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Marc Cohn
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I am a patent litigator with a background in physics and electronics. I enjoy studying quantitative, rules-based investment methods through rigorous backtesting and numerical analysis. I believe that patterns exist in the market that benefit trading -- the challenge is finding them!
  • Some Graphs Of Recent Performance For ETFs In The Modified GMR 1 comment
    Mar 2, 2014 4:38 PM | about stocks: SSO, FEZ, EEM, ILF, EPP, EDV

    I have posted at length about my modified version of Mr Grossman's global ETF rotation system.

    At the end of February, the system signaled a shift from SSO to EDV. In case you were curious, the following graphs from the author's Excel spreadsheet show [i] the price performance of the rotated ETFs and [ii] the 3-month price performance of the rotated ETFs since December 31, 2012:

    Monthly price performance (%) since December 31, 2012 (horizontal axis = last day of the labeled month):

    (click to enlarge)

    Log of 3-month price performance since December 31, 2012 (horizontal axis = last day of the labeled month):

    (click to enlarge)

    You can see that EDV has been falling for over a year and only now seems to be turning upward. SSO and FEZ, on the other hand, may be leveling out.

    My gut tells me this signal isn't all that strong, and I am pessimistic about it. But we shall see.

    Disclosure: I am long EDV.

    Themes: sector, rotation, GMR, ETF, asset allocation Stocks: SSO, FEZ, EEM, ILF, EPP, EDV
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  • IndyDoc1
    , contributor
    Comments (155) | Send Message
     
    Marc,

     

    Does calculating the performance over the last 3 months
    ( 11/29/2013 till 2/28/2014 ) gives the same results as Log of 3-month price performance?
    2 Mar, 05:23 PM Reply Like
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