Chart Library

The KP Trend Model: Managing Beta to Improve Alpha
     
KP Model: Current Status  2019-Present
Independent momentum studies interact synergistically to reduce portfolio volatility, drawdown and improve Sharpe ratios.

KP Model: Historical Chart  1999-2005 
The KP Trend Model managed systematic risk capably during the volatile 1999–2005 period.  Model parameters for this ex post simulation are identical to those we use currently.

KP Model: Historical Chart  2006-2012
The KP Trend Model managed systematic risk very capably during the 2006–2012 period which included the 2008 bear market during which our oldest model, KP-1, was live and managed the crash capably.  Significant reduction of drawdown and improved Sharpe ratios. Model parameters are the same as those we use currently.

KP Model: Historical Chart  2013-2018
Model parameters for this chart are identical to those we use currently.

The KP Intermediate-Term Equity Model
The Intermediate-Term Trend Model is our most sensitive exposure management tool.  It has averaged 7.1 changes of direction annually for the past 28 years (live signal since March 2006 / simulated ex post to December, 31 1996).

Managing an Index Investment

Risk-Managing the S&P 500 Index
Applying the Model’s three-stage equity exposure signals to a hypothetical investment in the S&P 500 Total Return Index

Return Pattern and Metrics —  S&P 500 Total Return Index Illustration (24 Years)
Monthly return pairs for the risk-managed SPX-TR portfolio, with performance metrics

Risk-Managing the Nasdaq 100 (NDX) Index
Systematic risk management can add significant value to the management of higher-volatility asset classes such as the Nasdaq 100 Index

Return Patterns and Metrics  —  Nasdaq 100 Index Illustration (24 Years)
Monthly return pairs of the risk-managed NDX portfolio, with performance metrics

 

The 10×10 Evaluation Process — Mobilizing Technical Factors

10×10 Portfolio — Long-Term Chart Book 1999 – 2020
Actively-managed large-cap portfolios that prioritize the control of volatility and drawdown.  The portfolio construction process is 100% rules-based and operates autonomously, as it did for this 22-year ex post simulation.  

Universe of 120 Large-cap Issues — Largest, Most Liquid Shares Traded on US Markets
This is the securities list from which the active large-cap 10×10 portfolios are currently drawn.  The list represents over 60% of the capitalization of the US stock market, and is updated every six months.