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Optimism in the Face of Worry
While the market tells us what it believes will be true 6-12 months from now – the strength of its optimism has surprised many in the face of continued civil unrest and a resurgence of Covid-19 cases as states began reducing restrictions. Although confirmed Covid-19 cases worldwide now exceed six million, perhaps the best reason for optimism is that there are already nine vaccines in human clinical trials and there are more than 100 under development globally.
SwanGuard Vaccination Deployed
SwanGuard Vaccination was deployed across all of our SectorSurfer, AlphaDroid and Merlyn.AI platforms on July 22nd. Its purpose is to detect the onset of a Black Swan event, such as the recent Covid-19 induced market crash, and escape crashing markets to the relative safety of US Treasury funds (see model chart at right). Briefly, it works by detecting a strong rise in the VIX volatility index and confirmed by an upward movement in US Treasuries, a downward movement in equities, and other factors. The model chart depicts the S&P500 in black, the S&P500 with StormGuard-Armor in red, and finally, the addition of SwanGuard in green. The SPDR Sectors Strategy Example chart (below, right) illustrates the beneficial effects of SwanGuard in a working Strategy.
What You Need to Know
- SwanGuard is part of StormGuard-Armor. If you have enabled StormGuard-Armor, your Strategy will be automatically protected by SwanGuard in the future. No further action is required.
- SwanGuard is designed to address rare, fast and harsh Black Swan events and will exit the market quickly without waiting for month-end.
- SwanGuard will automatically pick its exit fund based on your specified StormGuard Bear Symbol and a few simple rules: (1) if the Bear Symbol is a treasury fund, money market fund, or bond mutual fund, it will be used directly, (2) if the Bear Symbol is one of our Bear Market Strategies, its best treasury fund option will be selected, (3) if the Bear Symbol is AGG-, BND-, or $CASH, it will be used directly, and (4) if the Bear Symbol is anything else, the TLH- mid-term treasury symbol will be substituted.
New Feature Display
There are two different preferences for display of new features: (1) accounting mode and (2) backtest model mode. When a new feature is deployed, the accounting mode folks don't want it to affect the displayed past performance of their strategies. Strategy developers, however, want to see how new features would have performed in the past, so that they may better understand what they're intended to do. We have implemented a new checkbox on the Strategy Information popup window (right) called “New Feature Display - Backtest Model Mode.” Here is how it operates:
- When unchecked, features that were available at the time of the Last Edit Date will be incorporated and displayed, and features deployed at future times will be incorporated and displayed only for dates following the feature’s deployment.
- When checked, new features will be modeled across all time for backtesting purposes.
- When switching between the two, the Last Edit Date will not change.
- If you edit your strategy funds or other operating parameters, you will bring the Last Edit Date up to the current date and all features currently available will be modeled across all time.
Meetup Webinar - July 22 - Recording and Slides
Black Swan: Mitigation & Vaccination
Download PDF Slides Here
Play Video Recording Here
(Note- Please start video at 3:50 as there were initial audio problems)
May the markets be with us,
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