I am new to Collective2, but I have over 2 decades of model building at large Fortune 500 companies. Most of my past modeling dealt with commodity risk mitigation at the corporate level, but I’ve now applied those skills to stock modeling. 2 weeks ago we launched 2 new strategies: Blue Fund & Orange Fund. We did over 5 years of back-testing on both models and the results were so good that we made the investment and submitted them for C2Star certification immediately. Here are the results after being live on the site for 2 weeks:
The strategy behind both of these funds is to meet the very strict C2Star requirements. Both these strategies only trade stocks and the capital is 100% deployed at all times, but we never use any additional leverage, the strategies don’t require it. The 5 year back-testing generated the following results:
The basic premise behind the strategies is to trade like you would invest for the long term, meaning, the model attempts to diversify the daily trades to minimize risk while maximizing returns. Capital is 100% invested daily and most positions are held around 24 hours. The model re-balances the portfolio daily based on daily signals. Both models currently evaluate a basket of 90 stocks, the majority of which are mega-cap or large-cap to maximize liquidity and allow for scalability. The models use a blend of both long and short positions to hedge risk. Throughout the back-testing, roughly 22% of the trades were short and 78% of the trades were long in both models. Most days the models invest in 5 - 9 different positions.
A common question for most new strategies is how will they perform in a bear market, which is why we made sure when we built these models, that the back-testing period included both Bull & Bear market scenarios. As a recent example, the market experienced one of its fastest declines ever between Feb 19th and March 23rd of this year, during that period, the S&P 500 fell -34%. In that same time frame, the Blue Model was up +91% and the Orange model was up +90%. In the back-testing, both models tended to perform even better in a bear market then they did in bull markets, but they both performed very well in both.
It takes 60 days to become C2Star Certified but after 2 weeks, both strategies are meeting all 9 criteria to be certified.
We’d greatly appreciate you checking out our strategies!
Oak Spring Capital.