Sun 2 Oct 2011
What worked last month? Intermediate and Long Term bonds. My portfolios, A7 and M&P, lost 0.9% and 0.4% respectively last month, due to a drubbing in gold that was not entirely offset by the bond holdings. In my personal accounts, since I am quite averse to paying margin interest, I have been trying to get equivalent exposure to treasuries via the futures markets, and I have bought and sold way too many gold contracts. With gold, I re-entered early at $1799 in late August and got out early, selling as low as $1753, but as I said, I had TOO MUCH gold, so when I tallied it up, I lost 0.7% for the month, which means I outperformed the A7 portfolio, so all of my hyperactivity had some (small) benefit.
All of the portfolios that I track were negative last month, with the exception of the MyETFHedgeFund.com conservative portfolio, which is reporting a 0.5% gain for September. In my mind, however, I am officially putting up a red flag on that return, as they are claiming that they sold some positions on September 15th. That seems pretty bogus to me. They did do a post on September 15th where they said that some positions would be sold that day if the model were to be reset / rebalanced on that day, however, they did not definitively state that they were selling positions. At the end of the month, with hindsight, it would have been beneficial to have done so, and so they claim that they did. Listen, all in all, I highly enjoy the work they are doing over there, but none of us should get to pick and choose our “live” returns. Without that adjustment, both of their portfolios would have been negative last month as well. I wouldn’t care at all about this except for the fact that I am trying to use them as a benchmark. 
As for October, I can say that I am officially one of the “weak hands” in precious metals. The A7 model still indicates that I should own gold in October, but I am quite happy to ignore that recommendation and stay 100% in IEF in October, because any market that goes up and down double digit percentage points in back to back months gets a “toxic” label from me until the volatility cools down some.
In case it’s not clear, A7 and M&P are doing quite well this year to date, up 15.8% and 7.4% respectively. Since A7 is levered these days, I don’t have a good benchmark for it, but as long as M&P is holding its own against MEFC, Msci, and GTAA, I’d say we’re having a good year. Good luck to all in October.
| Growth of $1 | ||||||||
| Month | A7 | M&P | Msci | MEFA | MEFC | 50/50 | GTAA | VT |
| 12/2010 | 1.073 | 1.030 | 1.017 | 1.050 | 1.032 | 1.016 | 1.046 | 1.077 |
| 1/2011 | 1.103 | 1.043 | 1.006 | 1.080 | 1.047 | 1.028 | 1.049 | 1.092 |
| 2/2011 | 1.146 | 1.063 | 1.036 | 1.117 | 1.067 | 1.045 | 1.077 | 1.124 |
| 3/2011 | 1.163 | 1.073 | 1.020 | 1.137 | 1.069 | 1.044 | 1.072 | 1.123 |
| 4/2011 | 1.206 | 1.101 | 1.070 | 1.185 | 1.089 | 1.069 | 1.111 | 1.172 |
| 5/2011 | 1.183 | 1.094 | 1.055 | 1.150 | 1.076 | 1.076 | 1.082 | 1.145 |
| 6/2011 | 1.154 | 1.081 | 1.039 | 1.131 | 1.058 | 1.064 | 1.060 | 1.130 |
| 7/2011 | 1.172 | 1.098 | 1.069 | 1.132 | 1.060 | 1.071 | 1.059 | 1.106 |
| 8/2011 | 1.253 | 1.110 | 1.082 | 1.160 | 1.092 | 1.066 | 1.005 | 1.025 |
| 9/2011 | 1.242 | 1.106 | 1.021 | 1.152 | 1.098 | 1.041 | 0.978 | 0.916 |
| Current DD | 0.9% | 0.4% | 5.6% | 2.8% | 0.0% | 0.9% | 11.9% | 21.9% |
| Returns | A7 | M&P | Msci | MEFA | MEFC | 50/50 | GTAA | VT |
| Last Month | -0.9% | -0.4% | -5.6% | -0.6% | 0.5% | -2.4% | -2.7% | -10.7% |
| Year to Date | 15.8% | 7.4% | 0.4% | 9.8% | 6.5% | 2.4% | -6.5% | -15.0% |
Systems / Benchmarks:
A7 (Automatic 7 – EdMamula.com aggressive)
M&P (Mom and Pop – EdMamula.com conservative)
MEFA / MEFC (MyETFHedgeFund.com A=Agressive C=Conservative)
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)
MyETFHedgeFund results up to and including May 2011 are a backtest result, and the accuracy of September 2011 results are questionable.
| Growth of $1 | ||||||||
| Month | A7 | M&P | Msci | MEFA | MEFC | 50/50 | GTAA | VT |
| 12/2010 | 1.073 | 1.030 | 1.017 | 1.050 | 1.032 | 1.016 | 1.046 | 1.077 |
| 1/2011 | 1.103 | 1.043 | 1.006 | 1.080 | 1.047 | 1.028 | 1.049 | 1.092 |
| 2/2011 | 1.146 | 1.063 | 1.036 | 1.117 | 1.067 | 1.045 | 1.077 | 1.124 |
| 3/2011 | 1.163 | 1.073 | 1.020 | 1.137 | 1.069 | 1.044 | 1.072 | 1.123 |
| 4/2011 | 1.206 | 1.101 | 1.070 | 1.185 | 1.089 | 1.069 | 1.111 | 1.172 |
| 5/2011 | 1.183 | 1.094 | 1.055 | 1.150 | 1.076 | 1.076 | 1.082 | 1.145 |
| 6/2011 | 1.154 | 1.081 | 1.039 | 1.131 | 1.058 | 1.064 | 1.060 | 1.130 |
| 7/2011 | 1.172 | 1.098 | 1.069 | 1.132 | 1.060 | 1.071 | 1.059 | 1.106 |
| 8/2011 | 1.252 | 1.110 | 1.082 | 1.160 | 1.092 | 1.066 | 1.005 | 1.025 |
| 9/2011 | 1.241 | 1.106 | 1.021 | 1.152 | 1.098 | 1.092 | 0.978 | 0.916 |
| Current DD | 0.9% | 0.4% | 5.6% | 2.8% | 0.0% | 0.9% | 11.9% | 21.9% |
| Returns | A7 | M&P | Msci | MEFA | MEFC | 50/50 | GTAA | VT |
| Last Month | -0.9% | -0.4% | -5.6% | -0.6% | 0.5% | 2.4% | -2.7% | -10.7% |
| Year to Date | 15.7% | 7.4% | 0.4% | 9.8% | 6.5% | 7.5% | -6.5% | -15.0% |
