A.
1. What is the current economic regime?
2.What is the recent market performance? (momentum strategies, trend following)
3.What was the recent volatility? (Risk Parity)
Goal: do all three.

B.
1. Adaptive (Economic) Regime Approach:
Strategy to use:
-Invest in S&P 500 Index, if WLI growth> 0
-Invest in Barclay Capital US Aggregate Bond Index, otherwise.

2. Adaptive (StockMarket) Return Approach:
- It was shown that stocks with strong past
performance continue to outperform stocks with poor past performance in the next
period with an average excess return of about 1% per month
- "There is a well-established relationship between Financial market returns and economic
and business cycles. Normally, equity markets tend to perform well during economic
expansion,"
But if it is true, than looking both Economic regime and StockMarket past price is redundant.
-Trend Following Strategy:
	- Invest in S&P 500 Index, if S&P 500 Index is above its 9-month moving average
	- Invest in Barclay Capital US Aggregate Bond Index, otherwise.
-Or Momentum Rule (momentum was better for 15 assets (15.4%CAGR) than Trend following for only SPX (12.8%CAGR) vs. Buy&Hold (11%CAGR)):
I use 3- month past returns to capture the medium term trend. Then I select four of the assets
with the strongest momentum to create an equally-weighted portfolio.

3. Adaptive Risk Approach	
Risk-Parity Rule (use correlation) or Volatility weighted (simpler, better CAGR, use this) is used for allocation.
But note that compared to Equal Weight, Vol.weighting usually decreases CAGR, but decrease StD. too, so Sharpe and maxDD are improved.	
Based on that vol-weighting is advised to be used on our GameChangers, because even though CAGR will not increase, maxDD, and Sharpe will be better.

4. Integrated Adaptive approach
1. Identify economic/market/risk regimes with economic and market indicators using Adaptive Regime Approach;
2. Select the best assets in the economic regime identify in step (1) with Adaptive Return Approach such as momentum;
3. Construct portfolios with the assets selected in step (2) with Adaptive Risk Approach such as risk parity.
> I understand why he didn't wint the Wagner award. That is lousy explanation.

What is the effect of "Identify economic/market/risk regimes " if later he doesn't use it.
How does he use it?
Imagine: we are in economic recession, or expansion regimes, Bullish/Bearish market, high/low volatility regimes.
Then what? How does it affect the ETF universe for momentum? It is not explained.
>I guess it is discretionary decision of their Fund, that is why he didn't want to publish it.

C.
We can integrate this to our TAA with GameChangers strategy.
By looking at the WLI.
https://www.businesscycle.com/
What Task to do?
-Ask Laszlo to crawl it into our database as Index.
-create a homepage that shows it
- If there is a change in it, send ourselves an email

4.
Their hedge fund's Dynamic Sector and Dynimac MultiAsset is inline with the market (not really better), but too short history, only 2 years:
http://julexcapital.com/wp-content/uploads/2015/06/Julex-Monthly-Perf-Letter-2015-05F1.pdf