Ed Mamula.com

It looks like A7 will stay with VTI and DBC for yet another month on a 50/50 basis.  VWO caught fire in March, up over 5%, but that’s not enough to get it into the mix for April.

So for April, it’s A7 = 50% DBC + 50% VTI and Mom and Pop (Conservative) = 25% DBC + 25% VTI + 25% STPZ + 25% BND

 Full results for March, and inception to date comparisons of all tracked portfolios are coming soon.

Highest absolute return : Automatic 7

Best risk adjusted return : MarketSci TAA

Automatic 7 did well in February, but it’s months like that that make me realize how rough this system might be when the market turns south.  In fact, I caught a glimpse of that last November, when the system was split between VWO and VEU and it lost 3.5%  A7 is certainly going for absolute returns at the expense of equity curve smoothness.  It might be choppier on a month to month basis than a typical TAA program, but the hope is that it will abandon losers relatively quickly and catch the “next big thing” with regularity.

At any rate, after 3 months of live trading with A7, the system has returned a cumulative 14.6% return vs. 6.9% for GTAA, which is the system’s benchmark.  I love the big returns, but I do wonder how the system will fare in the next market downturn.  My feeling is that it will initially lag as it gets caught wrongfooted, but again, for any rolling 12 month period, I would hope that A7 would outperform.

I think it was a fabulous month for MarketSci TAA, which logged a 3% gain with bond-like volatility.

Although Mom and Pop beat its benchmark on a risk adjusted basis, it did not outperform in absolute terms.  This is owing, yet again, to the fact that it was relatively overweight in bonds as compared to its benchmark.  I wonder if dumbing it down even more would improve results…that seems to be the case a lot lately…