With this post two years ago, I began publicly discussing my market timers and the relevant models. It has been an interesting two years with lots of volatility in the markets. When I began blogging, the intent wasn’t to attract an audience but to become a better investor. Having your investment decisions in the public domain for all to see can be a very humbling experience. On the other hand, discussing your investment decisions has to make you a better investor because you have to back up your decisions in public and that is what makes one think through decisions more so than he might otherwise.
Let’s review the performance of my models over the past two years.
Canadian Leveraged Models
US Leveraged Models
US Non-Leveraged Models
Personally speaking, I think the returns are excellent but I’m biased!
Are there any caveats with my models? Of course there are – nobody can produce the consistent returns Bernie Madoff claimed to have made. By definition, a trend following system will have drawdowns that will make the system’s followers wonder why they didn’t sell at higher levels. If you apply tight stops to a trend following system the whipsaws will deteriorate the overall performance of the system. You have to keep in mind, though, that the maximum drawdowns for my models are much less the the maximum drawdown experienced by a buy-and-hold investor.
Returns produced by my models are lumpy and the leveraging increases the “lumpiness”. This characteristic of the models may make it difficult for some investors but when you look at the performance over a longer term, the end result is well worth it.
FJP
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Congratulations Fred! Your results are in the public domain, and nobody can argue that your models didn’t work admirably in the last 2 years. I started following you in Dec 2008, and I can attest to the results.
Thanks Boro. I didn’t mention it in this particular post but I have mentioned it before: I invest my own money based on these models and therefore have a very significant interest in making the models as great as possible. Also the models are scalable – you can invest a few thousand dollars or millions based on these models because the ETF’s used are highly liquid.
Fred