A Dirty Little Piece of Braggadocio

I run, as a sideline, a hobby perhaps, though with a just-slightly-less-than-trivial grubstake, a systematic alt risk strategy that is more or less this: (fixed income momentum)+(macro)+(short vol)+(other).  Let's call it an incoherent hodgepodge of non-correlation strategies I thought I could manage based on all sorts of things I've picked up here and there over the years working in areas like consulting, trading, hedge funds, etc.  I have posted a bit on this elsewhere.  Mostly, if not entirely, rule based, I've been running this thing from somewhere around Q2 2011 [red flag: I am not tested by '07-'09!] thru today with minor twists and turns in strategy here and there over the years.  I have to say that during most days, weeks, months and years over that entire slice of time I have had serious and entrenched and ongoing doubts about whether what I am doing is accretive, on the margin, to my family's financial world, a financial world where the mistakes could be fatal to me and my kids if I get it wrong (that means I test everything, all the time, to make sure).  That also means that I have had a total commitment, every step of the way, to the proposition that the absolute millisecond I am convinced that it, this thing I do, is not adding to my overall efficiency, I will walk away...with no regrets...ever.    On the other hand, for a brief shining moment, I think I can say that I am doing ok. Tomorrow is another story but today is ok.  This is what I see YTD 2016:


+04.70%   S&P total returns
+04.29%   Barclays Hedge Fund Index
+00.15%   Barclays CTA index
- 01.56%   Credit Suisse Hedge Fund index
- 01.08%   Credit Suisse Global Macro index
- 03.24%   AQR Managed Futures returns
+04.30%   AOM asset allocation ETF*

+08.90%  RiversHedge "junk" strategy


Ah, but what about volatility you say?  I have no idea right now but every time I've checked on this over the last 5 years, the RiversHedge "junk" strategy has had substantially lower vol than all of that other stuff. Every time I put this on a mean variance map I seem to do ok (there are posts on the site that have the goods on this). I was too lazy to look at this issue for this particular post but I am confident that my Sharpe Ratio is on pretty solid ground here.  This is not a public accounting kinda thing so I guess you'll have to trust me for now.  Like I said in the title, I'm just doing a dirty little bit of bragging before everything goes south.  You know, a pride-and-fall kind of thing.





* Last time I checked this was 40-60 to 50-50 stocks/bonds.  Depends on when one looks.  I also need to dbl chk returns of AOM and S&P since the allocation index returns are a little too close to the S&P.  That confuses me but I will retreat to the hedge I've used before: no one reads this stuff so the stakes are low...