To confirm, A7 will be staying in VTI and DBC for February 2011; Mom and Pop will be 22.5% VTI, 22.5% DBC, and 55% BND.
The final numbers for January look great. The version of A7 that I am trading had the highest absolute return among the systems that I am tracking. Mom and Pop matched the absolute return of the benchmark, but did so with lower volatility and achieved the best risk adjusted mark for January. GTAA eked out a gain for January, while MarketSci TAA finished in the red.
| System | January 2011 | |
| A71 | Symbol | VTI |
| Return | 2.0% | |
| Volatility | 10.7% | |
| Ret/Vol | 18.7% | |
| A7(2) | Sym (Wt) | VTI (50), DBC (50) |
| Ret | 2.8% | |
| Vol | 10.9% | |
| Ret/Vol | 25.7% | |
| GTAA (A7 Bench) | Ret | 0.3% |
| Vol | 8.7% | |
| Ret/Vol | 3.4% | |
| A7 Mom And Pop | Sym (Wt) | BND (56), VTI (22), DBC (22) |
| Ret | 1.3% | |
| Vol | 4.2% | |
| Ret/Vol | 31.0% | |
| A7 Mom And Pop Bench | Sym (Wt) | BND (40), VTI (60) |
| Ret | 1.3% | |
| Vol | 6.0% | |
| Ret/Vol | 21.7% | |
| MarketSci TAA | Sym (Wt) | EWJ (28), GLD (25), IWM (22), GSG (18), CASH (7) |
| Ret | -1.1% | |
| Vol | 9.7% | |
| Ret/Vol | -11.3% | |
| MarketSci TAA Bench | Sym (Wt) | IEF (50), SPY (50) |
| Ret | 1.2% | |
| Vol | 4.6% | |
| Ret/Vol | 26.1% | |
| *MINT is used as a substitute for CASH | ||
Returns and volatility calculated at ETFReplay.com (12/31/2010 – 1/31/2011), rounded to nearest .1%
(GTAA) Cambria Global Tactical ETF
Last month, GTAA cut its management fee, which makes the fund more attractive, but so far, I’m much happier to be invested in my own version of TAA. Since 11/30/2010, GTAA has returned 5.0% while A7(2) has returned 10.1%. A7 has been more volatile, but it has delivered returns to compensate for that.
Over at MarketSci, Michael left an interesting comment in response to a reader who asked about his inclusion of IEF for February 2011. He said: “… UST is the only asset class the model trades that doesn’t respond well to trend-following/momentum (either in terms of it’s own performance or performance relative to other asset classes). I started using a unique non-momentum criteria for UST last month…”
It will be interesting to see how this inclusion affects MarketSci’s results for February. The idea that treasuries don’t respond well to trend-following/momentum seems to be in line with my own half baked thought about assets “whose story isn’t on the chart”. I have done very little work thus far to quantify this notion, but I can’t help but believe that “income” assets’ story lies in their income streams, which show up as re-scaling on a dividend adjusted price chart…this is reminding me of macroeconomics 101 for some reason…more to come.
