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RMI Toronto beats the S&P TSX

Mukul Pal · November 10, 2013

RMI TORONTO 15

A key test for trading systems, quant strategies or models is how they behave in different market conditions. At any point of time there are markets which are positive, negative and sideways. This is quite normal as at a group level market components are witnessing different performance cycles. The RMI US Active 30 was benchmarked against the S&P 500, when the respective benchmark has been in a secular upside.
How to build a model which works across markets? A model for all markets has to come from universal laws, something that can see the big picture, and something that can filter out performance even in a lackluster market; something that can understand the spectrum of performances across risk preferences and holding periods.
The S&P TSX has been in sideways action since 2010. Now as we head into 2014, this would make it one of the longest sideways actions among global markets. The RMI Toronto Active 15 has outperformed the benchmark for the last 11 months, delivering 10% for the year and overall 22% annualized over the last 10 years. Both RMI and the benchmark had a similar volatility. RMI methodology is based on a universal law this is why most RMI models outperform their respective universe. RMI Toronto has been pretty spectacular among the RMI models. It has underperformed the benchmark only once in the last 10 years.
Enjoy the latest RMI Toronto 15
 

RMI US 30 VS SNP500

PERFORMANCE TABLE

RMI US 30 beats S&P 500
Market Scenario Analysis

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