Our Approach
Momentum Detection
StormGuard™
Dual Defense™
SwanGuard™
Momentum Detection
It’s All About Reducing the Noise
The performance of momentum investing depends on its proficiency in extracting trend signals from noisy market data. Our advanced signal processing algorithms employ the cross-disciplinary sciences of Matched Filter Theory and Differential Signal Processing – the same technologies that enable WiFi, USB, iPhones, and remotely controlled rovers on Mars to perform so well.
Simply put, cleaner momentum signals lead to better decisions. Please view the video (right) to appreciate the importance of getting momentum right. Whether a bull or bear strategy is engaged, The AlphaSheet Model Portfolios select a set of momentum leaders from among their pool of candidate funds.
StormGuard™
StormGuard™ – Market Risk Assessment
Risk is not a trivial problem cured by an ordinary dose of diversification. Risk is a complex problem, and diversification’s passive “risk dilution” is only just the start. Our research shows that the most proficient way to reduce risk is through “avoidance” – specifically, avoidance of laggards and bear markets. StormGuard assesses the risk of U.S. equity markets using four key metrics: Price-trend indicates whether market prices are trending higher or lower. Market momentum employs volume to assess investor conviction. Value sentiment assesses recent 52-week highs and lows. Market volatility assesses the probability of an extreme market decline. Detailed charts of these factors can be found in The Alpha Daily Brief. Please also view the StormGuard video.
Dual Defense™
Two Guard Dogs Are Better
While StormGuard™ is the first line of defense when market momentum fails, TrendGuard™ acts as a second line of defense by further incorporating a Defensive Backstop Model to compete directly for momentum leadership with the Model Portfolio’s candidate funds in order to provide a performance floor in the event that the candidate funds begin performing poorly separate from the broader market. Dual Defense™ assesses safety in two different ways: It’s like having a guard dog at the front door and a guard dog at the back door. We know that no guard dog catches everything – but two guard dogs are better than one! See more in this Dual Defense PDF. Please also view the Dual Defense video.
SwanGuard™
Black Swan Event Vaccination
SwanGuard™ is an integrated extension of StormGuard designed to detect the onset of Black Swan market events, which are defined as being rare, unpredictable, and beyond the realm of normal expectations. The 2020 Covid-Crash had an extraordinary volatility spike and clocked in with the fastest equities crash on record, 3x faster than 1929 and 4x faster than 1987. SwanGuard may be triggered at any time during the month to signal an immediate move from equities to relatively safe US Treasuries. StormGuard eventually takes control from SwanGuard and manages the remainder of the Bear Market. Additional details can be found on our SwanGuard Page. Please also view the SwanGuard video.