After years of running gun slinging strategies, I wanted to deliver a retail quality investment product that I would be happy to pitch to my parents. (read: Conservative investors whose first concern is preservation of capital) Here is a partial backtest of the “Mom and Pop” version of the Automatic 7 TAA strategy that has been live here at EdMamula.com since December 2010. The goal of this particular flavor of the portfolio is to utilize tactical asset allocation such that returns better or equal to the benchmark portfolio (60% SPY / 40% BND) with reduced volatility. I have also included a Timing benchmark which moves the stock portion of the benchmark portfolio to cash when SPY closes below its 10 month moving average. In the backtest period (November 2007 – November 2010), the Mom and Pop portfolio handily outperformed the benchmark by sidestepping most of the financial crisis in 2008, pacing the recovery in 2009, and outperforming in a relatively ho – hum year of 2010.
| Since 10/31/2007 | MomAndPop | Bench | Timing |
| Avg | 1.33% | -0.26% | 0.29% |
| Stdev | 2.39% | 6.44% | 3.17% |
| Sharpe | 0.55 | -0.04 | 0.09 |
| Tscore | 3.37 | -0.24 | 0.56 |
| CAGR | 15.39% | -0.19% | 4.07% |
| Return | 61.16% | -0.63% | 14.24% |
| Max DD | 2.43% | 32.20% | 9.91% |
| Score | 1929.0 | -1.8 | 125.1 |
| Simple Score | 55.44% | -4.01% | 9.26% |
| Returns by Year: | MomAndPop | Bench | Timing |
| 2008 | 19.66% | -21.52% | 2.41% |
| 2009 | 18.27% | 18.22% | 15.96% |
| 2010 | 13.43% | 9.29% | -1.43% |