Trader Edge

The January 30, 2015 AAR Strategy update is now available on the AAR Subscribers page.  If you are not currently a subscriber and would like to learn more about the strategy, there is a detailed description on the AAR Strategy page.

The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities. The strategy was inspired by the Ivy League portfolio and uses trend and technical filters to reduce downside risk.

If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month.   Stop-loss orders are used on every trade to control losses and to facilitate position sizing and risk management.

Brian Johnson

Copyright 2015 - Trading Insights, LLC - All Rights Reserved.

The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities. It is one of the 20 proprietary strategies that I trade in my account and the only strategy that Trader Edge currently offers on a subscription basis.

The AAR strategy earned a return of +1.27% in 2014, outperforming its equal-weighted index (-4.52%) by a notable 5.79% during the year. I added a new filter to the AAR strategy in mid-2014. In the second half of 2014, the AAR strategy earned a return of +6.93%, outperforming its equal-weighted index (-7.48%) by 14.41% during the six month period ending in December 2014.

The new filter prevented significant drawdowns that would have occurred in September and December of 2014. Had that filter been in place for the entire year, the AAR strategy would have earned a return of +13.71% in 2014.

For the two years ending in December 2014, the AAR strategy earned a compound annual return of 13.01%, outperforming its equal-weighted benchmark (+0.95%) by 12.06% compounded annually. The above AAR returns are net of round-trip transaction costs (0.10% per trade).

Remember that the AAR strategy is not an equity strategy and is not an absolute return strategy. The appropriate benchmark for the strategy is the equal-weighted monthly return of the five investment candidates, measured over a complete economic cycle.

The AAR strategy is based on the Ivy League portfolio asset allocation framework and every month it has the option of investing in any one of the five diverse investment candidates described above. If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month.   Stop-loss orders are used on every trade to control losses and to facilitate position sizing. Continue reading →

The December 31, 2014 AAR Strategy update is now available on the AAR Subscribers page.  If you are not currently a subscriber and would like to learn more about the strategy, there is a detailed description on the AAR Strategy page.

The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities. The strategy was inspired by the Ivy League portfolio and uses trend and technical filters to reduce downside risk.

If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month.   Stop-loss orders are used on every trade to control losses and to facilitate position sizing and risk management.

Brian Johnson

Copyright 2014 - Trading Insights, LLC - All Rights Reserved.