1.395 million (compared to $271,000 for the benchmark, SPY). Despite the far greater performance, this strategy accomplishes those gains with lower risk, documented by its Risk-Adjusted Return (RAR) of 1.17 (Sharpe) and 1.81 (Sortino), with trades that occur only about once a year and no money-losing years, to-date.
The exceptional performance is accomplished with no leverage or inverse holdings.

The S&P 500 EW PERSISTENT PROFITS (RSP/TLT) STRATEGY outperforms the overall market by using the S&P 500 Equal Weight ETF (RSP) during expansionary (bullish) periods (which provides less weight to the largest companies and more to smaller companies than SPY), and it has a powerful defense from the iShares 20+ Year Treasury Bond ETF (TLT) when economic contractions cause market downturns. Each week, the strategy's algorithms perform a sophisticated and multi-faceted analysis of dozens of different data sets, producing robust Risk-On or Risk-Off signals based on changes in corporate bond yields, unemployment, and market internals.

The result is that the S&P 500 EW Persistent Profits (1 ETF) Strategy generates a very steady Average Annuallized Return (AR) of about 18-19% per year, with an Average Annualized Max Drawdown (AAMDD) of just -10%. The strategy has an average of 72% winning trades since 2003. For further information on key statistics, please see our new, year-by-year PDF spreadsheet.

Our abbreviated name for this strategy is 'SP500EW-PP.'




Last update: March 10, 2019


Inception: July 1, 2003
Rebalance Frequency: Weekly
Weighting: 100% in 1 ETF (either RSP or TLT, depending on conditions)
Nearest Benchmark: SPDR S&P 500 ETF (SPY)

PERFORMANCE (Higher is better)
Total Return since Inception: 2,005.72%
Annualized Return (avg. per year since inception): 20.06%
Benchmark (SPY) Total Return since Inception: 290.79%
Benchmark (SPY) Annualized Return (since strategy inception): 5.49%
Financial Crisis & Recovery Return: 265.58% (see "Financial Crisis Performance' below)
Percentage of Winning Trades: 89%
Biggest Winner | Biggest Loser:   81.79% |  -5.84%
Winning Trades Held for:  302.11 Days (avg)
Losing Trades Held for:  50 Days (avg)
Average Position Hold Time: 239.08 market sessions (about 11.96 months)

RISK (Lower is better)
Number of Money-Losing Years: 0 of 19 = ZERO
Number of Years Outperforming the S&P 500 (SPY):  16 of 19
Strategy's average annual Max Drawdown** (AAMDD): -10.14%
Benchmark's (SPY) AAMDD**: -14.34%
Strategy's Max Drawdown (MDD): -19.95%
Benchmark's (SPY) Max Drawdown: -56.%
Strategy's Standard Deviation: 12.79%

RISK-ADJUSTED RETURN (Higher is better)
Sharpe Ratio - Since Inception: 1.15  (Compare to Benchmark at 0.73)
Sharpe Ratio - Last 3 Yrs: 1.24  (Compare to Benchmark at 1.53)
Sortino Ratio - Since Inception: 1.79  (Compare to Benchmark at 0.94)
Sortino Ratio - Last 3 Yrs: 1.67 (Compare to Benchmark at 2.22)

(Our abbreviated name for this strategy is "SP500-EW-PP")

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For all data above: *Past performance is not necessarily indicative of future returns. **Average Annual Max Drawdown (AAMDD) is the average of the worst peak-to-trough drawdowns each year since inception, which we believe is the best representation of the worst peak-to-trough declines you might experience as a subscriber in any given year. We also provide the Maximum Drawdown (MDD) figures, which are the very worst drawdown instance that has occurred since inception.






S&P 500 PERSISTENT PROFITS STRATEGY | ETFOptimize.com

EQUITY CURVE CHARTS


A smooth, steadily climbing performance chart:
  As you can see from this chart that runs from the strategy's inception on July 1, 2003 to present, the S&P 500-EW Persistent Profits Strategy provides a steady and consistent, upward ascent of its equity curve. The S&P 500-EW Persistent Profits Strategy consistently identifies the market's regime – whether economic conditions are in expansion or contraction – and determines whether the S&P 500-based equity ETF (RSPY) or a the iShares 20+ Year Treasury Bond ETF (TLT) is appropriate for current conditions. This continuous assessment of conditions and rotation of its position keeps your money growing month after month, and year after year.

With a compound annual growth rate of about 18%*, this easy-to-use, 1-ETF strategy nearly quadruples (270%-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.

The S&P 500-EW Persistent Profits Strategy's performance is shown by the red line while its benchmark, the SPDR S&P 500 ETF (SPY), is represented by the blue line.

Note: The charts below are not logarithmic and recent volatility in the top (% Return) graph will appear greater than past volatility, even if it is less.
To accurately compare recent volatility to past volatility, please see the lower-half (% Drawdown) of the 2-part graph.


Performance Chart – Since Inception
(July 1, 2003 - Present)

 Performance Chart – Since Inception

KEY: The blue line shown as the benchmark is a buy-and-hold of the S&P 500 Index.
The red line is the S&P 500-EW PERSISTENT PROFITS (1 ETF) STRATEGY performance since inception.

 

 

 Performance Chart – Last 12 Months

KEY: The blue line shown as the benchmark is a buy-and-hold of the S&P 500 Index.
The red line is the S&P 500-EW PERSISTENT PROFITS (1 ETF) STRATEGY performance since inception.

 


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It's easy to see from a glance that this strategy displays a smooth, steady and persistent upward climb in its yield curve – without significant drawdowns. Here is a summary of the performance details of this strategy:

Average Annualized Return (2003-2019): 18.30%

Average Annual Max Drawdown: -10.14%

Overall Winners: 75%

Winning Years: 19 of 19

Years Outperforming SPY: 16 of 19

To put this strategy's performance into perspective, a one-time $100,000 investment into this approach in July 2003 would be worth $1.395 million today. If an investor were to make regular contributions at each pay period to the strategy, the amount would increase exponentially.

If not for you, consider setting up an account for your progeny. Do you have a daughter, son, or grandchild who you want to have a substantial, multi-million-dollar nest egg by the time they reach retirement 40 years after graduating college? Consider starting a fund in their name that follows the Persistent Profits strategy. If you start the fund with a $10,000 contribution, and can convince your child to make regular contributions at every pay period – contributions of just $500 per month, for example – at the end of a 40-year working career, you and your child or grandchild will have deposited $250,000. However, following the Persistent Profits Strategy recommendations every year potentially made the fund grow to a very impressive $36,973,332. That could offer an extremely comfortable retirement, and potentially provide the same advantage to your family for generations to come.

Or maybe you are ready to begin saving for yourself in a very stable, consistent way offered by the Persistent Profits Strategy! With the magic of compound interest, every day that passes is a day that makes a significant difference. There is no time to get started like today with accumulating this kind of wealth in an investment approach that works through thick and thin, and good times and bad.

 

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To demonstrate how this strategy protects you from severe market losses and achieves strong performance, the best example we can provide is its performance during the 2007-2009 Financial Crisis. The S&P 500 Index, which consists of 500 of America's premier companies, began plummeting in late 2007, continued throughout all of 2008, and into the first quarter of 2009, losing -55% of its value by the time it had bottomed on March 9, 2009. Meanwhile, the ETFOptimize S&P 500-EW Persistent Profits (RSP/TLT) Strategy switched to its defensive ETF, the Invesco 20+ Year Treasury  ETF (TLT) position just before the downturn began, and as stocks declined through the bottom in March 2009 the strategy made a little bit of money. By the end of the nightmare, in 2013, this strategy outperformed the market by more than double!

We show the story in two charts:

The Left Chart below presents the 2007 High to Financial Crisis Bottom.  These developments began at the December 10, 2007 high just before the downturn, until the lowest point at the Financial Crisis trough on March 9, 2009.  You can see that our S&P 500- Conservative Strategy moved along steadily and calmly, holding a smooth, slight upward climb the entire time the market was plummetting – not dipping for minute at any time during the worst 18 months of the crisis – and providing an outperformance of 61.54% (6.16% + 55.37%).

The Right Chart below shows the entirety of the tempestuous tale – from the beginning of the Financial Crisis through its recovery – and demonstrates the exemplary way that our S&P 500-EW Persistent Profits (RSP/TLT) Strategy performed during these extreme conditions.

The entire Crisis, from beginning to end, required Five long years for the S&P 500 index to first decline -57%, then slowly recover all that it lost. Meanwhile, our S&P 500-EW Persistent Profits (RSP/TLT) Strategy more than tripled investor's funds, and while a buy-and-hold investor in America's premier companies (represented by the S&P 500 index) lost more than half of their assets in 18 months and required another four years to recover that loss (shown by the chart on the right).

 

Strategy performance vs. S&P 500 at Crisis Bottom



 

Strategy performance vs. S&P 500 from Crisis Beginning until Recovery of Losses


2007 High to Financial Crisis Bottom – From the October 9, 2007 pre-Financial Crisis high to its low on March 9, 2009, this strategy's benchmark, the S&P 500 index, lost -56.78%. During the same period, our S&P 500 EW Persistent Profits (RSP/TLT) Strategy switched to the Invesco 20-Year Treasury ETF (TLT) as defense the coming severe downturn – just before the start of the crisis. After this strategy correctly anticipated the worst market selloff since the Great Depression, subscribers were able to watch the crisis unfold without worrying about losing more than half of their life savings and stressing about their financial security.

 

2007 High through Financial Crisis and Recovery – This strategy's benchmark, the S&P 500 index, descended from its October 9, 2007 high (just before the Financial Crisis) through its low on March 9, 2009 – losing -56.78%. Then, as shown in the chart above, stocks began to grind higher for the next four years, requiring a total of 5.5 years (Oct. 9, 2007 - April 23, 2013) to return to where they started - to breakeven. During all those 66 months (264 weeks), dead-money investors in the S&P 500 struggled just to recover all they had lost. Meanwhile, our S&P 500 EW Persistent Profits (RSP/TLT) Strategy lost nothing and instead produced a total return of 256.5% – or  25.8% annualized.

 

Eliminating significant market declines – and the recovery time required – is one of several ways the ETFOptimize strategies produce considerable outperformance. When the sophisticated Ranking and timing system detects a downturn is imminent, this strategy rotates to the iShares 1-3 Year Treasury Bond ETF (SHY). During bull rallies, this strategy will hold the S&P 500-based ETF (SPY).

Our S&P 500 Conservative Strategy consistently generates accurate signals to rotate to the appropriate ETF, thereby producing a very steady equity curve and eliminating undue stress. This strategy does not use leverage positions, but since the high in 2000, has still produced a total return that is 7.35 times greater – and an annualized return that is 3.3 times greater than the S&P 500.
 
We are currently offering a limited number of complimentary subscriptions to the S&P 500 Conservative Strategy!
Sign-up today – no credit card is required!

 

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S&P 500 PERSISTENT PROFITS STRATEGY | ETFOptimize.com

KEY STATISTICS


PERFORMANCE STATS - CUMULATIVE AND MONTHLY

Performance Statistics

 

 

PERFORMANCE STATISTICS - YEARLY DETAIL (2003-2019) - New!

To provide subscribers with comprehensive details of the performance of each strategy, going forward we will provide a Yearly Performance Table for each strategy that covers every year of operation since inception. These PDF tables will be updated regularly and linked at this location in the 'Performance Statistics' section of both the Strategy Profile (preview) page and Premium Strategy (subscription) page (this page) accused Lisa.

Because each of the strategies was started in July, the years in this spreadsheet run from July 1 one year to June 30 the following year. For this reason, the figures may be slightly different from what you might see for a calendar year elsewhere (such as the Calendar Year Performance Bar Chart, below), but they will probably be very similar.

This spreadsheet shows the critical performance data displaying this strategy's Annual Return (AR), Active Return%, Annual Max Drawdown (MDD), and Overall Winners % with yellow highlighting. For comparison purposes, we' ve provided the Annual Return (AR) and Annual Max Drawdown (AMDD) for the S&P 500 SPDR ETF (SPY) – for each year from 2000-present, with light-blue highlighting. The bottom row shows this strategy's average annual performance which can be compared to the averages for each year for the S&P 500 SPDR ETF (SPY).  We have also provided some notated highlights below the table for your review.

 

SP500-PP Spreadsheet 

Click chart to open the Yearly-Detail Performance Spreadsheet PDF for this strategy.
After opening, zoom into actual size for clearest viewing.

 

 

CALENDAR YEAR PERFORMANCE BAR CHART


Yearly Performance Bar Chart: This chart tracks each strategy's performance for each calendar year since inception. You can see in the chart below that the performance of this strategy (red bars) has been profitable every year (indicated by red bars being above 0%), and in 14 of 19 years, the strategy (red bars) outperformed its S&P 500 benchmark (indicated by the strategy's red bars extending above the benchmark's blue bars).

 

 Performance Distribution/Comparison


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TRADING STATISTICS

This table shows the SP500EW-PP Strategy's record of trade statistics since inception. 

HIGHLIGHTS
–  Since its inception in July 2003, the S&P 500-EW Persistent Profits Strategy has been operating, it has turned every $1 invested into more than $21.60. A $100,000 investment starting 19 years ago would today be worth more than $2 million.

–  The strategy has an high percentage of winning trades at 72%, but when we average the winning trades over each individual year, the average for each of those 19 years is 89% winners (see the SP500-PP strategy spreadsheet), which is exceptionally high.

–  Realized Winners stands at about 75%, which is high. Also, the biggest winning trade gained 81.79% while the worst losing trade only declined by -5.84%. The average gain for winning trades is about 15%, while the average loss for losing trades is only about -2%. Ratios for Winners-to-Losers with this significant of a spread is a proven recipe for a very successful investment strategy.


 

RISK MEASUREMENT STATISTICS

One of the most important measures of the effectiveness of an investment approach is its Risk-Adjusted Return, commonly measured by the Sharpe Ratio or Sortino Ratio. These metrics show the ratio of an investment's performance to its volatility. The Sharpe Ratio measures performance against all volatility, while the Sortino Ratio measure performance against downside volatility only. Investors are prone to making emotionally based, injurious decisions when volatility gets high, so the industry has labeled this factor as 'risk.' A strategy with a high Risk-Adjusted Return is one that provides excellent upside performance with low volatility.

Notice the dramatic outperformance of this strategy when those two ratios are compared to the strategy's benchmark - a buy-and-hold of the S&P 500-EW ETF (RSP). Since the inception of this strategy, the Sharp Ratio of the S&P 500-EW ETF (RSP) is 0.59 while its Sortino Ratio is 0.76 – compared to 1.12 and 1.75 (at the time of this writing) for this strategy. You can also see from the last entry on the bottom-right side of the table showing Alpha % (average annual outperformance of a portfolio compared to the performance of its benchmark) that this strategy outperforms the S&P 500 by an average of more than 15% per year! The actual, year-by-year outperformance is shown in the "Performance Stats - Yearly" table (above).

 Risk Measurement



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