SPY test of AIM
The results are very encouraging, but I wonder if the author calculated the Maximum Draw Down. If the index declined by 50%, with a 50% cash starting component, the drawdown would be 25% over the whole account on a buy and hold basis, but AIM buys more on the way down, and these additional purchase decline too, until the bottom is reached, so I would imagine the MaxDD is significantly greater than 50%. Has anyone worked this out? I think it is an important statistic for any investment system. I also think that in managing an overall portfolio it is important to try to manage overall portfolio volatility, and MaxDD risk - 10% or less as a target for annualised volatility seems quite common.
Daisy42
