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BR Frequency

Summary

Compare my best BR systems as of Oct'18.

Highlight the value of frequent monitoring and exchanging.

The benefits of weekly updates are apparent in the comparison below:

1991-2018 
       CAGR WrstYr MaxDD Sharpe Sortino MAR Win%
WBR     7.96 1.23 -1.63 1.80 5.41 4.88 81.7
MBR      9.77 1.81 -3.21 1.57 4.98 3.04 82.6
QBR      8.15 -.10 -3.21 1.61 3.54 2.54 83.2
VBMFX  5.49 -2.7 -5.01 0.82 1.35 1.22 69.1
VWINX  8.58 -9.8 -18.8 0.98 1.64 0.46 70.9
VFINX  10.31 -37 -51.0 0.60 0.88 0.20 66.7

Interesting results in that monthly's risk-adjusted return is closer to weekly than anticipated. As expected, quarterly is more of a high wire act.