Income Investing Results

[foxcreek9]

3) Finally, about BLNDX, its benchmark, for me, is the 50/50 combo I showed above. You see that from 2020 inception, BLNDX (blue) was correlated but beat its benchmark every year. And did well in the 2022 bear market, while S&P had a -30% max drawdown. But in 2025, BLNDX lagged its benchmark. This is to be expected. They are still positive for the year and I think will do decently by the end of year:

View attachment 60150

Good explanation, thanks. I’m more of the simple portfolio, but I now understand what you are doing.

 

[Quattro73]

3) Finally, about BLNDX, its benchmark, for me, is the 50/50 combo I showed above. You see that from 2020 inception, BLNDX (blue) was correlated but beat its benchmark every year. And did well in the 2022 bear market, while S&P had a -30% max drawdown. But in 2025, BLNDX lagged its benchmark. This is to be expected. They are still positive for the year and I think will do decently by the end of year:

View attachment 60150

Have you looked at AQR’s AQMIX/AQMNX managed futures funds? Combine them with VTI (or equity of your choice).

 

[COcheesehead]

Have you looked at AQR’s AQMIX/AQMNX managed futures funds? Combine them with VTI (or equity of your choice).

Not sure I see the value prop in these types of strategies unless you can call the market.

 

[Quattro73]

Not sure I see the value prop in these types of strategies unless you can call the market.

View attachment 60158

I think it is the combining of non-correlated assets to hopefully zig when others things are zagging to lower volatility and perhaps improve SWR. Sort of like using gold for a portion of a portfolio.

 

[COcheesehead]

I think it is the combining of non-correlated assets to hopefully zig when others things are zagging to lower volatility and perhaps improve SWR. Sort of like using gold for a portion of a portfolio.

I like uncorrelated assets a lot. I have a few that make money in all markets though. Two of them are in the comparison chart I posted. Happy Thanksgiving to you and yours.

 

[stefansm]

@COcheesehead , @Quattro73 :

Here is a very simple system - to grow your equity in bull markets AND protect your capital in market downturns.

1. Use a weekly timeframe
2. If SPY MACD > 0, allocate 70% to SPY (or equities) and 30% to Managed Futures
3. If SPY MACD < 0, reverse the allocation: 30% to SPY and 70% to Managed Futures
That's all.

Below is a backtest of this system from July 2000 to today.
Upper pane shows the system equity in green vs Buy & Hold SPY in red. You can see the system did better than SPY. It compounded at 9% CAGR over 25 years.

Next pane shows the system drawdown (in red) vs SPY drawdown in grey. You can see how it avoided the major bear markets of 2000-2002, 2008-2009 and 2022.

Next pane shows the allocation. Green is SPY and orange is managed futures. You needed to change allocations only 14 times in 25 years. But you had to rebalance to keep the allocations in the 70/30 or 30/70 bounds.

Last pane is the yearly profit/loss.

Happy Thanksgiving!

 

[stefansm]

Have you looked at AQR’s AQMIX/AQMNX managed futures funds? Combine them with VTI (or equity of your choice).

I prefer to use DBMF, which is replicating the Managed Futures Index (average of top 20 largest traders). AQMIX is a proprietary system, sometimes better sometimes worse than the index. It is like a single stock with its own idiosyncrasies vs the S&P index. There is safety in averages . Here is DBMF vs AQMIX: