In the tables below I have included the Maximum Drawdown and the Worst Signal-to-Signal Performance for each portfolio. In the Canadian table, I have changed the benchmark from the XIU ETF to the index itself (i.e. S&P/TSX 60).
For most people, the Maximum Drawdown numbers are going to jump out as too high to stomach. However, bear in mind that the most money lost is that presented in the Worst Signal-To-Signal column. For example, had you invested as per the QLD/TIP model starting on 08/02/06, the most money you would have lost from the time you purchased QID or TIPS to when you sold the ETF is 5%. However, QLD, being a double exposure ETF, can shoot up in price exponentially and then come back down. The Maximum Drawdown is a measure of the decline in portfolio value from a peak to the next trough. So if you buy $100,000 of QLD and it increases in value to $150,000 but then drops back to $110,000, the portfolio would have incurred a 26.7% drawdown (i.e. the drop from $150,000 to $100,000) even though it is up 10% from the initial purchase.
As they say, an equity curve is worth a thousand words! Below are the equity curves for all the model portfolios.
For anyone considering following these models please bear in mind that you have to be mentally prepared for the high fluctuations in the price of double exposure ETF's (in this case QID, QLD and HXU). The wild price swings can be difficult to live with and therefore these models are certainly not for all investors.
As always, past performance is no guarantee of future performance!
No comments:
Post a Comment