Yieldstream Strategy Performance (as of 11/17/2017)

The chart below compares the performance of the Yieldstream investment strategy to a High-Yield Bond Index [2]. The Yieldstream strategy has been profitable every single year, with a compound annual growth rate (CAGR) of 13.7%. An initial investment of $1,000 in 1984 would be worth $76,764 today [1].

Strategy: Yieldstream High Yield Index [2]
Compound Annual Growth Rate [1] 13.7% 7.7%
Standard Deviation [3] 2.9% 3.7%
Maximum Drawdown [5] -3.6% -34.0%
Sharpe Ratio [4] 3.26 1.08
Growth of $1,000 invested in 1984 $76,764 $12,401

By comparison, the benchmark portfolio (High-Yield Index) has a CAGR of 7.7%, annualized standard deviation of 3.7%, and Sharpe Ratio of 1.08. Note that the benchmark drawdowns (-34.0%) are significantly worse than the strategy drawdowns (-3.6%). In other words, a typical “buy-and-hold” high yield bond portfolio would have lost more than one third of its value (during the global financial crisis in 2008-2009), while the Yieldstream drawdown was barely noticeable.

Annual Performance

Year Yieldstream Strategy High Yield Index
1984 13.07% 9.33%
1985 23.34% 25.67%
1986 19.54% 13.37%
1987 8.25% 2.21%
1988 13.06% 12.62%
1989 8.04% -0.56%
1990 12.23% -10.24%
1991 34.47% 36.51%
1992 18.29% 17.16%
1993 21.70% 18.37%
1994 3.68% -3.06%
1995 19.21% 17.49%
1996 15.95% 13.09%
1997 15.39% 13.50%
1998 12.13% -0.17%
1999 10.08% 5.04%
2000 5.31% -7.26%
2001 14.67% 2.38%
2002 8.57% -1.46%
2003 20.32% 24.05%
2004 10.01% 9.94%
2005 5.30% 2.61%
2006 11.75% 10.10%
2007 9.36% 1.29%
2008 9.98% -26.67%
2009 55.04% 45.55%
2010 14.15% 14.18%
2011 7.30% 2.75%
2012 14.12% 14.71%
2013 8.00% 6.93%
2014 5.22% 1.10%
2015 2.40% -4.06%
2016 18.99% 13.28%
2017 4.77% 5.58%

Monthly Strategy Performance

Year JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
1984 0.7 -1.0 -0.3 -1.1 0.1 2.3 3.0 2.4 2.7 1.6 2.0 13.1%
1985 3.6 0.3 0.5 2.0 3.4 2.4 0.4 1.3 0.8 1.5 2.4 2.8 23.3%
1986 0.8 4.3 3.5 1.8 0.7 1.0 0.7 1.5 0.3 1.5 1.1 0.8 19.5%
1987 2.4 1.7 1.3 -0.3 0.2 0.5 0.9 -1.3 0.2 1.1 -0.1 1.3 8.3%
1988 2.9 3.2 -0.3 0.7 0.1 1.5 1.2 -0.1 1.6 1.1 0.1 0.5 13.1%
1989 1.2 0.4 0.2 1.4 1.3 1.6 0.4 -0.2 -1.4 1.7 0.8 0.4 8.0%
1990 -0.1 0.5 0.3 0.1 2.2 2.0 2.8 -0.5 0.8 1.0 1.4 1.0 12.2%
1991 1.5 4.1 3.8 4.3 2.2 2.3 3.7 1.9 1.8 3.6 0.6 0.3 34.5%
1992 3.6 2.8 2.6 1.2 1.6 1.4 1.6 1.3 0.9 -1.3 0.9 0.5 18.3%
1993 3.3 2.4 2.3 0.3 1.9 2.4 1.4 0.8 -0.3 2.2 1.6 1.6 21.7%
1994 4.4 0.3 -1.1 -0.4 0.2 -0.0 0.7 0.5 -0.1 -0.3 -0.6 0.2 3.7%
1995 1.5 3.9 1.1 2.3 2.8 0.2 2.4 0.8 0.9 -0.1 0.7 1.2 19.2%
1996 2.8 1.3 -0.0 0.3 1.2 0.4 0.3 1.7 3.0 0.8 1.6 1.6 16.0%
1997 1.3 2.1 -0.8 1.0 2.3 1.9 2.6 0.5 2.4 0.1 0.2 1.0 15.4%
1998 2.0 1.1 1.5 0.5 0.2 -0.0 0.5 0.4 1.1 0.3 4.6 -0.5 12.1%
1999 1.9 0.1 2.0 2.0 -0.8 0.2 0.2 0.2 0.8 0.3 1.3 1.7 10.1%
2000 -0.5 0.5 -0.2 0.1 0.3 1.2 -0.1 0.3 0.6 0.5 1.1 1.3 5.3%
2001 7.5 1.0 -0.7 0.1 0.7 -0.4 1.2 0.4 0.4 1.3 3.6 -0.9 14.7%
2002 0.2 -0.4 2.0 1.0 -0.1 -0.0 1.2 0.6 -0.2 -0.2 3.8 0.4 8.6%
2003 0.9 0.9 1.9 4.3 0.3 2.1 -1.0 1.1 2.4 2.2 1.2 2.4 20.3%
2004 2.1 -0.8 -0.3 -1.1 -0.4 1.0 1.2 1.7 1.3 1.9 1.7 1.4 10.0%
2005 -0.2 1.6 -0.8 0.7 0.5 1.3 1.8 0.5 -1.3 -0.5 0.4 1.1 5.3%
2006 1.3 0.8 0.6 1.3 0.1 -0.5 0.8 1.4 1.1 1.6 1.5 1.3 11.8%
2007 1.3 1.4 0.4 1.5 1.0 -0.3 0.9 1.0 1.2 0.7 -0.4 0.3 9.4%
2008 2.0 0.8 0.3 2.6 0.4 -0.4 0.3 0.5 0.4 -0.2 1.4 1.5 10.0%
2009 4.0 -0.7 2.7 9.5 6.3 3.0 6.2 2.0 5.1 1.3 2.1 3.5 55.0%
2010 1.0 -0.9 4.1 2.4 -3.1 0.0 3.1 -0.5 3.3 3.0 -0.3 1.5 14.1%
2011 2.5 1.5 0.3 1.9 0.5 -1.0 0.6 -1.3 -0.1 2.7 -2.2 1.8 7.3%
2012 2.8 2.4 0.1 0.9 -1.0 0.8 1.8 1.5 1.5 0.9 0.3 1.3 14.1%
2013 1.6 0.6 1.2 1.8 -0.2 -0.4 0.4 -0.4 0.1 1.9 0.7 0.6 8.0%
2014 0.8 1.9 0.3 0.8 1.1 0.8 -0.1 0.2 -0.5 0.0 -0.1 0.0 5.2%
2015 -0.0 2.3 -0.5 1.4 0.6 -1.4 0.0 0.0 0.0 0.5 -0.5 0.0 2.4%
2016 0.0 0.0 2.0 4.6 2.1 0.9 2.7 2.9 0.2 0.8 -0.3 1.8 19.0%
2017 0.7 0.9 -0.6 0.9 0.8 0.5 1.4 -0.3 0.7 0.3 -0.6 4.8%

Notes

  1. Yieldstream was made available to subscribers on 7/7/2011. Performance results before this date are a hypothetical strategy backtest. Strategy signals since 10/21/2011 are tracked and verified by TimerTrac.com. Note that TimerTrac does not support tracking of the individual mutual funds we use in the Yieldstream portfolio, so they track only our strategy signals: switching between a low volatility and high yield bond ETF. As a result, the tracked performance will be lower, but still confirms when our strategy issued its signals. Recent signals are shown only to current subscribers.
  2. In the long term, high-yield bonds offer the highest total bond returns, which makes a high-yield bond index a good proxy for the maximum return that a fixed income investor can attain.
  3. Standard deviation, also known as historical volatility, is used by investors to measure portfolio volatility. Volatile funds or portfolios have a high standard deviation. When comparing investments, a low standard deviation is preferable.
  4. The Sharpe Ratio measures risk-adjusted performance. It’s calculated by subtracting the risk-free interest rate from the rate of return for a specific portfolio, and dividing the result by the standard deviation of the portfolio returns. We use U.S. Treasury Bill returns as our risk-free investment. When comparing portfolios, a high Sharpe Ratio is preferable.
  5. Drawdown: the peak-to-trough decline in investment or portfolio value, measured as a percentage between the peak and the trough. A good investment strategy aims to minimize drawdowns.
  6. An investor following the Yieldstream strategy typically submits the rebalancing orders after the market close or during the next business day. These performance results incorporate this 1-day delay. The reported strategy allocation changes are also delayed by a day, and show the date on which fund orders were actually executed (Yieldstream subscribers receive these signals on the previous day).
  7. These performance results do not incorporate the expense of mutual fund trading comissions, which vary by broker and by fund. While every individual investor's situation is unique, we've estimated the impact of these expenses in this post. (Please read the section "Impact of trading commissions").

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What is Yieldstream?

A high-yield bond investment strategy that performs in all market conditions. Yieldstream is offered as a subscription, and takes just a few minutes a month to implement. [Read More]