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Risk-Managed Equity Exposure IV

Reduced drawdowns vs lower returns

Nicolas Rabener
10 min read
27 Apr 2026

SUMMARY

  • Simple risk-on / risk-off rules have been effective for reducing risk
  • However, the most recent decade was the worst environment for such strategies
  • Few investors have the stamina to stick to these

INTRODUCTION

The 250-day moving average is arguably the most widely used technical rule for rotating among asset classes. Its implementation can be as simple as switching between risk-on and risk-off instruments – such as the S&P 500 and Treasury bills – or as complex as creating a diversified portfolio of long and short positions across hundreds of assets, as seen in managed futures strategies (please read Combining Risk-Managed Equities and Managed Futures – II).

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