As we mentioned in our October 10 blog email (“Potential New Perspective“), we were contemplating the inclusion of a buy-and-hold strategy in our overall approach. “We will have to pause and consider adding that dimension to our work as part of an investment portfolio. We acknowledge that as accounts become significantly large, the more frequent trading we currently use has limitations due to slippage, impacts from the current bid/ask price spread, etc. So, a strategy with a longer-term horizon and lower trading frequency may also make sense.”
The past 10 weeks have shown the potential benefit as the S&P 500 is exactly flat while the Forte strategy and a 50/50% Combined Strategy show gains of 2.4% and 1.5% respectively. Perhaps more importantly is how this approach can minimize the emotional gyrations the market can induce; the Combined Strategy had the lowest volatility and drawdown compared to both the S&P 500 buy-and-hold and Forte strategies. A summary of the performance metrics is shown below:
We used a simple 50/50 allocation for purposes of this blog email. We’ll continue to research and look for other strategies and investment options, including futures contracts, to add to the mix and then optimize for the best performance in terms of gains, drawdowns, and volatility.
Forte Strategy Update
We executed one trade last week for a loss of 1.5% compared to a gain of 5.6% by the S&P 500. Our YTD results equal a 5.3% gain compared to a 8.6% YTD gain for the S&P 500. The account correlation to the general market dropped slightly and remains low at 0.137.
More details about our trading activity can be found by registering on the Collective2 website and searching for Forte Strategy. A running list of these email blogs and general information about Maestro Capital Research can be found at maestrocapitalresearch.com.