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Simple GMR

Jul. 31, 2014 10:31 PM ETEEM, IJJ, ILF, EPP, TLT, MVV308 Comments
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Starting in August 2014, I will be tracking the results of the simplified Global Market Rotation strategy applied to baskets of ETFs. On the first trading day of every month, the strategy invests in the asset that performed the best during the immediately preceding three months on the basis of total return (i.e. including dividends and any other distributions). The back test results for three baskets (the mutual fund basket has been added mainly to get an estimate for the returns for a longer time period) for the periods ending on 7/31/2014 follow:

RS-GMR-ETF: IJJ, IEV, ILF, EPP, EEM, TLT

RS-GMR-LETF: MVV, IEV, ILF, EPP, EEM, TLT

RS-GMR-MF: FDVLX, FIEUX, FEMKX, FLATX, FPBFX, VUSTX

Period

CAGR

Sharpe (Sortino)

Max. Drawdown

Min. Annual Return

RS-GMR-ETF

2003-2014

28.6%

1.3 (2.8)

17.2%

6.5%

RS-GMR-LETF

2007-2014

31.5%

1.12 (2.11)

22.4%

4.1%

RS-GMR-MF

1991-2014

20.7%

0.97 (1.93)

24.6%

-24.6%

YTD Returns

RS-GMR-ETF 13.1%

RS-GMR-LETF 4.1%

RS-GMR-MF 14.1%

For August 2014, both of the ETF strategies are going to be invested in EEM.

The following figures display some results for the RS-GMR-ETF and the RS-GMR-MF baskets.

Disclosure: The author is long EEM.

Additional disclosure: This is not investment advice in any form.

Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.

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