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Frank & Team
This strategy was rolled out a year ago with the promise that this will do well, when the US equity market stalls. Well the US equity market did stall and delivered only 1.5% over the 12 months since the strategy was rolled out.
The Chart of this strategy for the last 1 year looks very similar to SPY (the benchmark) with much higher volatility despite the fact that TMF hedge was used. I suspect the correlation to SPY is larger than 0.6 or so for the last 12 months.
The return for the past 12 months seems to be a loss of 1.5% at a time when the SPY has made a positive return of 2%.
What went wrong?
Are you planning any tweaks? Or is this strategy designed to do well only in a strong US equity bull market?
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