High Yield
A weekly model that rotates between high-yield credit and cash, built for steady income with tightly controlled downside.
For this audience, drawdown carries equal weight to return. The study’s stated maximum drawdown is −6.95%, measured on daily closes; the chart above plots the month-end series, whose deepest decline is −6.30%. The benchmark’s worst case was far deeper.
For an income strategy, the shallowness of the worst case is the point. While credit markets fell sharply in 2008, the model's deepest drawdown was held to −6.95%.
A drawdown curve shows the shape of risk; this shows its worst individual moments. These are the ten months the benchmark fell hardest — the months a client remembers — and what the model did while it happened. Because the decision is weekly rather than monthly, the model can finish a falling month higher than the benchmark.
Steady income, with the downside tightly controlled.
High Yield is an income-oriented model on the high-yield credit market. Each week it decides whether to hold high-yield credit or move to cash.
Its signature is consistency: a high proportion of positive months and a shallow worst-case drawdown, aimed at investors who prioritize steady income and capital preservation over maximum growth.
Everything an auditor would ask for.
Sharpe and Sortino are annualized on a single return frequency — monthly mean and monthly standard deviation, both scaled to annual — net of a 3% risk-free rate. Because the numerator is the arithmetic annualized return, these ratios are not reproducible from the geometric annualized return shown above. Batting average is the share of positive months and is not annualized. Ratios are computed on the record through 31 August 2026; the annualized return and maximum drawdown above are the figures stated in the source study, which ends 29 May 2026.
All performance shown is hypothetical and back-tested — it does not reflect actual trading with client assets and has inherent limitations (designed with the benefit of hindsight; may not reflect the impact of real market conditions). Past performance is not indicative of future results.
Results are gross of fees; transaction / custodial fees and taxes are not reflected and would reduce results. This is not an offer to sell or a solicitation to buy any investment. Charts use representative illustrative data; final disclaimer wording to be confirmed with counsel / compliance.
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