Wednesday, March 21, 2012

Results of EEM (Emerging Markets Model) from inception to Feb 2012

Note the goal here is to have a timing model that is not necessarily correlated with the underlying ETF. EEM is the second largest ETF block by size with net assets at just under 41 Billion dollars. As can be seen 2011 was a tough year for the underlyer while our model broke even but in relative terms outperformed. This year has seen some role reversal while we are up 4% the underlyer is up 15.76%. However overall since inception our strategy has significantly outperformed the underlyer and avoided the massive drop that occurred in 2008. Notably in 2008 our model was up almost 30% while the undelyer itself was down 48%. Overall the model returns are much less volatile than the underlying maket and the winning trade ratio is 71%. This is a highly scalable model which is important when allocating capital. Tommorrow we will look at Brazil