My Combined ETF 2X model is working well although it is still in its infancy. According to a recent Bloomberg article, hedge funds lost between 2.7% and 3.0% on average in April. Meanwhile, my Combined ETF 2X model gained 4.0% in April but this was a theoretical performance given that I only recently finalized the model in its current form.
The equity curve above is of limited value since some of the ETF’s used for the model weren’t available until as late as 2007. The ETF’s employed for this model are:
DBC – Powershares DB Commodity Index
EEM – iShares MSCI Emerging Markets Index
EFA - iShares MSCI Europe, Australasia, Far East Index
EMB – iShares Emerging Markets Bond
EWZ - iShares MSCI Brazil Index
GLD – SPDR Gold Trust
IYR – iShares Dow Jones Real Estate
IWM and RWM - iShares Russell 2000 Index and Proshares Short Russell 2000 Index
MOO – Market Vectors Agribusiness
QQQQ and PSQ – Powershares QQQ and Proshares Short QQQ
SLV – iShares Silver Trust
TLT - iShares Barclays 20+ Year Treasury Bond Index
What I am striving for with this model is high compound annual growth rate and a low maximum drawdown. Hence, I want a model with a high Calmar Ratio. The weighting chosen for each ETF (they are not equally represented in the model) results in both a high return and a low drawdown. However, I have the benefit of hindsight and recognize the returns in the future may be quite different.
Most markets covered by the ETF’s used for this model haven’t had strong trends since last October and consequently the model has tracked sideways for the past eight months. However, we shouldn’t be surprised given the strong run the markets had from the lows last March. Also, I’ll take a sideways equity curve over a downward trending market such as most equity markets.
FJP
