Could be also simply a normal underperformance streak of you modells.
I you have a value tilt in them, value is doing terrible right now, also momentum modells where killed in 2018 and 2019.
Also we had a lot of quad4s (inflation slowing, Gdp slowing) and quad3s (inflation going up, gdp going down, that is happening right now), that
favour industries stocks and low vola. (see attachment).
Quad3 (happens right now!) for example favours energy and kills small cap value.
My tips:
- try to add industry momentum to your modells and see what happens, helped my ones a ton!
- Momentum works in three (1-3) of the four quads (market regimes), value only in Quad1
- Quality works in three quads (2-3)
- be out of stocks in quad4 (inflation slowing and gdp slowing) for timing
This is also the reason why those ETF modells are pretty consistent, bc. their exposure is clear on a lo of different themes like beta and defensive asset classes (bonds etc.).
The quad stuff is from Dalio and Hedgeye (i find their calls hard to follow, but theire framework helped me with my modells)
Also:
Even very, very good modells do not always track the market, I even find that robust ones (assumtion!) tend to undertrack regualary (going up, when markets going down, or going down, flat when markets going up).
Best Regards
Andreas