MCR Market Report

The Leader in Quantitative Analytics

MCR Asset Class Portfolio - Delayed Holdings

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We are excited to announce the publication of the MCR Asset Class Portfolio, an investing technique that up until now has been only used internally.  The MCR Asset Class Portfolio is a rotational ETF portfolio made up of widely-traded ETF's that cover almost all of the major asset classes available to individual investors.  The ETF portfolio is meant for investors to have a well-diversified portfolio with a variety of uncorrelated assets.  Portfolio generation occurs in a two step process.  First each ETF is given a buy or sell signal based on internal indicators, then those that pass the first test are ranked according to our proprietary relative strength measure.  We recommend a well-diversified portfolio holding 10 ETF's to realize the most reward given a conservative level of risk.  Our testing environment goes back over 12 years, so that we can demonstrate the effectiveness of our strategy during the worst financial crisis since 1929.  In addition, most of the ETF's we need to create a well-diversified portfolio didn't exist until after 2006.  Our performance is nothing short of phenomenal.  We are able to generate a return of over 2:1 over buy-and-hold investors in the S&P 500, with over a 3:1 improvement in maximum drawdown.  The MCR Asset Class Portfolio has a maximum drawdown of just 12% versus the S&P 500's drawdown of OVER 54%! 

The numbers:

MCR Market Report - The Leader in Quantitative Analytics
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