Sat 31 Dec 2011

Automatic 7 TAA Results for December 2011

Posted by Ed Mamula under Narratives , TAA

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)

Msci (MarketSci TAA)

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)

 

Fri 30 Dec 2011

Automatic 7 Allocation for January 2012

Posted by Ed Mamula under Narratives , TAA

Four of the Automatic 7 portfolios will be in REITs (VNQ), US small cap stocks (IWM), and 7-10 year US Treasuries (IEF).  The A7 Vanilla, which is a simple benchmark that I track to see if there really is a benefit to all of this fancy tinkering, stands out from the others in a much more defensive position, allocating nothing to IWM, and allocating 25% in cash.  A7 Classic, which is the only version geared for maximum absolute returns, stands out by being the most aggressive of the unlevered portfolios, by allocating nothing to IEF and splitting IWM and VNQ 50/50.  I may regret giving myself the extra work of publishing all of these variations, but I think that over time, it will be quite instructive to see which flavors perform as expected and which do not.

A7 Timid A7 Vanilla A7 Smooth
IEF 47 IEF 50 IEF 20
IWM 37 VNQ 25 IWM 50
VNQ 16 Cash 25 VNQ 30
Total 100 Total 100 Total 100
A7 Classic A7 Plus A7 Full Tilt
IWM 50 IEF 27 IEF 35
VNQ 50 IWM 48 IWM 100
Total 100 VNQ 25 VNQ 65
Total 100 Total 200

 

For my live trading in January, I will be following the A7 Plus allocations in my retirement accounts, and the A7 Full Tilt allocation in my taxable account.  My live results may differ materially from A7 Full Tilt because I am getting this exposure by trading Russell 2000 futures, and March 2012 call options on IYR (another REIT ETF) in addition to holding IEF.

Results for December will be published in early January, along with a re-tooled version of the allocations page, so that we can keep track of all of these monsters.

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