Thursday, October 15, 2015

Investment Optimization Model (IOM) Performance - September 15

September saw extreme volatility. Model went all cash on September 1st and stayed away from the volatility. However, September 1st saw a sharp negative open in the market. It was the same day when the market went to cash at the open. As a result, model was hit from a returns perspective.

However, from peace of mind and Sharpe Ratio perspective, it did very well. 

Model remained on the sidelines through out the month of September to evaluate the market and decide its next steps.