6. www.thespysurfer.com / info@thespysurfer.com 6/15Jan 10, 2017
VFINX = SPY
SPY4ALL w/ Cash (blue) vs. SPY4ALL w/ Bonds (red) vs. Buy&Hold (orange)
Both reduced MaxDD and increased MAR since 1986
Bonds have been in a bull market for 30 years
7. www.thespysurfer.com / info@thespysurfer.com 7/15Jan 10, 2017
MaxDD = Maximum DrawDowns = Puke Factor
Buy&Hold (red) = -50.97% since 1986
SPY4ALL (blue) = -23.51% (-24.92% with Cash)
8. www.thespysurfer.com / info@thespysurfer.com 8/15Jan 10, 2017
VFINX = SPY
With SPY4ALL model, SP500 Allocation went to 0% (i.e. 100% bonds
or cash) in bear markets and reduced MaxDD since 1986
9. www.thespysurfer.com / info@thespysurfer.com 9/15Jan 10, 2017
SPY4ALL (blue) applied on the TSX Index (red) since 1980
Reduced MaxDD by almost 20% (less puke)
Increased both CAGR and MAR in this case
10. www.thespysurfer.com / info@thespysurfer.com 10/15Jan 10, 2017
SPY4ALL (blue) applied on the SP500 Index (red) since 1950
Reduced MaxDD by almost 23% (less puke)
Decreased CAGR, Increased MAR in this case
11. www.thespysurfer.com / info@thespysurfer.com 11/15Jan 10, 2017
SPY4ALL (blue) applied on the Nikkei 225 Index (red) since 1984
Reduced MaxDD by almost 34% (more puke)
Increased both CAGR and MAR in this case
12. www.thespysurfer.com / info@thespysurfer.com 12/15Jan 10, 2017
SMA-50d/100d/200d applied on <GuessWhat> since 2011
Reduced MaxDD by almost 15% (still a lot more puke)
Increased both CAGR and MAR in these cases
14. www.thespysurfer.com / info@thespysurfer.com 14/15Jan 10, 2017
DEFINITION of 'MAR Ratio'
The MAR Ratio = Compound Annual Growth Rate (CAGR) / Max DrawDown (MaxDD)
The higher the ratio, the better the risk-adjusted returns
The MAR Ratio gets its name from the Managed Accounts Report newsletter
BREAKING DOWN 'MAR Ratio'
Fund A: CAGR = 30%, MaxDD =15%, then MAR = 2
Fund B: CAGR = 35%, MaxDD =20%, then MAR = 1.75
Fund A would be deemed to be superior because of its higher MAR Ratio
Source: Investopedia