Aggregate Trend Following Report
This is the companion report to the following blog post. Tax rates have a material impact on results; see the post for details.
This report was generated with the following assumptions.
- Short term capital gains tax rate: 0.0
- Long term capital gains tax rate: 0.0
Disclaimer
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Summary Statistics by Method
Excess Return Method
| Ticker | Method CAGR | Buy & Hold CAGR | Method Max Drawdown | Buy & Hold Drawdown | Method Sharpe Ratio | Buy & Hold Sharpe Ratio |
|---|---|---|---|---|---|---|
| AGG | 4.0 | 3.2 | -12.8 | -18.4 | 0.87 | 0.63 |
| BIV | 4.6 | 3.8 | -9.2 | -18.9 | 1.03 | 0.68 |
| BKLN | 3.0 | 3.5 | -24.2 | -24.2 | 0.53 | 0.64 |
| BLV | 3.7 | 4.5 | -20.0 | -38.3 | 0.43 | 0.43 |
| BND | 3.6 | 2.9 | -8.7 | -18.6 | 0.93 | 0.62 |
| BNDX | 3.4 | 2.2 | -5.9 | -16.2 | 1.20 | 0.67 |
| BOND | 2.6 | 2.7 | -10.9 | -19.7 | 0.68 | 0.68 |
| BSCR | 3.2 | 2.5 | -17.3 | -17.3 | 0.59 | 0.61 |
| BSV | 2.8 | 2.2 | -4.7 | -8.5 | 1.58 | 0.87 |
| CGCP | 4.8 | 6.4 | -4.2 | -15.1 | 0.93 | 0.35 |
| CWB | 6.5 | 9.7 | -33.8 | -32.1 | 0.54 | 0.89 |
| DFCF | 4.8 | 7.3 | -4.5 | -19.6 | 0.92 | 0.13 |
| DFSD | 5.7 | 6.4 | -1.3 | -8.4 | 2.36 | 1.00 |
| EAGG | 2.8 | 0.0 | -4.9 | -18.7 | 0.82 | 0.45 |
| EMB | 3.4 | 4.6 | -26.5 | -34.7 | 0.43 | 0.48 |
| EMLC | -0.1 | 0.6 | -29.6 | -32.3 | 0.02 | 0.18 |
| FBND | 1.9 | 2.5 | -16.1 | -17.3 | 0.36 | 0.49 |
| FLOT | 2.9 | 2.4 | -13.5 | -13.5 | 0.77 | 0.65 |
| FSEC | 4.7 | 6.0 | -5.2 | -18.0 | 0.80 | 0.15 |
| GOVT | 2.9 | 1.6 | -6.4 | -19.1 | 0.74 | 0.31 |
| HYG | 5.4 | 7.0 | -22.0 | -34.2 | 0.69 | 0.50 |
| IAGG | 3.0 | 2.4 | -6.6 | -13.9 | 0.99 | 0.66 |
| IEF | 3.8 | 3.5 | -10.9 | -23.9 | 0.68 | 0.58 |
| IEI | 2.8 | 2.1 | -5.7 | -14.6 | 0.91 | 0.74 |
| IGIB | 3.9 | 4.1 | -16.2 | -20.6 | 0.94 | 0.73 |
| IGSB | 2.7 | 2.6 | -13.4 | -13.4 | 1.02 | 0.72 |
| ISTB | 2.9 | 2.3 | -6.1 | -9.3 | 1.77 | 0.86 |
| IUSB | 3.8 | 2.1 | -9.9 | -17.9 | 1.01 | 0.50 |
| JAAA | 6.0 | 6.9 | -1.5 | -2.6 | 3.89 | 2.56 |
| JCPB | 3.6 | 1.6 | -4.5 | -16.7 | 1.09 | 0.61 |
| JMBS | 3.4 | 1.1 | -5.5 | -16.7 | 1.01 | 0.49 |
| JMUB | 1.4 | 1.8 | -12.9 | -12.5 | 0.39 | 0.79 |
| JNK | 4.2 | 5.6 | -22.9 | -38.5 | 0.57 | 0.48 |
| JPIE | 8.0 | 8.6 | -1.7 | -10.0 | 2.36 | 1.00 |
| LMBS | 3.3 | 2.6 | -5.3 | -6.5 | 1.57 | 1.15 |
| LQD | 3.7 | 4.3 | -21.8 | -25.0 | 0.61 | 0.60 |
| MBB | 3.3 | 2.3 | -5.3 | -17.6 | 1.12 | 0.62 |
| MUB | 2.4 | 3.0 | -13.7 | -13.7 | 0.53 | 0.61 |
| SCHI | 2.6 | 1.6 | -7.8 | -20.7 | 0.65 | 0.38 |
| SCHP | 1.8 | 1.9 | -11.2 | -14.3 | 0.37 | 0.54 |
| SCHR | 2.9 | 1.5 | -5.2 | -16.1 | 0.94 | 0.49 |
| SCHZ | 3.4 | 2.2 | -10.3 | -18.7 | 0.89 | 0.49 |
| SHYG | 3.7 | 5.1 | -19.3 | -19.3 | 0.63 | 0.73 |
| SJNK | 4.5 | 4.3 | -19.7 | -19.7 | 0.75 | 0.82 |
| SPAB | 3.4 | 2.8 | -9.4 | -18.6 | 0.84 | 0.54 |
| SPHY | 4.2 | 4.8 | -22.0 | -22.0 | 0.56 | 0.66 |
| SPIB | 3.3 | 3.4 | -14.9 | -14.9 | 0.91 | 0.90 |
| SPMB | 2.7 | 2.1 | -12.6 | -18.0 | 0.50 | 0.39 |
| SPSB | 2.7 | 2.4 | -11.8 | -11.8 | 1.07 | 0.91 |
| SPTI | 2.6 | 2.0 | -4.4 | -16.1 | 0.93 | 0.59 |
| SPTL | 3.4 | 3.0 | -20.7 | -46.2 | 0.35 | 0.32 |
| SRLN | 3.8 | 3.9 | -22.3 | -22.3 | 0.63 | 0.68 |
| STIP | 3.0 | 2.2 | -5.5 | -5.5 | 1.56 | 1.04 |
| SUB | 1.9 | 1.5 | -9.5 | -9.5 | 0.83 | 0.43 |
| TIP | 3.2 | 3.5 | -14.4 | -14.5 | 0.55 | 0.60 |
| TLH | 3.5 | 2.0 | -17.8 | -41.1 | 0.45 | 0.35 |
| TLT | 4.5 | 3.7 | -26.6 | -48.4 | 0.42 | 0.34 |
| TMF | 6.1 | -2.7 | -60.7 | -92.5 | 0.33 | 0.11 |
| USHY | 3.8 | 4.9 | -22.4 | -22.4 | 0.44 | 0.61 |
| USIG | 3.6 | 4.3 | -18.9 | -22.2 | 0.70 | 0.58 |
| VCIT | 3.5 | 3.8 | -16.9 | -20.6 | 0.72 | 0.79 |
| VCLT | 2.3 | 3.7 | -28.2 | -34.3 | 0.27 | 0.46 |
| VCSH | 2.8 | 2.8 | -12.9 | -12.9 | 1.09 | 1.03 |
| VGIT | 2.8 | 1.7 | -5.2 | -16.1 | 0.88 | 0.55 |
| VGLT | 3.1 | 1.1 | -20.7 | -46.2 | 0.34 | 0.29 |
| VMBS | 3.1 | 1.8 | -5.1 | -17.5 | 1.02 | 0.47 |
| VTEB | 2.3 | 2.3 | -17.0 | -17.0 | 0.40 | 0.51 |
| VTIP | 2.8 | 2.7 | -6.3 | -6.3 | 1.08 | 0.88 |
| VWOB | 2.6 | 3.7 | -25.3 | -27.0 | 0.34 | 0.46 |
Moving Average Method
| Ticker | Method CAGR | Buy & Hold CAGR | Method Max Drawdown | Buy & Hold Drawdown | Method Sharpe Ratio | Buy & Hold Sharpe Ratio |
|---|---|---|---|---|---|---|
| AGG | 2.3 | 3.2 | -13.9 | -18.4 | 0.52 | 0.63 |
| BIV | 3.8 | 3.8 | -9.2 | -18.9 | 0.80 | 0.68 |
| BKLN | 2.1 | 3.5 | -23.3 | -24.2 | 0.46 | 0.64 |
| BLV | 4.4 | 4.5 | -24.8 | -38.3 | 0.47 | 0.43 |
| BND | 3.1 | 2.9 | -8.7 | -18.6 | 0.73 | 0.62 |
| BNDX | 3.0 | 2.2 | -5.9 | -16.2 | 0.92 | 0.67 |
| BOND | 3.3 | 2.7 | -10.9 | -19.7 | 0.76 | 0.68 |
| BSCR | 2.7 | 2.5 | -17.3 | -17.3 | 0.49 | 0.61 |
| BSV | 2.6 | 2.2 | -4.7 | -8.5 | 1.31 | 0.87 |
| CGCP | 6.4 | 6.4 | -4.2 | -15.1 | 1.02 | 0.35 |
| CWB | 6.1 | 9.7 | -33.1 | -32.1 | 0.57 | 0.89 |
| DFCF | 5.4 | 7.3 | -4.5 | -19.6 | 0.85 | 0.13 |
| DFSD | 6.4 | 6.4 | -1.3 | -8.4 | 2.24 | 1.00 |
| EAGG | 1.6 | 0.0 | -5.1 | -18.7 | 0.34 | 0.45 |
| EMB | 2.0 | 4.6 | -33.8 | -34.7 | 0.30 | 0.48 |
| EMLC | -0.1 | 0.6 | -26.2 | -32.3 | 0.02 | 0.18 |
| FBND | 2.9 | 2.5 | -16.1 | -17.3 | 0.50 | 0.49 |
| FLOT | 1.4 | 2.4 | -14.1 | -13.5 | 0.41 | 0.65 |
| FSEC | 4.9 | 6.0 | -6.8 | -18.0 | 0.62 | 0.15 |
| GOVT | 2.6 | 1.6 | -4.9 | -19.1 | 0.61 | 0.31 |
| HYG | 5.0 | 7.0 | -23.1 | -34.2 | 0.73 | 0.50 |
| IAGG | 2.5 | 2.4 | -7.9 | -13.9 | 0.69 | 0.66 |
| IEF | 3.7 | 3.5 | -10.4 | -23.9 | 0.66 | 0.58 |
| IEI | 2.5 | 2.1 | -5.7 | -14.6 | 0.80 | 0.74 |
| IGIB | 4.1 | 4.1 | -16.2 | -20.6 | 0.90 | 0.73 |
| IGSB | 3.0 | 2.6 | -13.4 | -13.4 | 1.04 | 0.72 |
| ISTB | 3.1 | 2.3 | -6.1 | -9.3 | 1.36 | 0.86 |
| IUSB | 2.6 | 2.1 | -9.9 | -17.9 | 0.62 | 0.50 |
| JAAA | 6.5 | 6.9 | -1.5 | -2.6 | 3.45 | 2.56 |
| JCPB | 3.3 | 1.6 | -4.5 | -16.7 | 0.71 | 0.61 |
| JMBS | 2.9 | 1.1 | -5.8 | -16.7 | 0.58 | 0.49 |
| JMUB | 1.9 | 1.8 | -6.9 | -12.5 | 0.60 | 0.79 |
| JNK | 4.4 | 5.6 | -23.9 | -38.5 | 0.67 | 0.48 |
| JPIE | 8.0 | 8.6 | -1.7 | -10.0 | 2.36 | 1.00 |
| LMBS | 3.3 | 2.6 | -5.3 | -6.5 | 1.36 | 1.15 |
| LQD | 3.6 | 4.3 | -21.8 | -25.0 | 0.57 | 0.60 |
| MBB | 2.8 | 2.3 | -5.7 | -17.6 | 0.83 | 0.62 |
| MUB | 2.5 | 3.0 | -13.7 | -13.7 | 0.57 | 0.61 |
| SCHI | 3.8 | 1.6 | -4.8 | -20.7 | 0.67 | 0.38 |
| SCHP | 2.5 | 1.9 | -10.8 | -14.3 | 0.58 | 0.54 |
| SCHR | 2.6 | 1.5 | -4.7 | -16.1 | 0.76 | 0.49 |
| SCHZ | 2.6 | 2.2 | -10.3 | -18.7 | 0.62 | 0.49 |
| SHYG | 4.0 | 5.1 | -18.1 | -19.3 | 0.78 | 0.73 |
| SJNK | 3.5 | 4.3 | -18.3 | -19.7 | 0.73 | 0.82 |
| SPAB | 2.9 | 2.8 | -9.4 | -18.6 | 0.69 | 0.54 |
| SPHY | 3.2 | 4.8 | -22.0 | -22.0 | 0.48 | 0.66 |
| SPIB | 3.5 | 3.4 | -14.9 | -14.9 | 0.94 | 0.90 |
| SPMB | 2.7 | 2.1 | -12.6 | -18.0 | 0.47 | 0.39 |
| SPSB | 2.5 | 2.4 | -11.8 | -11.8 | 0.94 | 0.91 |
| SPTI | 2.7 | 2.0 | -4.6 | -16.1 | 0.85 | 0.59 |
| SPTL | 4.1 | 3.0 | -18.7 | -46.2 | 0.40 | 0.32 |
| SRLN | 2.3 | 3.9 | -22.3 | -22.3 | 0.46 | 0.68 |
| STIP | 2.8 | 2.2 | -5.3 | -5.5 | 1.36 | 1.04 |
| SUB | 1.6 | 1.5 | -9.5 | -9.5 | 0.60 | 0.43 |
| TIP | 3.6 | 3.5 | -11.3 | -14.5 | 0.67 | 0.60 |
| TLH | 3.1 | 2.0 | -16.3 | -41.1 | 0.40 | 0.35 |
| TLT | 4.2 | 3.7 | -24.2 | -48.4 | 0.40 | 0.34 |
| TMF | 2.8 | -2.7 | -62.2 | -92.5 | 0.23 | 0.11 |
| USHY | 2.9 | 4.9 | -22.4 | -22.4 | 0.41 | 0.61 |
| USIG | 4.2 | 4.3 | -18.9 | -22.2 | 0.73 | 0.58 |
| VCIT | 3.9 | 3.8 | -16.9 | -20.6 | 0.78 | 0.79 |
| VCLT | 2.7 | 3.7 | -28.2 | -34.3 | 0.31 | 0.46 |
| VCSH | 3.1 | 2.8 | -12.9 | -12.9 | 1.11 | 1.03 |
| VGIT | 2.5 | 1.7 | -4.7 | -16.1 | 0.75 | 0.55 |
| VGLT | 3.2 | 1.1 | -18.7 | -46.2 | 0.35 | 0.29 |
| VMBS | 2.5 | 1.8 | -5.8 | -17.5 | 0.68 | 0.47 |
| VTEB | 1.4 | 2.3 | -17.0 | -17.0 | 0.27 | 0.51 |
| VTIP | 3.1 | 2.7 | -6.3 | -6.3 | 1.26 | 0.88 |
| VWOB | 1.7 | 3.7 | -26.2 | -27.0 | 0.24 | 0.46 |
Distribution of Trade Durations
Distribution of Final Simulation CAGR
Distribution of Max Drawdown
Distribution of Sharpe Ratio by Method
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