

We designed the ULTIMATE COMBO Strategy to produce consistent, positive investment profits in all market environments. The strategy holds up to 9 ETFs from 6 core ETFOptimize Premium Strategies. However, it may hold fewer ETFs if more than one strategy selects the same position. For example, during bear markets our S&P 500 Conservative Strategy and the NASDAQ Persistent Profits Strategy will both hold the iShares 20+ year Treasury Bond ETF (TLT). In bull markets, our S&P 500 Bull/Bear (1 ETF) Strategy and the S&P 500 Conservative (1 ETF) Strategy may hold the SPDR S&P 500 ETF (SPY).
For many investors, our "Ultimate 6-Model (9 ETF) Combo Strategy" is a perfect choice as the basis for their portfolio from the high-retur ETFOptimize.com Premium Strategies. It provides unparalleled diversification, using six different investment approaches that determining the model's market exposure timing, and six different ETF Universes from which it chooses holdings.
As a result, the Ultimate 6-Model (9 ETF) Combo Strategy ('ULT-6' for short) provides a very high Annual Return (about 30%) with very low average Maximum Drawdowns (only -8.7%). This combination provides investors with our highest Risk-Adjusted Return (RAR) of 3.09 (Sortino ratio), compared to the S&P 500 over the same span at 0.69.
The ULT-6 Strategy includes a highly sophisticated composite of six different ETFOptimize models, with positions weighted independently, per the 'Strategy Allocations' table above and adjustments to those weights as determined quantitatively. This Strategy usually holds 5 to 9 ETFs, depending on the level of risk and whether or not more than one of our models is holding the same ETF. The Strategy may also occasionally hold a cash-proxy ETF such as a short-term Treasury bond ETF (i.e., SHY or BIL) if volatility is high.
The strategy may also hold 100% cash if its rules determine that avoiding all market exposure is appropriate. This can occur when correlation is high across all asset classes and they are all dropping. For example, the last two times this situation occured was during the September 2008 Financial Crisis Crash following the Lehman Brothers bankruptcy, and the March 2020 Covid Crash.
Because it is a combination of six quantitative models, the factors included in this strategy’s algorithms are the broadest and most inclusive of all our models, based on data from: 1) Macroeconomic indicators, 2) Breadth and other internal market measures, 3) Fundamental stock ratios, 4) Investor Sentiment measures, and 5) Technical Indicators. The individual indicators we use from these categories number more than 50. The models select the best 5-10 uncorrelated indicators to use in each of our strategies, they are then combined strategically into nodes that can determine the appropriate market timing.
While the S&P 500 benchmark (SPY) lost -55% during the 18-month Financial Crisis selloff, drawdowns for this model amounted to just 1/15th of the S&P 500’s losses, instead gaining 17% while most buy-and-hold investors last half their principle. Over the total of five years that the S&P 500 ETF (SPY) required to return to breakeven during the Financial Crisis, the ULT-6 Strategy produced a performance of 337% and more than quadrupled investor’s funds.
This gain resulted from the strategy’s algorithms always rotating to the optimum ETFs for conditions, eliminating significant losses, and a mind-boggling rate of Risk-Adjusted Returns (RAR). Tracking the model’s performance since inception, it produced a Total Return of 3,332% while the benchmark SPY/BND gained 220%. That's a return totaling more than 15 times the performance of an S&P 500/Total Bond Market (BND) benchmark.
Please see this strategy's Profile Page for complete details.
Note: Our shortened designation for this strategy is: "ULT-6."
Strategy Diversification/Correlation
We have designed most of the six ETFOptimize Premium Strategies that compose our ULTIMATE Combo Strategy to have low correlations with one another. Below is the correlation matrix of this model’s six Premium Strategy components (lower numbers mean less correlation and more diversification). Perfect symmetry between two models holding the same ETF would have a correlateion of 1.0.
If the correlation between two models is higher by design (such as Equity+ and Equity++), that's because it has increased exposure to that asset class to enhances returns. However, because the individual Equity ETFs from these two ETFOptimize Premium Strategies are diversified, higher drawdowns are not a significant risk. The Maximum Drawdown since inception for the ULTIMATE COMBO Strategy is -13%, and the Average Annual Max Drawdown (AAMD – the typical worst drawdown in any year) is only -8%.

When conditions are constructive for gains, the holdings will consist of Equity ETFs, leveraged Equity ETFs, or aggressive Fixed Income ETFs. When the economy begins contracting at the end of a business cycle or the market corrects from extremely overbought conditions, the ULTIMATE COMBO Strategy will switch most of its positions to either Defensive Equity ETFs (such as GLD, XLU, XLV, XLP, etc.), Fixed Income ETFs (TLT, BND, AGG, etc.), Cash Proxy ETFs (SHY, SHV, BIL, etc.), or Alternative Defensive ETFs (SDY, VNQ, DVY, MOAT, etc.) that are designed to avoid declines or diversify from equity ETFs.
The ULTIMATE COMBO Strategy provides subscribers with an alternative to buying-and-holding market-based ETFs or a discretionary investment approach – thereby avoiding drawdowns and achieving far superior performance with a total return since inception that is more than sixteen (16.8) times the return of the market, represented by the S&P 500 ETF (SPY). In 13 years, $100,000 invested in this model's recommendations grew to $3.2 million (compared to $262k for the S&P 500 ETF). That's growth of 12 times the growth of the benchmark.
Despite the far higher performance, this strategy accomplishes its gains with much lower risk, documented by its Risk-Adjusted Return (RAR) Sortino Ratio at an exceptionally high 3.09 and Sharpe Ratio of 2.11 (compared to 0.69 and 0.53, respectively, for the S&P 500 ETF – SPY). There is an average of about six months between trades across all holdings (with an average range of 1.67 months to 13.45 months from each contributing model), and with no money-losing years. The annualized Alpha (how much it beats the market, on average) of this strategy averages an amazing 25.87% each year.
UNIVERSE: The ULTIMATE COMBO Strategy outperforms the overall market in two ways: 1) by accurately selecting the optimum set of equity ETFs during expansionary (bullish) periods—and selecting the optimum defensive ETFs during contractionary (bearish) periods, and 2) by helping to manage risk through the combination of six different, uncorrelated strategies. While this sounds easy on its face, millions of investors have lost their shirts trying to accomplish this same task. It's an easy concept to articulate—but incredibly difficult to execute in the real world when it comes to human beings and matters of money.
The team of Quantitative Design professionals at ETFOptimize have a combined 50-years of experience in solving the most difficult investment challenges using sophisticated, algorithmically configured trading strategies that produce profits under every condition imaginable. The ULTIMATE COMBO Strategy's performance is a reflection of this experience put into action for your benefit!
PERFORMANCE: The result of accurate position rotation is an ULTIMATE COMBO STRATEGY that generates a very steady Annualized Return (AR) of about 30% per year, with an avg. annualized Max Drawdown of only -8.74%. This combination produces our highest Risk-Adjusted Return, with a Sortino Ratio of a phenomenal 3.09! The strategy has an average of 72% winning trades since inception. For further information on this model's essential statistics, please see the Statistical Highlights section below.
Our abbreviated name for this strategy is 'ULT-6'


Data sources: Performance Statistics; Portfolio123, Standard & Poors Global Market Intelligence,
Compustat, S&P Capital IQ, St. Louis Federal Reserve.
Inception: July 1, 2007
Rebalance Frequency: Weekly
Weighting: varies from 3% to 40% for 5-9 potential ETF positions, determined by proven algorithms
Benchmark: SPDR S&P 500 ETF (SPY)
PERFORMANCE
(Higher is better)
Total Return since Inception: 3,332%
Annualized Return (avg. per year since inception): 28%
Benchmark S&P 500 ETF (SPY) Total Return since inception: 242%
Benchmark (SPY) Annualized Return since inception: 9.82%
Financial Crisis & Recovery Return: 366% (see 'Financial Crisis Performance' below)
Avg. Yearly Percentage of Winning Trades: 72%
Average Position Hold Time: 20.6 market sessions (about 1.03 months)
Note: Because 5-10 ETFs from six models are held for diversification, this model has more trades than the average for individual models. Most believe the steady, consistent performance of our ULTIMATE Strategy is well worth this additional activity.
RISK
(Lower is better)
Number of Money-Losing Years: ZERO of 15 Years = 0%
Number of Profitable Years: 15 of 15 (100%)
Strategy's Average Annual Max Drawdown (AAMDD)**: -8.21%
Benchmark's (SPY) Average Annual Max Drawdown (AAMDD)**: -15.92%
Strategy's Absolute Max Drawdown (MDD): -13.30% (occurred October 5, 2012-Nov. 15, 2012)
Benchmark's (SPY) Absolute Max Drawdown (MDD): -55.19% (occurred October 9, 2007-March 9, 2009)
Strategy's Standard Deviation: 12.87%
Annualized Alpha: 25.87%
RISK-ADJUSTED RETURN
(Higher is better)
Sortino Ratio - Since Inception: 3.09 (Compare to Benchmark, SPY, at 0.69)
Sortino Ratio - Last 3 Yrs: 2.73 (Compare to Benchmark, SPY, at 0.71)
Sharpe Ratio - Since Inception: 2.11 (Compare to Benchmark, SPY, at 0.53)
Sharpe Ratio - Last 3 Yrs: 2.04 (Compare to Benchmark, SPY, at 0.56)
(Our abbreviated name for this strategy is "ULT-6")
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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.