Quantbase Crisis Flagship
A fund that invests into an allocation of stocks that do well in crises, based on factors backtested 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%.
Fund Holdings
The crisis allocation from the bottom of the COVID pandemic was exited after its 2 year investment period. Because the crisis signal was below 6.5% at the time of reallocation, the fund was rebalanced into the market.
Fund details
Risk score
Max draw down (of range)
Daily Sharpe (of range)
Daily Volatility (of range)
Monthly Volatility (of range)
Correlation to S&P (total)
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.
Key Considerations
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.