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Simple GMR

|Includes:iShares MSCI Emerging Markets ETF (EEM), EPP, IJJ, ILF, MVV, TLT

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%

Click to enlarge

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.

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Disclosure: The author is long EEM.

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

Stocks: EEM, IJJ, ILF, EPP, TLT, MVV