Universal Investment Strategy

Investment Summary

The Universal Investment Strategy rebalance every month on some multiple of 5% between SPY and TLT that previously maximized the following quantity (returns/vol^2.5 on a 72-day window).

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Investment Performance
Investment Return (?):	13.17%		Volatility (?):	9.90%		Sharpe Ratio:	1.33		Maximum Drawdown:	-16.80%

Investment’s Fundamental Concept:

The concept on which the strategy is based uses a walk-forward methodology of maximizing a modified Sharpe ratio, biased heavily in favor of the volatility rather than the returns. That is, it uses a 72-day moving window to maximize total returns between different weighting configurations of a SPY-TLT mix over the standard deviation raised to the power of 5/2. To put it into perspective, at a power of 1, this is the basic Sharpe ratio, and at a power of 0, just a momentum maximization algorithm.

Investment’s Logic:

The process for this strategy is the following: rebalance every month on some multiple of 5% between SPY and TLT that previously maximized the following quantity (returns/vol^2.5 on a 72-day window).

Other Investment Strategy Characteristics:
Investment Type:	Momentum Strategy		Investment Risk:	2/5 Low		Backtest Range:	30-40 years		Rebalancing period:	Daily

Investment Strategy Markets:
Dow Jones Stoxx 50 index futures (FSTX)

Universal Investment Strategy

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