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Consumer Credit Stress

Consumer discretionary vs staples ratio as credit stress indicator

3Y
Total Return
+119.6%
3Y
Sharpe Ratio
0.67
3Y
Max Drawdown
-16.7%
3Y
Win Rate
53.0%
3Y
Alpha
-35.4%
3Y
Comp. Score *
0.37
Risk Parameters
Max Allocation18.0%
Stop Loss16.7%
Take Profit15.0%
Max DD Tolerance16.7%
Rebalanceweekly
Execution Guidance
Order TypeMarket
Entry RuleUse market orders for volatile names.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
TLT BUY 12% 8.5% below entry 7.6% above entry 35.5% TVYH
GLD BUY 23% 16.3% below entry 14.7% above entry 18.5% TVYH
SPY BUY 16% 11.5% below entry 10.3% above entry 26.2% TVYH
QQQ BUY 22% 15.3% below entry 13.8% above entry 19.6% TVYH
XLY BUY 22% 15.5% below entry 14.0% above entry 19.3% TVYH
KRE BUY 27% 19.1% below entry 17.2% above entry 15.7% TVYH
HYG BUY 5% 8.3% below entry 7.5% above entry 36.1% TVYH