Antifragile Indices based on Dynamic Portfolios of ETFs

There is Alpha in Protecting the Downside


DataCore hero

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

Period Performance:
 Annualized Period ReturnPeriod Max DrawdownVolatilitySharpe RatioPain RatioCorrelation vs. SPY
AIDA14.81%-26.81%17.75%0.7562.73944.83%
DataGrow6.59%-11.71%7.59%0.6842.63442.94%
DataSave3.94%-6.72%3.06%0.8304.71542.06%
VT7.90%-58.66%16.57%0.3920.67570.87%
SPY7.19%-50.80%15.27%0.3790.546100.00%

Notes: calculations are based on monthly data

Asset Management Partner

Asset Management Partner

Vantage Consulting Group