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Performance Comparison
Worldwide ETFs & Mostly USA ETFs
Trading Systems vs. Market Benchmarks
Hypothetical & Real-time Results
One year and five years ending December 31, 2007
Total % gains
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Systems/Benchmarks |
1 year |
5 years |
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Worldwide |
44.1 |
452.1 |
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Mostly USA |
9.1 |
164.6 |
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EAFE iShares |
7.8 |
149.1 |
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Nasdaq100 |
19.9 |
111.2 |
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Russell2000 |
-2.0 |
100.9 |
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S&P500 |
4.2 |
68.9 |
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DJ30 |
7.2 |
61.0 |
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Emerging Mkts |
33.0 |
na |
Descriptions
Mostly USA is a portfolio holding 17 ETFs, all big, volatile, and actively traded. It tends to have slower tempo and less volativity with fewer trades per year and lower drawdown events. It is a good proxy for the U.S. stock market.
Worldwide is a portfolio holding 23 ETFs, all big, volatile, and actively traded. The tempo is faster. The gains are bigger. But the mental cost is larger drawdowns. It reflects well the global stock market.
The Benchmarks are the usual, acknowledged, U.S., broad-market indexes: Dow-Jones Industrials, Standard & Poor's 500, Nasdaq 100, and the Russell 2000 (small cap stocks) plus the more recent Europe, Australia, Far East (EFA) and Emerging Markets (EEM) indexes.
EEM did not start trading until April 2003. Taken together, these six indexes comprise the best representative global array of choice for exchange-traded investing with premium liquidity for institutions and individuals.
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TABLE NOTES
Table is based on final Friday closing prices.
Excludes dividends, interest, or expenses, if any.
No margin or leverage is used.
System five-year compound performance is surpassing previous expectations of doing three to three-and-a-half times better than 'the market', i.e., the DJ30 or S&P500. Results to date are 42%/yr vs 5% each for these two market benchmarks and more than two times better than expecation vs. the Russell 2000 and the NASDAQ 100 with their returns of 7%
and 12%/yr respectively.
Hypothetical means that part of the Systems' results
are based on historic testing, that is, they did not occur in real time. They have been real-time since August 2004 for Mostly USA amd May 2006 for Worldwide, that is,
they actually took place based on real prices that occurred when
signals to buy or sell were given.
Other factors, including if the systems themselves had existed
and been in common use at the time of the test,
might thave affected results
adversely (or beneficially).
The table does not foretell the future.
More comments and caveats are included by reference
here and should be read in connection
with these results.
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© 2007-08 The 2000 Corporation
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