My research indicates that adding ETF’s for Chile (ECH) and Australia (EWA) to my Combined ETF 2X model results in a higher Calmar Ratio (compound annual growth rate divided by maximum drawdown). Consequently, I have adjusted the percentages of other ETF’s held by the model.
At the end of June, I compared the return of my model with the S&P 500. In the future, I will also compare the return of my model with a hedge fund index. One of the most commonly referenced hedge fund indices is produced by the Hennessee Group and can be found here.
FJP
