ETF Sector Strategy

This update covers 2001 through June, 2011.
For background details see the original article.

Model Stats

CAGR	6.9	Number Trades	43
Standard Deviation	18.6	Pct. Positive	60.5
Geometric Std.Dev.	21.0	Avg. Bars	123.7
Down Deviation	14.2	Avg. Return	4.9
Sharpe	0.3	Avg. Pos. Rtn.	13.1
Exposure	99.2	Avg. Neg. Rtn.	-7.6

Comp's for SPY

CAGR	2.0	Number Trades	1
Standard Deviation	16.1	Pct. Positive	100.0
Geometric Std.Dev.	17.7	Avg. Bars	2640.0
Down Deviation	12.0	Avg. Return	22.7
Sharpe	0.1	Avg. Pos. Rtn.	22.7
Exposure	99.2	Avg. Neg. Rtn.	0.0

Model Returns

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sept	Oct	Nov	Dec	YEAR
2001	-0.8	-2.5	-1.5	5.0	3.1	-0.0	-1.4	-0.1	-11.7	2.6	9.8	0.9	2.1
2002	2.0	2.7	5.1	-0.3	-1.8	-5.0	-9.0	0.5	-7.1	3.9	4.0	-4.6	-10.1
2003	-2.1	-0.9	1.1	6.1	12.3	0.8	1.0	5.5	-2.4	8.7	3.8	0.9	39.3
2004	4.6	1.8	1.1	-5.5	-0.9	4.3	-1.0	0.0	5.5	2.6	5.7	-0.4	18.7
2005	2.8	9.8	-0.6	-1.6	1.4	6.5	4.9	3.8	5.4	-7.9	2.2	1.4	30.7
2006	10.7	-5.7	4.0	2.0	-5.0	2.1	0.9	-2.2	-2.4	3.6	1.2	-0.3	8.3
2007	0.6	-2.6	0.8	2.3	2.7	-2.9	-1.3	0.4	7.7	3.2	-4.6	5.2	11.3
2008	-8.9	6.2	-1.9	8.3	5.2	-0.5	-11.0	-0.5	-13.1	-21.3	-11.9	-3.0	-44.4
2009	-4.1	-10.4	5.2	2.0	2.3	0.4	8.0	2.5	5.3	-5.7	4.8	1.9	11.0
2010	-2.2	5.2	7.5	5.2	-7.4	-7.9	9.5	-5.7	10.3	2.5	0.2	6.8	23.9
2011	4.4	5.7	1.8	2.2	-2.2	-1.8							10.3

Disclaimers: Note that these results should be considered hypothetical, that the closing prices used may not have been achievable in real trading, and that no transaction fees are included. Also recognize that past performance does not necessarily predict future performance and therefore you should perform your own due diligence before following this or any other investment strategy.