[Adrian]

Hi James.

Even if I heard of LI a long time ago, it’s only recently that I start looking into it more carefully.
Based on what I saw skimming different forum threads, the lack of skeptics, of people trying to find the biggest possible hammer to hit the strategies in order to crack them in their most vulnerable place, the multitude of strategies (which could be a positive for some people, but I am not in that camp; if you provide 20 strategies, of course at the end of each year you’ll have 3 which performed well), the constant re-modelling (some would say “improvement”, others would say “hindsight abuse”) of the strategies, the permanent pursuit of our fellow forum members to use some software to optimize the combination of multiple LI strategies (which is too much of a curve-fitting for me) – all these are troublesome in my view.
You say that “models look excellent”. That is a bit debatable.
Since the rules of strategies are sometimes changed, when you evaluate a strategy is not very obvious for you when the last changed was done and how much historical performance of that strategy happened before and after the last update. You can look at 15 years worth of strategy performance, but if last strategy update was 9 months ago, you only have 9 months of out-of-sample performance.
Secondly, take a look at Dow 30 Strategy between march 2009 – mar 2020, US Sector Rotation Strategy between aug 2002 – feb 2020, World Top 4 Strategy between aug 2011 – feb 2020, NASDAQ 100 Balanced unhedged between dec 2008 – may 2020, NASDAQ 100 Low Volatility Strategy nov 2008 – may 2020 – neither of them outperformed (I mean in terms of returns, they may be done better in terms of volatility) their benchmark. You may say I cherry picked the intervals, which of course I did. But if a strategy has an edge over buy and hold, I would say there should be such a thing as a long enough period of time that no matter how selected from the entire history of the strategy would show an outperformance over the benchmark. Isn’t 18 years long enough for US Sector Rotation to beat S&P 500? Or 12 years for NASDAQ 100 Balanced to beat QQQ?

Just to be clear, I am not someone eager to inform the world that LI strategies don’t work. I am just more circumspect in my investing decisions and I know that, assuming it exists, a market edge is very difficult to find.

Happy to get some feedback from others.

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