The idea worth investigating
10.36% annualized with a 40.88% maximum monthly drawdown, versus 10.29% and 50.31% for the market control. The tested idea switches between trend following and staying long the market as valuations change.
FPM US monthly house adaptation, June 1968–December 2023, with a full month of added information delay, 10bp per dollar traded and modeled short-borrow costs.
Retrospective simulation using revised macroeconomic data, not certified point-in-time inputs or live performance. Drawdowns use monthly marks. The return advantage remains statistically uncertain, and exact source replication is not claimed.
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See what changes the investment case.
The headline is the starting point. The subscriber analysis takes you through:
- The valuation-boundary formula and the paper’s explicit allocation switch
- Matched market and momentum controls with costs and delayed signals
- Why revised data, financing assumptions and drawdown frequency matter
AI assists curation and drafting. The research status distinguishes paper reviews from house tests. Read our research approach.