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Performance Comparison
Mostly USA ETFs & Worldwide ETFs
Trading Systems vs. Market Benchmarks
Hypothetical Results
One year and five years ending
September 25, 2009
Total % gains
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Systems/Benchmarks |
1 year |
5 years |
|
Worldwide |
-5.9 |
203.4 |
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Mostly USA |
8.2 |
59.7 |
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SP500 |
11.4 |
-5.9 |
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DJ30 |
5.8 |
-3.8 |
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Russell2000 |
19.6 |
5.8 |
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Nasdaq100 |
15.6 |
21.1 |
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EAFE iShares |
25.4 |
18.9 |
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Emerging Mkts |
51.0 |
102.1 |
(Year by year & drawdowns here)
(Read 'Most Important Page' here)
(Real-time Results here)
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.
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 in the month closing prices.
Excludes dividends, interest, or expenses, if any.
No margin or leverage is used.
Systems results include short sales.
System five-year compound performance is surpassing previous expectations of doing two to three times better than 'the market', i.e., the S&P500. Mostly USA and Worldwide ETFs system results to date have scored 25% and 33%/yr average rolling-12-months returns respectively since inception
versus 2% for the market.
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 and May 2006 for Worldwide, that is,
they actually took place based on real prices that occurred when
signals to buy or sell were given.
These results include systems upgrades after the fact.
See modifications for Worldwide here.
Adaptivity is a systems policy. It is discussed here.
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.
N.B. Since all calendar reporting conventions are arbitrary and random, unusually high or low results should not be special cause for excessive elation or disappointment.
Perhaps now is a good time
for your
periodic review of
Expectations vs Reality
and/or the Most Important Page,
and/or the The Hardest Part.
Some of my data handling is manual. Errors can occur.
If you spot any, please let know, and I will correct them.
Complete list of all trades to date posted
through current closed and open positions
here
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There are two key pages on this site. Each takes less than 20 seconds a week to read. With either of these, you will need nothing else. They are clear, short, complete, simple, action specific. See to believe. Past samples: one,
two. Free trial here
The rest of the site is full explanation, abundant details, and extensive documentation with ample comparisons and illustrations--all optional, at your convenience. The letters alone provide you with total, brief instructions for weekly action. Use either or both.
A third key page ranks 100 stocks in three portfolios weekly. The top ten and bottom five are shown here.
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data sources: Telechart, 'Copernicus'
Xworking/--3portf/RESULTS@ & RESLTSX
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