Quantbase · investment strategy
by Quantbase
A fund that invests into an allocation of stocks that do well in crises, based on a research paper that backtested factors to 1974. The fund detects a bear market using the high yield spread - when the difference between junk bond and US Treasury interest rates is above 6.5%.
Description from Quantbase
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
Each rule is quoted word for word from the strategy's own documents.
“Switches between a defensive & Crisis Portfolio and standard market exposure (SPY)”
“positive net income”
“high asset turnover (revenue over total assets)”
“de-leveraging”
“are considered a value stock”
“positive operating cash flow”
“The fund detects a bear market using the high yield spread - when the difference between junk bond and US Treasury interest rates is above 6.5%.”
“based on high-yield corporate bond spreads”
1 positions as of 2022-07-21
by the source.
Fitted to 77 returns (composite) from 2023-10-25 to 2026-09-29. An estimate, not holdings: it can't name stocks.
· : 0.97 · Holdings take precedence for verdicts.
Beta to the S&P 500: 0.99 (90%: 0.98 to 1.00)
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
3.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30) · : SPY via IVV
The holdings on file are more than 120 days old, so there’s no verdict. : 99% · 2022-07-21
0.0% of weight in (SPY: 0%)
The holdings on file are more than 120 days old, so there’s no verdict. : 100% · 2022-07-21
Strategies that share its Macro signals label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Composer Technologies · Composer
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
3 missing · 1 out of date
The text the rules are quoted from, with where it came from.
Switches between a defensive & Crisis Portfolio and standard market exposure (SPY) based on high-yield corporate bond spreads
The fund uses 7 factors to determine which stocks to invest in and hold during a crisis and shortly after. These factors are: high asset turnover (revenue over total assets), positive net income, low trade volume, positive operating cash flow, de-leveraging, have a currently high net debt over enterprise value, and are considered a value stock. Empirical data and backtests show that stocks ranking highly on these factors do exceptionally better than the market over the 24 months proceeding a crisis.
This strategy is aggressive in a bear market - it does not flock to safety. This is not for you if you are uncomfortable with falling returns at the start of a crisis or bear market scenario; The strategy hits its stride between 12 to 24 months after the start of a crisis, beating the market substantially in 5 of the last 7 crises (with losses to market remaining low); The strategy is based on this research paper by a global asset management firm.
This strategy relies on the theory that certain factors (aka sections of the market) do better than others, or the market as a whole, during crises. It also relies on predicting the start of a bear market correctly, two strong assumptions. This strategy invests in fractional shares when available. When not available, it will invest in the nearest (lower) whole number of shares. Please note that this number may be 0 if your investment in this strategy is sufficiently low, meaning our investment strategy advertised returns will be different from your returns.
A fund that invests into an allocation of stocks that do well in crises, based on a research paper that backtested factors to 1974. The fund detects a bear market using the high yield spread - when the difference between junk bond and US Treasury interest rates is above 6.5%.
Every value on file, each labelled with its calculation basis and as-of date.
| Last rebalance date | 2022-07-01 | 2026-10-04 | |
| Rebalance frequency | monthly | 2026-10-04 | |
| Rebalancing (methodology text) | Signal-based |
| Brokerage / custodian | Alpaca | 2026-10-04 | |
| Management / advisory fee | 1.00% |
| Metrics calculated through | 2026-10-04 | 2026-10-04 |
| Program in the firm's Form ADV brochure | url: https://files.adviserinfo.sec.gov/IAPD/Content/Common/crd_iapd_Brochure.aspx?BRCHR_VRSN_ID=1043543 · name: Crisis Flagship Credit-Spread Tactical Rotation · covers: 1 · source_key: quantbase_surmount|5 · original_name: Crisis Flagship |
| Correlation to SPY (Quantbase data field) (basis not stated) | 0.36 | 2026-10-04 | |
| Correlation to SPY (full history) (client composite) | 0.36 | 2026-10-04 |
| Annual return (Quantbase data field) (basis not stated) | 18.42% | 2026-10-04 | |
| Backtest end date (Quantbase data field) | 2022-07-01 | 2026-10-04 | |
| Return since chart start (cumulative) (client composite) | 65.84% | 2026-10-04 | |
| Return, rolling 1 year (client composite) | 5.06% | 2026-10-04 |
| Daily volatility over the chart range (client composite) | 0.84% | 2026-10-04 | |
| Max drawdown (Quantbase data field) (basis not stated) | -34.10% | 2026-10-04 | |
| Max drawdown over the chart range (client composite) | -19.22% | 2026-10-04 | |
| Monthly volatility over the chart range (client composite) | 4.18% | 2026-10-04 | |
| Sharpe ratio (Quantbase data field) (basis not stated) | 1.24 | 2026-10-04 | |
| Sharpe ratio from daily returns over the chart range (client composite) | 0.82 | 2026-10-04 | |
| Volatility (Quantbase data field) (basis not stated) | 1.41% | 2026-10-04 | |
| Volatility over the chart range, annualized from daily (×√252) (client composite) | 13.33% | 2026-10-04 |
| Qualitative risk score (Quantbase data field) | 4 | 2026-10-04 | |
| Risk score 0-5 (Quantbase) | 3.95 | 2026-10-04 |
| Experience minimum: bonds | 0 | 2026-10-04 | |
| Experience minimum: crypto | 0 | 2026-10-04 | |
| Experience minimum: equity | 0 | 2026-10-04 | |
| Experience minimum: leverage | 0 | 2026-10-04 | |
| Experience minimum: options | 0 | 2026-10-04 |
Composer Technologies · Composer
Composer Technologies · Composer
