The market crash last March took most investors by surprise because of its rapid decline, bottoming 4 weeks after making a new high in February. Although considered exceptional by most standards, we think more of these very sharp V-shaped corrections are likely in the future in part because markets are now articially in‑ated by central bank liquidity, including the Fed and the ECB.
Monthly rebalancing during these volatile periods is not ideal because markets are simply moving too fast.
We are addressing this challenge by simultaneously running two versions of Columbus:
- Columbus WEEKLY is optimized to adapt to rapidly-changing market conditions. A more conservative strategy, it is focused on capital preservation to minimize drawdowns during highly uncertain periods.
- Columbus MONTHLY is the de-facto strategy used during normal market conditions, adapting monthly and active for about 95% of the time. Thus, the weekly adaptation only happens during the exceptional market panics.
- An Intelligent SWITCH, a model based on the VIX fear index to determine when to activate the weekly strategy.
Starting this month, the Dual Columbus Strategy is published in this report, providing you with peace-of-mind that Columbus has the capacity to adapt quickly during market panics, protecting capital when such situations happen again in the future.
And as always, our machine learning engineering team continues to work hard at improving our models so we can introduce further improvements to our strategies in the future.