• OpenMetrics

Downdraft Hedging

Updated: Apr 24, 2019


Dynamic Wealth Protection for Equity/Bond Investments

In this article we analyse two dynamically allocated U.S. equity/bond indices. These are

Barclays Dynamically Balanced Index (USBITR) and NYSE’s Dynamically Allocated Index

(NYUSDA).


The two indices are compared with the results from a downdraft hedging strategy based on Byesian statistics. The approach analyses the location of structural changes and breaks in the dynamics of the underlying stock/bond assets that form the rules for rebalancing the investment.


This process of wealth protection may be of general interest for insurance companies and pension funds during times of volatile stock markets and low or even negative interest rates.


Downdraft hedging is thus an ideal tool for separately managed accounts, mutual funds and exchange traded funds.



OpenMetrics Solutions LLC

Dufourstrasse 47

8008 Zürich

contact@openmetrics.ch

www.openmetrics.ch

  • LinkedIn Social Icon
SMS-Logo-1h-300dpi_RGB.png

swiss made software is the nationally and internationally recognized symbol for Swiss quality in software development.