2022 is in the books (FINALLY!) Happy New Year to All!
This year was a tough one in the markets and there was a LOT going on at BFS!
We are ALWAYS re-evaluating market conditions and trying to find the best risk reward strategies to utilize for the portfolios. It’s never a casual decision to introduce a new strategy – or even retire an existing one.
That being said, the numbers are the numbers and by about August last year the research said we had to migrate off of our old family of mean reversion/trend following strategies and onto a new set of strategies.
The difference in edge was just too large. If you are following the quarterly reports and the performance does not match up, the migration in strategies is the reason why.
This migration was completed with live money end of 9/2022 and there was some slippage as a result. It was unavoidable and part of the cost of moving from one system to another.
The new High Sharpe has increased backtested annual returns of 40.403% annually vs. the legacy portfolio’s performance of 26.467% – for less risk! Hard to believe, isn’t it?
The Quantum Return Portfolio went from annualized backtested returns of 9.87% to 19.952%, for MUCH LESS RISK.
Now let’s address the underperformance for 2022 relative to prior years. Most of this is entirely due to the bear market environment synchronized with rapidly rising interest rates. This unfortunate occurrence is not the most favorable situation for our strategies – but they do defend against it by eventually going into cash defensively. In our view the Fed is reaching the high point of interest rates and is unlikely to raise them much higher than 5% or so, which means that our strategies have a very good chance of once again achieving their full potential. In any event, BFS will trade the markets as the strategies dictate, NOT as our forecasts predict as in our view that is the only way to make money long term.
Another very bright spot going forward is the work we have been doing on short selling strategies. We have a new short strategy in development that could add very significant edge to the short side. Development is ongoing and very exciting. Portfolio updates will be posted as necessary should it become part of the High Sharpe Portfolio!
If you’d like to find out more about either High Sharpe or Quantum Return Fund, don’t hesitate to book a call on our contact page!