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The KP Trend Model: Managing Beta to Improve Alpha
KP Model: Current Status 2019-Present
Independent momentum studies interact synergistically to significantly reduce portfolio drawdown and improve long-term returns.
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 capably during the 2006–2012 period which included the 2008 bear market. Model parameters for this ex post simulation are identical to those we use currently.
KP Model: Historical Chart 2013-2018
Model parameters for this ex post simulation 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 for risk-averse portfolios. It has averaged 5.2 changes of direction annually for the past two decades.
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 our current 10×10 portfolios are currently drawn. The list encompasses over 60% of the capitalization of the US stock market, and is updated every six months.
