Just Hedge

Automated trading experiment (Closed Alpha V 0.0.6)
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Avg. CAGR (Yr)
Description
21%
+ Dividend (Yr)
Description
11% (collected monthly)
Max Drawdown (Yr)
Description
11%
THESIS (January 2022)
We expect income generating potential of QYLD to stay stable but are bearish on the market overall, expecting volatility to persist for some time, and longer term treasuries to decline with inflation related actions ahead.
Therefore, we have put together a simple automated strategy that rebalances frequently (checking on hourly basis)
The portfolio is generally long on QYLD and VXZ, and short on TLT
Mix of holdings are adjusted programmatically to optimize returns (by spotting and exploiting “spikes”, e.g. VIX pop, or ExDiv/event blips in TLT/QYLD) while minimizing risk of drawdown

A novel way to generate income in the strange, and unprecedented, yield environment we are in.
Typically, we think of a bond as a risk-free return asset, but these days it feels more like a return-free risk asset.
RESULTS
In backtesting, we have 21% CAGR returns before monthly dividends, which adds income in the 11% range per year. Max annual drawdown for 2017-2022 is ~11%, tolerably matching annual dividends level.

Backtesting results snapshot
Backtesting from January 2017 to Feb 2022 results, per below, assuming initial investment of $50,000.

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Monthly CAGR figures
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Histograms are for 62 data points for every month, from January 2017 to February 2022 inclusive
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