Antifragile Indices based on Dynamic Portfolios of ETFs
There is Alpha in Protecting the Downside
Annualised Return
Long Term Returns of DataCore Indices Are Much More Robust than Typical Market Indices
Annualized Return: running values over the immediately preceding 120 months
Notes: the grey band indicates Live Calculation, the green band Live Calculation with actual AUM
Alpha provided by AIDA is significant...
Cumulative Growth of $10,000 invested into each index assuming reinvestment of all dividends (Logarithmic Scale)
Notes: the grey band indicates Live Calculation, the green band Live Calculation with actual AUM
... And DrawDown Risk is Significantly Lower
Max Drawdown Return Based on Month-End Levels
Notes: the grey band indicates Live Calculation, the green band Live Calculation with actual AUM
Convexity: AIDA vs. SPY
Yearly Performance: AIDa vs. SPY 2000 - 2023
Trading Strategy based on turning on/off SPY based on Heat Index - Threshold = 1
As illustrated here, the Heat Index can be used to turn on or off existing client strategies: applied on the SPY ETF for instance, the Heat Index based trading strategy results in a much more stable risk profile: significantly improved Sharp ratio and much higher Pain Ratio.
Performance Metrics
| Annualized Period Return | Period Max Drawdown | Volatility | Sharpe Ratio | Pain Ratio | Correlation vs. SPY | |
|---|---|---|---|---|---|---|
| AIDA | 14.81% | -26.81% | 17.75% | 0.756 | 2.739 | 44.83% |
| DataGrow | 6.59% | -11.71% | 7.59% | 0.684 | 2.634 | 42.94% |
| DataSave | 3.94% | -6.72% | 3.06% | 0.830 | 4.715 | 42.06% |
| VT | 7.90% | -58.66% | 16.57% | 0.392 | 0.675 | 70.87% |
| SPY | 7.19% | -50.80% | 15.27% | 0.379 | 0.546 | 100.00% |
Notes: calculations are based on monthly data
