Highest absolute return : 60/40
Best risk adjusted return : 60/40 *
*All tracked systems had negative returns in May; wouldn’t you know it, the only system that had positive returns is the one that I stopped tracking… (50/50 SPY/IEF was +0.7%)
| System | May 2011 | |
| Automatic 7 (A7) | Sym (Wt) | DBC (50), VNQ (50) |
| Return | -1.9% | |
| Volatility | 20.2% | |
| Ret/Vol | Neg | |
| Cumu $ | 1.183 | |
| GTAA (A7 Bench) | Return | -2.6% |
| Volatility | 11.1% | |
| Ret/Vol | Neg | |
| Cumu $ | 1.082 | |
| A7 Mom and Pop | Sym (Wt) | BND (26.5), STPZ (26.5) ,VNQ (23.5), DBC (23.5) |
| Return | -0.6% | |
| Volatility | 9.4% | |
| Ret/Vol | Neg | |
| Cumu $ | 1.094 | |
| A7 M&P Benchmark | Sym (Wt) | BND (40), VTI (60) |
| Return | -0.2% | |
| Volatility | 6.4% | |
| Ret/Vol | Neg | |
| Cumu $ | 1.093 | |
| MarketSci TAA | Sym (Wt) | SPY(28),GLD(25),GSG(19),IEF(28) |
| Return | -1.4% | |
| Volatility | 11.4% | |
| Ret/Vol | -12.3% | |
| Cumu $ | 1.055 | |
| Cumu $ = Cumulative Growth of $1 since A7 inception (11/30/2010) | ||
Returns and volatility calculated at ETFReplay.com (04/29/2011 – 05/31/2011), rounded to nearest .1%
(GTAA) Cambria Global Tactical ETF
Given the fact that a lot of commodities dropped by more than 10% in the first week of May, it could have been a lot worse. I saw the phrase “commodities crash of 2011″ thrown around more than a few times, but when it was all said and done, the “crash” in DBC in May amounted to losing 5.2%, and that loss was partially offset by a gain in VNQ such that A7 finished the month down 1.9%. Despite A7′s unfortunate weighting in commodities, it still managed to outperform both GTAA (-2.6%) and VT (-2.3%), its original and current benchmark, respectively.
Now that I have been trading A7 live for 6 months, I will show the inception to date cumulative growth figures for A7 and all other systems that I am tracking / benchmarking it to. Yes, “outperformance” is the goal, but whenever we speak of outperformance, we might also ask ourselves the question “outperformance over what period?”. I will suggest that in this case, to consistently outperform benchmarks over the majority of rolling 12 month periods would be a good starting place….I will have to remember that when we get a little bit deeper into this A7 “forward test”…
A7 is the leader of the pack, having returned 18.3% over the past 6 months. Mom and Pop (M&P), the conservative A7 variant that I am paper-trading, has outperformed all of the “diversified” systems except for 60/40, which is its benchmark. I am still pretty amazed that M&P is outpacing GTAA…I consider this a MAJOR success. M&P is still a work in progress, and in fact, I have yet again changed how I calculate the percentage of capital that it allocates to bonds. Now I am allowing the bond allocation to float each month based on a combination of expected volatility and retrospectively maximizing the portfolio’s Sortino Ratio. Sounds fancy…and it probably makes it harder for M&P to keep pace with the 60/40 benchmark portfolio…that is, until the next time that stocks suffer a major setback, which is something that has most assuredly not happened over the last six months.
So all in all, the A7 systems are off to a fabulous start…if they keep pacing GTAA, I might catch Meb Faber’s attention for something other than being the fellow who found $200. 
Many thanks Mr. Faber yet again for all of his great work….without the Ivy Portfolio, there would be no A7, and without A7, I wouldn’t get to fancy myself as being able to hold my own against the pros.