Weekly G/L Correlation A.W.A.K.E. vs Sleep Well Portfolio vs SPY


Active member
Aeromir Expert
Many members have asked for correlations of the A.W.A.K.E. and SWP to themselves and to the SPY. First I posted raw correlations then posted downside correlations and upside correlations. Correlations can tell great information about how an asset or strategy moves vs another. Others might disagree, but I prefer to break out upside and downside correlations. By doing this we can get a stronger picture of how a strategy/asset behaves during losses and gains vs the other. When looking at the correlation, the AWAKE and SWP are highly correlated to each other due to the Macro Economic triggers being the core function, but are dramatically uncorrelated to SPY.




To sum this up... the AWAKE and SWP match or take losses 30% of the time to the SPY and gain 20% of the time in relation to SPY. This is important as an investor or trader. If we are anchored to the performance of the SPY on a weekly basis and we see the SPY going up it is resonable to see the SWP/AWAKE performance to be nearly random in comparison. These strategies make their returns in very different ways to equties even though we use equities in them.

Hope this helps to all!
Contact Us