Are you cash?

Dacian Jurj
dacian.jurj@orpheusindices.com
 

Do you run an active model or your allocation is with a money manager who manages your money actively? Are you cash? Since when are you cash? How much of your model is cash? If you don’t have a clue of what I am talking about. Let me explain.
Active models mean that the model captures the uptrend and when trend reverses, the model should allocate out of positions and go cash. This is what it means ‘going cash’. This is the only way active models can conserve against a large drawdown.
Remember the five things markets do? Big profit, Small profit, No profit, No loss, Big Loss. It’s the fifth one, which kicks you out of the market for good. Once you have a big loss, the chances of you coming back become very low.
We have spent years building out active models, which are licensed to real money now. Though our active models outperform and deliver more than 10% excess returns across global regions on a risk-weighted basis, it’s the ‘going cash’ part which we consider as the significant character of RMI Active.
Currently, the RMI US Active is 33% cash. The cashing process started before the big dip. India Active is 54% cash. The process started near the top of the market in Mar at Nifty 9000. Romania Active is all cash. And the biggest surprise, Canda is all invested. All this indicates that the caution on equities is not similar to the caution in Canada which also has a commodity weight. Let’s see how it unfolds.
India 50 (Benchmark) vs. RMI India Active Cash%

US 100 (Benchmark) vs. RMI US Active Cash %

Toronto 350 (Benchmark) vs. RMI Toronto Active Cash %

Romania BET (Benchmark) vs. Romania Active Cash %