Ed Mamula.com

Highest absolute return : Automatic 7

Best risk adjusted return : Automatic 7

So I think I am suffering from too many system variations, and benchmark overload.  It is true that without benchmarks, I wouldn’t have any idea whether or not A7 is adding value relative to some alternatives, but having too many benchmarks is leading me back toward perfectionism and double guessing, both of which are unwelcome.

In the monthly returns table, I have removed the MarketSci benchmark portfolio (50% SPY / 50% IEF); after all, it’s not my benchmark.   I also added the field Cumu$, which shows the growth of a dollar invested in any of these strategies since the inception of Automatic 7.

Returns and volatility calculated at ETFReplay.com (02/28/2011 – 3/31/2011), rounded to nearest .1%

Benchmarks:

(GTAA) Cambria Global Tactical ETF

MarketSci TAA

Here are the cumulative gains figures for all portfolios and strategies that I’ve been looking at, including some that are not in the monthly results above.  VT and FOOLX are ticker symbols.  60/40 is the Mom andPop benchmark (60 VTI / 40 BND) and 50/50 is the MarketSci Benchmark (50 SPY / 50 IEF).  A7′s outperformance is entirely due to its 50% exposure to commodities via DBC, which has been constant since the beginning of the year.  The real surprise to me so far is that Mom and Pop (+7.3%) has performed on par with GTAA (7.2%).  I won’t read too much into this until we have a few more rotations in the A7 allocation, as those are the potential pain points / periods of underperformance.  I also don’t want to read too much into the negative performance of the MarketSci TAA portfolio for March, as it’s underperformance was driven by it’s exposure to Japan via EWJ, which was hit by, and continues to suffer the fallout from, an epic natural disaster.