Sat 31 Dec 2011
Final update for 2011 using the “old” performance comparison table. A7 was down 0.6% and Mom and Pop was down 0.05% in December. For the full year, A7 was up 13.1% and Mom and Pop was up 6.8%. Among the benchmark portfolios, the “50/50″ (50% SPY and 50% IEF) porfolio was up the most, at 9.1%, and I will note that while both A7 portfolios have been stuck in reverse or neutral since the end of August, the 50/50 portfolio is at a new equity peak at the end of the year.
Okay, so there’s a lot to be happy about and a lot to work on. 13.1% returns during year when SPY was flat, VT was down 7.5%, and GTAA was down 7.5% looks pretty good. That being said, I think I can do a better job of following the system in 2012, and hopefully getting a higher return. I can also leverage the R code over at Systematic Investor and do more testing of system variations more efficiently.
| Growth of $1 | ||||||
| Month | A7 | M&P | Msci | 50/50 | GTAA | VT |
| 12/2010 | 1.073 | 1.030 | 1.017 | 1.016 | 1.046 | 1.077 |
| 1/2011 | 1.103 | 1.043 | 1.006 | 1.028 | 1.049 | 1.092 |
| 2/2011 | 1.146 | 1.063 | 1.036 | 1.045 | 1.077 | 1.124 |
| 3/2011 | 1.163 | 1.073 | 1.020 | 1.044 | 1.072 | 1.123 |
| 4/2011 | 1.206 | 1.101 | 1.070 | 1.069 | 1.111 | 1.172 |
| 5/2011 | 1.183 | 1.094 | 1.055 | 1.076 | 1.082 | 1.145 |
| 6/2011 | 1.154 | 1.081 | 1.039 | 1.064 | 1.060 | 1.130 |
| 7/2011 | 1.172 | 1.098 | 1.069 | 1.071 | 1.059 | 1.106 |
| 8/2011 | 1.253 | 1.110 | 1.082 | 1.066 | 1.005 | 1.026 |
| 9/2011 | 1.242 | 1.106 | 1.021 | 1.041 | 0.978 | 0.916 |
| 10/2011 | 1.209 | 1.092 | 1.027 | 1.091 | 0.981 | 1.019 |
| 11/2011 | 1.221 | 1.100 | 1.025 | 1.092 | 0.963 | 1.006 |
| 12/2011 | 1.214 | 1.100 | 1.011 | 1.108 | 0.968 | 0.996 |
| Current Drawdown | 3.2% | 0.9% | 6.6% | 0.0% | 12.8% | 15.0% |
| Returns | A7 | M&P | Msci | 50/50 | GTAA | VT |
| Last Month | -0.6% | 0.0% | -1.4% | 1.5% | 0.5% | -1.0% |
| Year to Date | 13.1% | 6.8% | -0.6% | 9.1% | -7.5% | -7.5% |
A7 (Automatic 7 – EdMamula.com aggressive)
M&P (Mom and Pop – EdMamula.com conservative)
50/50 – 50% SPY / 50% IEF
(GTAA) Cambria Global Tactical ETF
VT – Vanguard Total World Stock ETF
Notes:
Interactive Brokers Tier I USD Margin Interest rate applied to leveraged portfolios (A7)
