Back to the 1870’s

Friday, April 1st, 2022   Categories: Harlyn's Process, Market Timing, Risk-Adjusted Returns

150 years of beating the benchmark

We have recently achieved one of our most cherished ambitions – to test our process against a truly long-run data set and see if it works. The answer is a very definite yes. Our standard process beats US equities, US Treasuries – and any fixed combination of these two – on all of the three most important tests: highest absolute return, most risk-efficient return and smallest drawdown. The test covers 150 years, including two world wars and multiple bear markets. The outlook for the world is impossible to forecast at the moment, so we find it very comforting that a systematic data-driven approach can do so well