Escaping the worst days
We had discussed how, by escaping the worst days, even if it means missing out on the best days, you can protect your portfolio from drawdowns and get superior results compared to a naive buy-and-hold strategy. See: The SMA Risk On/Off Switch
We ran the same filter on the CNX 100 index.
CNX 100 between 2005 and 2010
Naive Buy and Hold
Cumulative Return: 1.92
DrawDowns
50-day SMA On/Off
Cumulative Return: 13.12
DrawDowns
CNX 100 from 2010 to now
Naive Buy and Hold
Cumulative Return: 0.473696
DrawDowns
50-day SMA On/Off
Cumulative Return: 2.270039
DrawDowns
The CNX 100 50-Day Tactical Theme
The 50-day signal can be used to go “risk on” and “risk off” between the NIFTYBEES and JUNIORBEES ETFs. When “risk on”, the Theme allocates equally between NIFTYBEES and JUNIORBEES and when “risk off”, moves to LIQUIDBEES.
You can follow the theme here.