This Blog Has a New Home

I had planned to do this later but I think sooner is better. I am moving to http://www.etf2x.com and using WordPress.

Comparing Proshares QLD/Cash Model Against TimingCube

The folks at TimingCube have a button on the left side of their homepage which indicates that they are ranked #1 over one year by the nice people at TimerTrac. For the fun of it, I thought I would compare one of my Proshares QLD models against TimingCube. To be fair, I'll use my QLD/Cash model for the comparison.

TimingCube's signal returns are here. If you followed the TimingCube Nasdaq 100 model starting on August 01, 2006, by August 18, 2008 you would be up by 2.4% less commissions. My Proshares models start on August 02, 2006 so if you invested following the QLD/Cash model starting on that day you would be up by 96.9% less commissions by August 18, 2008. Of course, this isn't quite an apples versus apples comparison given that my model uses a double exposure ETF and would therefore likely carry higher risk. I'll leave it to my readers/subscribers to determine if the difference in return (96.9% vs 2.4% over two years) is warranted by the increased risk.

 

Test Post

Just testing to see if my posts appear at Covestor after I changed the name of my blog.

ETF Timer Model Update. 9/19/08

I have renamed my blog to ETF2X to more accurately reflect the content - namely an emphasis on my models which use proprietary timers and apply them to the US and Canadian stock markets.  Hopefully I haven't screwed up the RSS feed for my subscribers!

As seen in the table below, my preferred models which are highlighted in blue continue to outperform their respective markets year-to-date by a wide margin.  Not only do the models outperform as measured by percentage gain, they also have lower ulcer indexes and lower maximum drawdowns than a buy-and-hold-the-market strategy.  As I have stated before, past performance doesn't guarantee future performance!

As a Canadian, most of my investments following the HXU/XSB model.  Despite the incredible 7.5% rally in the Canadian market today, the S&P/TSX 60 would have to tack on another 12.6% just to get to where it was on June 12 when my model signalled that it was time to go to a money market ETF (CMR) or a short term bond fund (XSB).  These models won't make correct calls all the time (such a model doesn't exist) but I am hopeful that following the ones highlighted in blue will keep me ahead of a buy-and-hold strategy.  A nice facet of these models is the very low maintenance inherent in them.  I never have to research a stock, emotions are held in check, and very little time is required each week.  Of course, the proof is in the pudding and there isn't much pudding yet (i.e. the time period for which the models have been tested is short).

 

 

 

 

 

QLD and HXU Timer Updates

With the stock market volatility this week and increasing traffic to my site, I thought I should post a mid-week update.

Domain Names ETF2X Are Mine

As this blog is now primarily focused on the application of my Canadian and US timers to double exposure (2X) ETF's (namely QLD, QID and HXU), I decided to buy the etf2x.com and etf2x.ca domains today. At some point in time, I plan to develop etf2x.com and etf2x.ca into professional sites but I have to establish my credibility first.

Comparing My QLD Market Timing Model With a Commercial Timer

Out of curiosity, I decided to compare the performance of my QLD market timing models with the performance of the QLD/QID model presented on Stock Traders Daily's web site.  Based on the returns posted on their site, their Investment Rate Model achieved a one year return as of 05/05/08 of 42.1% (dividends not included).  In comparison, the one year return as of 05/05/08 for my QLD/QID model is 63.5% and the one year return for my QLD/TIP model (which more suits my risk tolerance) is 43.1%.

The cost for a "Platinum Subscription" to Stock Traders Daily Service is $199/mo.  This subscription offers more than market timing but I'll  leave it up to my subscribers to decide where they get the best value.

Weekly Model Update. 09/12/08

  Both my US and Canadian timers remain in money market/bond ETF's.

 

 

 

 

 

Claymore Premium Money Market ETF

Effective today I will incorporate the Claymore Premium Money Market ETF (CMR) into a Canadian model (i.e. I will introduce a HXU/CMR model tonight).  You can read about CMR on Claymore's site here.   Here's how Claymore describes the ETF:

 

The fund invests primarily in high-quality, short-term (generally 90 days or less) debt securities, including treasury bills and promissory notes issued or guaranteed by Canadian governments or their agencies, bankers acceptances and commercial paper (excluding asset-backed commercial paper) issued by Canadian Chartered banks, loan companies, trust companies and corporations.

The Claymore Premium Money Market ETF will have one of the lowest expense ratios of any money market mutual fund in Canada. By providing a lower Management Fee, the fund can reduce risk in the underlying holdings, while generating attractive short-term income rate.

 

My rationale behind using a money market ETF is that there is no point in parking cash in a non-interest bearing account as is currently the case with the HXU/Cash model.  Oddly enough, the money market ETF is available in Canada but there is no liquid equivalent in the US yet.  Therefore my US models will continue to include a QLD/Cash entry.

The average volume of CMR traded daily is around 12,300 ($615,000).  The Claymore Premium Money Market ETF is less than one year old (incepted on 02/19/08) so there are no performance results on Claymore's site yet. The management fee for this ETF is 0.25% and the current distribution rate is 2.67%.

Another Terrible Day

The S&P/TSX composite index fell another 3.86% today but I'm not worried.  For my Canadian investments, I am following my HXU/XSB model and therefore have over 80% of my Canadian holdings in XSB units.  The chart below illustrates how this model has performed since inception on 9/12/07.  Whether such performance continues is of course unpredictable.  As I have pointed out before, it is possible that this model is optimized to the market over the past year and may not work near as well in the future.  Time will tell but I am sleeping better at night now than I would had I not moved out of most stocks and into XSB.

 

 

As for the US markets, the Nasdaq fell 2.64% today.  My QLD/IEF model is one that I am comfortable with even though it has a lower CAGR than the QLD/QID model (43% vs 55%).  The unsettling characteristic of the QLD/QID model is its maximum drawdown of 36% as compared to a maximum drawdown of 16% for the QLD/IEF model.