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Single Country International Strategy

December 27, 2005
(Updates are in the Comments section below)

Building on the Sector Strategy previously published we will now develop a similar strategy for trading international ETFs. If you have not read about the previous strategy I highly recommend following the above link and reading that page before this. Why? Because many of the same concepts will be used here, but without the full descriptions. This will give us two strategies aimed at differing universes of funds that stretch around the globe.

There are several ways to achieve international exposure using ETFs. There are worldwide funds, regional funds, and country specific funds. Here we are going to use the iShares family of MSCI single country funds. This gives us more independence between funds and we don't have exchanges between highly correlated funds, like from Latin America and into the Brazil, where any significant move in one will most likely be mirrored in the other. At this time there are 21 such funds. Most began trading in 1996 with a few others in 2000 and the Singapore fund in 2003. SPY was added to include the U.S. market in our study and two Russell value funds (IWD and IWN) were added to provide some buffer during bear markets. I would have included some bond funds in this mix but none of the bond related ETFs have been trading long enough to be of benefit during this backtest.

Table 1: List of ETFs used in this strategy.
SymbolName
EWAiShares MSCI Australia Index Fund
EWCiShares MSCI Canada Index Fund
EWDiShares MSCI Sweden Index Fund
EWGiShares MSCI Germany Index Fund
EWHiShares MSCI Hong Kong Index Fund
EWIiShares MSCI Italy Index Fund
EWJiShares MSCI Japan Index Fund
EWKiShares MSCI Belgium Index Fund
EWLiShares MSCI Switzerland Index Fund
EWMiShares MSCI Malaysia Index Fund
EWNiShares MSCI Netherlands Index Fund
EWOiShares MSCI Austria Index Fund
EWPiShares MSCI Spain Index Fund
EWQiShares MSCI France Index Fund
EWSiShares MSCI Singapore Index Fund
EWUiShares MSCI United Kingdom Index Fund
EWWiShares MSCI Mexico Index Fund
EWTiShares MSCI Taiwan Index Fund
EWYiShares MSCI South Korea Index Fund
EWZiShares MSCI Brazil Index Fund
EZAiShares MSCI South Africa Index Fund
IWDiShares Russell 1000 Value Index Fund
IWNiShares Russell 2000 Value Index Fund
SPYSPDR Trust Series I
Note: Effective March, 2006, the iShares FTSE China Fund(FXI) was included in this strategy.
Effective April, 2007, Russia(RSX) and Chile(ECH) were added to this list.
Effective May, 2009, Thailand(THD), Turkey(TUR), Israel(EIS), India(EPI) were added.

Like the first strategy, this is a trend following system using the 6-month trailing return as the signal. Since this is a worldwide strategy with plenty of opportunity for diversification this model is designed to hold three postions at a time, where our prior Sector Strategy only holds two. And since we are holding more positions we will increase our sell point from rank six to rank 7. That is, we will buy from ranks 1 thru 3, but only sell a position if it falls below rank #7 when we sort by 6-month return.

The procedure will be like before. On the first trading day of the month we will calculate the 6-month total return for each of the above ETFs. This data can be optained from several sources including this web site by using the Current Rankings link near the top of this page. We will sort the ETFs from highest to lowest return value. The first month we will purchase the first three ETFs on the list. After that we will sell an ETF if it is not in the top 7 on the list and replace it with the top fund we do not already hold.

Table 2 shows all the trades in our backtest along with the dates and returns for those trades. The test began on 1/2/2001 and ended on 11/30/2005. You can see that 19 of the 26 trades were positive with most trades outperforming the SPY during the same time period. We were hurt by the start date of this backtest. Had we been invested prior to 2001 we would have taken the Switzerland fund in September of 2000 before the peak and would never have taken the position in Italy. But, we had to start some time and 2001 was the logical point given that the Russell funds used in our test did not begin trading until early 2000.

Table 2: Model Trades
EntryExitSymbolNameEntPriceExtPriceReturnSPY
2001-01-02 2001-05-01 EWL iShares MSCI Switzerland Index Fund 16.54 14.01 -15.3 -1.1
2001-01-02 2001-06-01 EWI iShares MSCI Italy Index Fund 19.53 16.15 -17.3 -1.4
2001-01-02 2001-12-03 IWD iShares Russell 1000 Value Index Fund 52.97 49.24 -7.0 -11.2
2001-05-01 2002-07-01 IWN iShares Russell 2000 Value Index Fund 37.65 41.85 11.1 -22.6
2001-06-01 2001-11-01 EWW iShares MSCI Mexico Index Fund 14.75 11.96 -18.9 -13.8
2001-11-01 2002-12-02 EWM iShares MSCI Malaysia Index Fund 4.04 4.70 16.5 -12.3
2001-12-03 2002-10-01 EWY iShares MSCI South Korea Index Fund 16.14 18.08 12.0 -23.6
2002-07-01 2002-12-02 EWO iShares MSCI Austria Index Fund 8.84 7.59 -14.1 -2.6
2002-10-01 2002-11-01 EWJ iShares MSCI Japan Index Fund 7.32 6.98 -4.6 5.3
2002-11-01 2003-08-01 EWA iShares MSCI Australia Index Fund 7.98 9.75 22.1 10.5
2002-12-02 2003-01-02 EWY iShares MSCI South Korea Index Fund 20.92 18.43 -11.9 -2.8
2002-12-02 2003-08-01 EWI iShares MSCI Italy Index Fund 13.77 15.64 13.6 6.0
2003-01-02 2003-08-01 EWO iShares MSCI Austria Index Fund 8.31 10.36 24.7 9.0
2003-08-01 2003-09-02 EWW iShares MSCI Mexico Index Fund 14.05 14.31 1.9 4.4
2003-08-01 2003-11-03 EWG iShares MSCI Germany Index Fund 12.14 13.70 12.8 8.0
2003-08-01 2004-05-03 EWZ iShares MSCI Brazil Index Fund 9.90 13.67 38.1 15.2
2003-09-02 2004-01-02 EWT iShares MSCI Taiwan Index Fund 11.29 11.58 2.6 9.1
2003-11-03 2004-03-01 EWH iShares MSCI Hong Kong Index Fund 9.66 11.07 14.6 10.1
2004-01-02 2004-11-01 EWD iShares MSCI Sweden Index Fund 15.24 18.19 19.3 3.2
2004-03-01 2005-08-01 EWO iShares MSCI Austria Index Fund 15.20 25.17 65.6 9.4
2004-05-03 2004-09-01 EWW iShares MSCI Mexico Index Fund 18.78 19.03 1.4 -0.4
2004-09-01 2005-03-01 EWK iShares MSCI Belgium Index Fund 14.30 18.26 27.6 10.2
2004-11-01 2005-11-30 EWZ iShares MSCI Brazil Index Fund 18.21 33.22 82.4 12.7
2005-03-01 2005-09-01 EWY iShares MSCI South Korea Index Fund 34.42 35.70 3.7 1.8
2005-08-01 2005-11-30 EWW iShares MSCI Mexico Index Fund 29.62 34.15 15.3 1.9
2005-09-01 2005-11-30 EWC iShares MSCI Canada Index Fund 20.60 20.91 1.5 2.8

The system produced a 17.4% CAGR over this backtest period while the market returned an annualized 0.9%. As always, there is no guarantee that future performance will be like past performance, but we have a good starting point. More stats are in Table 3.

Table 3: Model Stats
ModelSPY Model
CAGR17.40.9 Number Trades26
Standard Deviation19.115.2 Pct. Positive73.1
Geometric Std.Dev.21.116.6 Avg. Bars143.4
Down Deviation13.910.9 Avg. Return11.5
Sharpe0.80.0 Avg. Pos. Rtn.20.4
Avg. Neg. Rtn.-12.7

Month by month performance data for the model and the SPY are in Tables 4 and 5. As you can see from this data our simple model has outperformed the broad market in 37 of 59 months and for every year of our test period.

Table 4: Model Returns
YearJanFebMarAprMay JunJulAugSeptOctNovDecYEAR
20010.1-5.6-6.73.7 -0.70.3-2.4-2.2-12.52.27.67.8 -9.9
20024.54.87.9 2.4-2.0-4.0-7.11.4-12.42.31.1 -6.8-9.3
20033.6-0.3 -0.810.18.30.7-0.04.70.79.3 0.58.554.6
20042.1 4.41.0-6.10.83.7-2.71.56.2 4.99.76.936.2
2005 -2.89.7-7.7-3.65.13.45.82.4 12.4-4.76.828.0

Table 5: SPY Returns
YearJanFebMarAprMay JunJulAugSeptOctNovDecYEAR
20016.4-9.5-5.68.5 -0.6-2.4-1.0-5.9-8.21.37.80.2 -10.4
2002-1.0-1.83.3 -5.8-0.6-7.4-7.90.7-10.58.26.2 -5.7-21.6
2003-2.5-1.3 0.28.55.51.11.82.1-1.15.4 1.15.028.2
20042.0 1.4-1.3-1.91.71.9-3.20.21.0 1.34.53.010.7
2005 -2.22.1-1.8-1.93.20.23.8-0.9 0.8-2.44.45.0

The graph below shows this model more than doubling in value during a time when the market was basically flat. It also shows that during a bear market that even the international markets can be a difficult place to invest. But as the markets righted themselves, this model pulled ahead and has performed well ever since.



This article shows how a basic trend following system can outperform the market. The six-month returns are calculated by measuring the total return (including dividends) over the past 126 market days. This simple calculation can be performed with a calculator or the return data can be obtained from this web site. If you have any questions or comments feel free to post them using the form below, or email me using the link at the bottom of the page.


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.


Current Comments

195 comments so far (post your own)

These pages are maintained for reference purposes and this comment section is now closed. General comments should be left using the link below in the footer. Thanks.

Posted by hmTodd on Wednesday, 09.3.14 @ 11:15am | #2793

November Update - This International Strategy resumed it\'s losing ways in November with a 0.4% loss while the broad US market gained 3.0%. This gives a ytd return of -1.0% for this strategy and a +29% return for the SPY. This portfolio now holds EWN, EWP, and EWI, all of which are in the top 4 screen positions so there were no portfolio changes this month. - Hugh

Posted by hmTodd on Monday, 12.16.13 @ 12:22pm | #1770

October Update - This International Strategy gained an impressive 7.2% in October while the U.S. broad market gained 4.6%. However, even that impressive gain was not quite enough to pull this model portfolio into the green for the year. It is still in the red with a -0.7% loss while the SPY has gained 25.3%. This portfolio now holds EWN, EWP, and EWI, all of which are in the top 3 screen positions so there are no portfolio changes this month. - Hugh

Posted by hmTodd on Tuesday, 11.5.13 @ 10:25am | #1752

September Update - This International Strategy gained a nice 4.7% in September while the U.S. broad market gained 3.2%. This was with two of our three positions in US funds. For the year, however, this strategy is still down 7.3% while the SPY is up 19.7%. Our two U.S. positions, IWN and IWD, fell out of the top screen rankings during the month and are replaced with Spain (EWP) and Italy (EWI). They join the carryover position in Netherlands (EWN). - Hugh

Posted by hmTodd on Tuesday, 10.8.13 @ 11:02am | #1745

August Update - This International Strategy lost 3.3% in August while the broad US market lost 3.0%. That takes the year to date return to -11.5% vs a 16% gain for the SPY. EWL dropped to position #10 on our screen so was replaced by EWN (Netherlands) on the first trading day of the month. IWN and IWD are still in this model portfolio holding positions #5 and 6, respectively. - Hugh

Posted by hmTodd on Thursday, 09.5.13 @ 12:30pm | #1730

June/July Update - A two month update this time around. This International Strategy lost 3.9% in June and gained 5.3% in July. For same periods, the broad US market lost 1.3% and then gained 5.2%. For the year, this strategy is down 8.6% while the SPY is up 19.6%. As of the first of June this model portfolio held EWL, IWN, and IWD. Those three remain in the portfolio with no changes at this time. However, I note that EWL is at the all important #7 rank and fell to #8 today. Officially, though, no trades this month. - Hugh

Posted by hmTodd on Thursday, 08.1.13 @ 16:28pm | #1723

Thanks for the update. I\'m glad to see TUR and THD out of the portfolio

Posted by Brian K on Monday, 06.10.13 @ 16:30pm | #1714

May Update - This International Strategy had another rough month, losing 5.9% while the SPY gained 2.4%. The year to date return for this model portfolio is now a negative 9.7% while the broad US market is up 15.3%. THD and TUR have both fallen below the important #7 spot on our screen and will be replaced in this portfolio with two US value funds, IWN and IWD. They join EWL (Switzerland) which entered this portfolio a couple of months ago. - Hugh

Posted by hmTodd on Tuesday, 06.4.13 @ 11:31am | #1713

Late update for February and March - Sorry about the lapse in updating, I\'ll do better. This International Strategy has suffered this year while the domestic market has shined. Year to date, this model strategy is down 6.7% while the SPY is up 10.5%. For the first three months the returns(losses) were +3.4%, -6.4%, and -3.7%, respectively. Our holdings as of Feb were EWP, EWI, and EWO. At the end of Feb, EWI had dropped in the screen and was replaced with THD (Thailand). As of the end of March, EWP and EWO had both dropped out of the top slots and were replaced with TUR (Turkey) and EWL (Switzerland). This leaves the current holdings in this model portfolio being THD, TUR, and EWL. - Hugh

Posted by hmTodd on Friday, 04.12.13 @ 09:29am | #1700

is this still being updated?\r\n\r\nthanks- great web site

Posted by brewster on Friday, 04.5.13 @ 14:32pm | #1698

January Update - This International Strategy gained a respectable 3.4% in the month of January, but significantly lower return than the SPY\'s 5.1%. Current holdings include TUR, EWP, and EWI. Turkey has dropped to screen rank #8 so was replaced in this model portfolio with Austria (EWO) effective at the close of trading Feb 1. - Hugh

Posted by hmTodd on Wednesday, 02.6.13 @ 14:40pm | #1685

December Update - This International Strategy closed out the year strong with a 6.8% return for the month. This is significantly better than the 0.6% return for the broad US market. For the year this strategy returned 31.8% while the SPY returned 16.0%. Since 2001, the CAGRs are 8.2% and 2.7%, respectively. Current holdings include TUR, EWP, and EWI. All are near the top of the screen so there are no changes at this time. - Hugh

Posted by hmTodd on Wednesday, 01.2.13 @ 13:09pm | #1666

Amit - Thanks for the comment. Please note the box of symbol additions under the main list of funds included in the strategy. I believe that is what you were looking for (but didn't see). -Hugh

Posted by hmTodd on Wednesday, 01.2.13 @ 13:02pm | #1665

Hi Todd,

Thanks for keeping this going.

It will be more clear if all of current options are in the holdings table instead of bottom, like TUR, etc.

Thanks
Amit

Posted by AmitC on Monday, 12.31.12 @ 13:44pm | #1663

Hugh,
Thanks for the explanation. In the current public screener is it correct that the Trend Screener model only moves into or out of the ETF in the Fund Symbol box? I assume there is currently no way to move into and out of ETFs in a group or totally as a group as their ratings change. Correct?

In the Default settings in the Traditional Screener, how does the backtest select the funds held? Does it rebalance monthly to the top five in the list created by the screener?

Thanks, DH

Posted by DH on Sunday, 12.16.12 @ 17:15pm | #1657

DH, Welcome to the site and thanks for signing up. There is a feature that this strategy uses that is not available in our screener, and that is the concept of holding a position even as it drops in rank. In this International Strategy, we buy 3 funds but hold through position 7 on the screen. This cannot currently be tested with our public screener, but this ability will be coming soon.

Currently I utilize a different backtesting package that I wrote years ago. Each has a few capabilities the other doesn't, but the one on this site is catching up fast.

- Hugh

Posted by hmTodd on Saturday, 12.15.12 @ 10:20am | #1656

Todd, I am new to the site (Premium level) and have been reviewing your single country strategy and working on screens and backtesting. It looks like your screens, backtesting and model are run by your server. Is there a blog that describes the detailed mechanics of creating such a backtest?

Thanks, DH

Posted by DH on Friday, 12.14.12 @ 17:39pm | #1655

November Update - This International Strategy had another good month, gaining 2.1% while the broad US market gained 0.6%. For the year, this model portfolio has now returned 23.4% and the SPY 15.0%. This strategy currently holds TUR, EWH, and EWP. Hong Kong(EWH) has dropped in the rankings and will be replaced by Italy(EWI). - Hugh

Posted by hmTodd on Monday, 12.3.12 @ 09:07am | #1653

October Update - This International Strategy had another good month, gaining 3.0% while the broad US market lost 1.8%. For the year, this model portfolio has now returned 20.9% and the SPY 14.3%. This strategy began the month holding TUR, EWS, and EWH. EWS had dropped in the rankings and is replaced by EWP(Spain). - Hugh

Posted by hmTodd on Thursday, 11.1.12 @ 13:36pm | #1642

September Update - This International Strategy had another good month, returning 2.3% while the SPY returned 2.5%. For the year this model portfolio has now returned 17.3% and the broad market 16.4%. This strategy continues to hold TUR, and EWS, but SPY is replaced by EWH(Hong Kong). - Hugh

Posted by hmTodd on Tuesday, 10.2.12 @ 05:22am | #1613

August Update - This International Strategy had another good month, returning 2.7% while the SPY returned 2.5%. For the year this model portfolio has returned 14.7% and the broad market 13.6%. This strategy continues to hold SPY, TUR, and THD.
Edit: I mistyped earlier, THD should be replaced by EWS.

Since Jan, 2001, this strategy has a CAGR of 7.3% vs 2.6% for the SPY. - Hugh

Posted by hmTodd on Tuesday, 09.4.12 @ 13:00pm | #1591

July Update - This International Strategy slightly outpaced the broad US market again this month, returning 1.9% versus 1.2% for the SPY. For the year this model portfolio has returned 11.7% and the broad market 10.8%. This strategy continues to hold SPY, TUR, and THD. - Hugh

Posted by hmTodd on Wednesday, 08.1.12 @ 14:03pm | #1544

June Update - The International Strategy slightly outpaced the broad US market with a 4.7% return for the month, compared to 4.1% for the SPY. YTD the two are close, with this model portfolio returning 9.6% and the broad market 9.5%. This strategy has been concentrated in U.S. funds the past several months, but now IWD and IWN have dropped from the top 7 screen positions and will be replaced with Turkey(TUR) and Thailand(THD) as of today's market close.- Hugh

Posted by hmTodd on Monday, 07.2.12 @ 09:23am | #1489

May Update - This International Strategy matched the SPY this month with a loss of 6.0%, reducing the ytd gain to 4.7%. The SPY is sitting on a ytd gain of 5.2%. The current holdings, SPY, IWD, and IWN, are now ranked #3, #4, and #2, respectively in the screen, so there are no changes at this time. - Hugh

Posted by hmTodd on Friday, 06.1.12 @ 07:15am | #1410

April Update - This International Strategy lost 1.1% this month while the SPY lost 0.7%. For the year this strategy is now up 11.3% while the US market is up 11.9%. The current holdings, SPY, IWD, and IWN, are now ranked #2, #4, and #5 in the screen so there are no changes at this time. - Hugh

Posted by hmTodd on Tuesday, 05.1.12 @ 13:45pm | #1388

Lio's strategy, based on my own backtests, will work. However, it will at times have you zigging when you should have been zagging, etc. Sometimes the signal will put you in bonds just when you should be getting back into stocks. That's essentially what happened this year with the Domestic etf approach by Hugh. It got you into staples too late and out of staples too late. I suggest using this strategy for a PORTION of your investment strategy, not all. Unfortunately, no strategy works all the time.

Posted by Tom on Wednesday, 04.11.12 @ 06:43am | #1359

Lio suggested the inclusion of a short term treasury to signal a market downturn - That could be a good idea with a momentum strategy like this, but I don't have a backtest to back it up. - Hugh

Posted by hmTodd on Monday, 04.2.12 @ 13:41pm | #1355

March Update - This International Strategy had another good month returning 3.3% while the broad US market gained 3.2%. For the year this strategy is up 12.5% while the SPY is up 12.7%. The holdings for March were SPY, IWD, and IWN. All three were still in the top 7 screen positions as of Friday's close so there are no changes at this time. However, both SPY and IWD have fallen further as I write this on Monday. - Hugh

Posted by hmTodd on Monday, 04.2.12 @ 13:36pm | #1354

First of great site and strategy. To succeed with this strategy, one needs to stick to it during hard time. Losses are part of the game.

It's seems that the strategy is always fully invested no matter the market condition. It would be a good idea to have a short term tresury ( cash) etf in the mix, and ETf like SCHO or SHY. If those ETF are # 1 , then no investment is made. this saved my butt numerous time

Posted by Lio on Sunday, 03.25.12 @ 22:16pm | #1349

February Update - This International Strategy had another good month returning 3.9% while the broad US market gained 4.3%. For the year this strategy is up 9.0% while the SPY is up 9.2%. The holdings for February were EWM, SPY, and IWD. EWM has fallen from the top screen ranks and will be replaced by IWN as of today's close. This addition of iShares Russell 2000 Value fund positions this strategy totally in the US market. - Hugh

Posted by hmTodd on Thursday, 03.1.12 @ 07:11am | #1325

January Update - This International Strategy began the year with a market beating performance, which is a nice change from last year. During the month this sample strategy gained 4.9% while the SPY gained 4.6%. The holdings for January were EWM, EWJ, and SPY. EWJ has fallen from the top screen ranks and will be replaced by IWD as of today's close. This addition of the iShares Russell 1000 Value fund will position two of this strategy's three holdings in the U.S. market. - Hugh

Posted by hmTodd on Wednesday, 02.1.12 @ 08:56am | #1303

December Update - This International Strategy finished the year with another loss in December of 0.8% when the SPY gained 1.0%. For the year, the strategy lost 35.2% while the broad US market gained 1.9%. Since 2001 this strategy has a CAGR of 6.4% vs. 1.6% for the SPY. The three holdings, EWM, EWJ, and SPY, are all within the top 7 screen spots so there are no changes this month. EWJ is, however, sitting at #7. - Hugh

Posted by hmTodd on Tuesday, 01.3.12 @ 09:22am | #1284

November Update - This International Strategy had a small gain of 0.2% in November while the US broad market lost 0.4%. For the year, this strategy is down 34.7% while the SPY is up 0.8%. The three holdings, EWM, EWJ, and SPY, are all in top screen spots so there are no changes this month. - Hugh

Posted by hmTodd on Thursday, 12.1.11 @ 13:05pm | #1260

October Update - This international strategy was up 6.9% during the month of October while the SPY was up 10.9%. For the year, this strategy is still down 34.8% while the broad market is now up 1.3%. I don't currently have the portfolio changes but will edit this post when I can get them. - Hugh
p.s. - EWM and EWJ are still within the top 7 screen slots, but EWL was replaced in the model by SPY.

Posted by hmTodd on Tuesday, 11.22.11 @ 12:15pm | #1256

September Update - The market slide in September was particularly painful to this International Portfolio, losing 17.7% while the SPY lost 6.9%. This takes the y-t-d performance down to -39.0% for this strategy and -8.7% for the broad US market. THD was particulary hard hit, and both it and EZA have fallen out of the top 7 screen slots, and EWM is holding on at position #6. Per the screen rules, THD and EZA will be replaced with EWJ and EWL as of today's market close. - Hugh

Posted by hmTodd on Monday, 10.3.11 @ 09:01am | #1229

August Update - August was not kind to the U.S. market, but it was less kind to Europe and some other international markets. I commented last month that Germany(EWG) was barely hanging on in this model, we all wish it had been a bit lower. For the month this model lost 11.7% while the SPY lost 5.5%. That takes the year to date loss to 25.9% for this model portfolio, versus a 1.9% loss for the SPY. Of our three portfolio holdings (EWG, THD, AND EZA), EWG is now off the list, to be replaced with Malaysia(EWM) as of the close on 9/1. - Hugh

Posted by hmTodd on Friday, 09.2.11 @ 07:54am | #1218

July Update - Needless to say, the past few months have been difficult for the international markets, and this strategy. During the month of July this model portfolio lost another 6.8%, upping the year-to-date loss to 16.0%. Respective numbers for the broad US market are -2.0% for the month and +3.8%, ytd. The holdings for this strategy for July have been EWP, EWQ, and EWG. The first two have now dropped out of the top 7 screen positions and will be replaced with THD(Thailand) and EZA(South Africa). EWG(Germany) is sitting at position #7 as of Friday's close. - Hugh

Posted by hmTodd on Monday, 08.1.11 @ 08:24am | #1196

June Update - This international strategy lost 0.3% during the month of June, compared to a 1.2% loss for the broad U.S. market. This takes the year-do-date loss to 9.9% vs. a 5.9% gain for the SPY. The holdings for this strategy for June were EWY, EWP, and EWQ. South Korea(EWY) has now fallen out of the top 7 screen positions and will be replaced with Germany(EWG). For those interested, I have updated some longer term stats at intlstrategyupdate.php. - Hugh

Posted by hmTodd on Friday, 07.1.11 @ 08:21am | #1185

May Update - This international strategy lost 5.2% during the month of May, compared to a 1.1% loss for the broad market. This takes the year-do-date loss to 9.6% vs. a 7.7% gain for the SPY. The holdings for this strategy for May were RSX, EWG, and EWY. Russia(RSX) and Germany(EWG) have fallen in the rankings and replaced by Spain(EWP) and France(EWQ). - Hugh

Posted by hmTodd on Thursday, 06.2.11 @ 04:56am | #1178

April Update - This model strategy returned 3.9% in April while the SPY gained 2.9%. For the year, this strategy is still down by 4.6% while the broad market is up 9.0%. The current holdings include EWO, RSX, and EWG. EWO has fallen from the top 7 screen slots and will be replaced with South Korea(EWY) as of today's close. - Hugh

Posted by hmTodd on Monday, 05.2.11 @ 07:49am | #1167

>do you know of a screener which sorts country etf's by volatility?

Sorry this is so late. The screener on this site has percent range measures but does not currently have standard deviation measures. Depending on your need, the APR measures might suffice.

Otherwise, I don't know of a site that has what you are looking for, but there is probably one out there somewhere.

Posted by hmTodd on Monday, 05.2.11 @ 07:44am | #1166

do you know of a screener which sorts country etf's by volatility?

Posted by Jon on Tuesday, 04.5.11 @ 09:08am | #1156

March Update - This international strategy returned 2.1% in March while the broad market went no where, 0.0%. For the year, this strategy is still down by 8.2% while the SPY is up 5.9%. The portfolio holdings of EWO, RSX, and EWG are still within the top 7 screen postions, so there are not changes this month. - Hugh

Posted by hmTodd on Sunday, 04.3.11 @ 11:52am | #1153

Posted by JonathonAM on Wednesday, 03.30.11 @ 01:04am | #1151

February Update - The SPY continued it's run with a 3.5% gain for the month while this international strategy continued in the opposite direction losing 4.1%. For the year, the SPY has now gained 5.9% while this sample strategy has lost 10.1%. After last month's changes the portfolio held EWO, EWT, and EWY. The later two have fallen in the screen positions and will be replaced, as of today's close, with RSX (Russia) and EWG (Germany). - Hugh

Posted by hmTodd on Tuesday, 03.1.11 @ 12:37pm | #1144

Before I get to the updates let me address some comments. Don, I apologize for not getting back to your question earlier, but no, I will not be adding the new ETF's into this strategy. I think they would work well and if someone wants to add them I would not discourage it, but I am focusing on some new work that I believe will have more potential - stay tuned.

Ownerace - Thanks for the comment on the site, glad you find it interesting (and hopefully beneficial).

jib - There are no guarantees in life, we're just trying to make the best decisions we can with the limited information we have.

Posted by hmTodd on Tuesday, 03.1.11 @ 12:32pm | #1143

read with pleasure

Posted by ownereace on Sunday, 02.27.11 @ 22:49pm | #1140

and why so few comments on such a nice posting? :)

Posted by ownereace on Sunday, 02.27.11 @ 17:55pm | #1139

Interesting site

Posted by ownereace on Sunday, 02.27.11 @ 14:32pm | #1138

Hugh - Are you going to add the latest iShares ETFs? EPU - Peru, EIRL - Ireland, EPHE - Phillipines, EUSA - USA. By my checking EPU was on of the top 3 single country ETFs over the past 126 days on January 1, 2011.

Posted by don on Thursday, 02.17.11 @ 16:04pm | #1127

I hate to be discouraging, because I think this site is wonderful, but I believe what you've done here is prove that back-testing and even forward testing really needs to cover a lot of time periods before it's credible.
Because of the draw-down in 2008 of almost 50%, you have shown that a huge and for me unacceptable period of losses can happen and without having been discovered in the prior testing. Prior to 2008 the largest draw-down shown was about 10%. Thus for someone trading this system they were surprised at the huge difference between actual performance and past performance. This leads one to conclude that even another larger period of draw-down is possible because credibility is not established.
I believe the problem is that when you are only trading at most 1X a month you simply do not get enough time periods in to make a credible testing quantity. At this point with about 130 testing periods in I still think you do not have enough and another surprise is very possible.
I do not think all back-testing and forward testing is useless. I just believe there has to be both the quantity and range of testing so that you have enough different types of market environments tested. Unfortunately with ETFs I don't think the time period of their existence is long enough. And therefore I think the validity of the system has been established.
I'd be interested in how people that traded this system through 2008 and still trade it feel now. Of course if you started in 2008 and had a 50% draw-down you'd need a 100% move up to even break even. That must be extremely discouraging.

Posted by jib on Tuesday, 02.15.11 @ 01:22am | #1122

January Update - The SPY started the year off with a monthly gain of 4.4%. Unfortunately this model portfolio headed the other way, losing 6.2% for the month. Not the worst January, but #3 behind 2009 and 2008. But we have 11 months to make it up. The current holding include THD, ECH, and EWO. The first two have dropped down in the screen rankings and will be replaced with Taiwan(EWT) and South Korea(EWY) as of today's close. - Hugh

Posted by hmTodd on Tuesday, 02.1.11 @ 12:16pm | #1103

December Update - Our Single-Country Fund Strategy finished the year with a 4.9% gain in December which took the annual gain to 18.8%. For comparison, the SPY returned 6.7% in December and 14.6% for the year. The current holdings are THD, EWM, and ECH. EWM has dropped in the rankings and will be replaced with EWO(Austria) as of today's close. Since the beginning of 2001 this model strategy has returned 11.7% annually (CAGR) while the SPY has returned 1.5%. Obviously this is not guaranteed for the future. Have a Happy New Year - Hugh

Posted by hmTodd on Monday, 01.3.11 @ 07:34am | #1082

Many thanks for your clear, precise and intelligent hard work, not to mention your generosity. .......paul

Posted by jakob on Monday, 12.6.10 @ 10:19am | #1027

November Update - This month I am a little late updating the strategies, but here it is. During a month that the SPY was unchanged, this International Strategy lost 1.0%. For the year, the strategy is up 13.3% while the broad market is up 7.4%. The current holdings, THD, EWM, and ECH, are all still in the top 6 screen positions (as of the end of the month) and remain in the model portfolio for another month. Wishing everyone a happy December. - Hugh

Posted by hmTodd on Friday, 12.3.10 @ 07:51am | #1020

This is helpful and would like to use this strategy as I start on ETF investing. It looks like this thread has been refreshed monthly regularly. I hop you (the author) continues to do so!

Posted by ETFNewbie on Friday, 11.26.10 @ 10:49am | #1010

October Update - The market continued its winning ways in October with the SPY returning 3.8% and this strategy returning 2.3%. For the year, this strategy has returned 14.4% while the broad market has returned 7.4%. This screens holding of Thailand(THD), Malaysia(EWM), and Chile(ECH) are ranked #1, 5, and 2, respectively, so there will be no changes at this time.
Hugh

Posted by hmTodd on Saturday, 10.30.10 @ 09:16am | #977

September Update - The broad market had a good month of September returning 9.0%. This international strategy kept pace, returning 9.7%. For the year this strategy is now up 11.8% while the SPY is up 3.5%. This screens holding of Thailand(THD), Malaysia(EWM), and Chile(ECH) are all still in the top 4 screen positions so there will be no changes at this time.
Hugh

Posted by hmTodd on Friday, 10.1.10 @ 08:01am | #965

Sebastian, Ive looked at a few variations on the theme of going to cash when a fund is trading below some longer term moving average. I think it is safe to say that most variations do improve results, although I dont have my numbers in front of me right now.

Hugh

Posted by hmTodd on Wednesday, 09.1.10 @ 12:40pm | #960

August Update - This international strategy posted a gain in August of 3.8% while the broad market lost 4.5%. For the year this strategy is now up 2.0% while the SPY is down 5.1%. The holdings are currently Thailand(THD), Malaysia(EWM), and South Africa(EZA). EZA has now dropped to position 8 in our screen and will be replaced by #2 Chile(ECH) as of todays close.
Hugh

Posted by hmTodd on Wednesday, 09.1.10 @ 12:35pm | #959

Hi Hugh, great site!

Have you considered the additional trading rule of, say, not investing in the position if its trading below its 10 month moving average on the first day of the month? Instead, you take that part of the portfolio and either sit in cash, or buy a short-term T-bill ETF.

My guess is that the drawdown and standard dev. of the strategy would drop quite a bit, without significantly affecting the upside. Such a rule would certainly help in years such as 2008.

Posted by Sebastian on Friday, 08.27.10 @ 10:06am | #956

July Update - This update will cover two months since I did not get an update posted in early July. As of the May update this model strategy held IWN, TUR, and THD. June was a tough month for many markets with the SPY losing 5.2% and this model down 2.3%. July saw a rebound with the broad market up 6.8% and this international strategy up 11.1%. Even after this rebound both are still in the red for the year to date, with the SPY down 0.6% and this model down 1.8%. This strategy saw no changes the first of July but now IWN has dropped significantly and TUR has dropped to position #8 in our screen. The two funds will be replaced in the model portfolio as of todays close with Malaysia(EWM) and South Africa(EZA). Have a good August,

Hugh

Posted by hmTodd on Monday, 08.2.10 @ 09:18am | #953

I understand the thinking on comparing performance to VWO rather that SPY, but I prefer to compare everything to a single reference point. Since this site is primarily targeted at US investors that reference is SPY. Thanks for the input, and it has merit as an additional measure. Hugh

Posted by hmTodd on Monday, 08.2.10 @ 09:00am | #952

Hugh,

Comparing VWO might be more appropriate than SPY.

Amit

Posted by Amit C on Thursday, 07.1.10 @ 14:15pm | #946

May Update - This International Strategy lost 9.7% in the month of May while the broad market lost 7.9%. For the year this strategy has lost 9.6% while the broad market has lost 1.9%. The current model holdings include Russia(RSX), Mexico(EWW) and Russell 2000 Value(IWN). RSX and EWW have fallen in the screen rankings and will be replaced with Turkey(TUR) and Thailand(THD) as of todays market close. Hugh

Posted by hmTodd on Tuesday, 06.1.10 @ 12:12pm | #943

April Update - This International Strategy lost 2.1% in April while the SPY gained 1.5%. For the year this strategy has gained 0.2%, while the broad market has gained 6.6%. The current model holdings include Russia(RSX), Mexico(EWW) and Israel(EIS). EIS has fallen out of the top 7 screen slots and will be replaced with the Russell 2000 Value(IWN) as of todays market close. Hugh

Posted by hmTodd on Monday, 05.3.10 @ 12:57pm | #940

March Update - This International Strategy gained 9.3% in March while the SPY gained 5.7%. For the year this strategy has now turned positive, gaining 2.4%, while the broad market has gained 5.0%. The current model holdings include Brazil(EWZ), Autralia(EWA), and Russia(RSX). EWZ and EWA have now fallen out of the top 7 screen positions and will be replaced with Mexico(EWW) and Israel(EIS) as of todays market close. Hugh

Posted by hmTodd on Thursday, 04.1.10 @ 12:32pm | #936

There have been a few requests for updated stats and charts. I had hoped to post a good bit of data with some refinements to the strategies but since everything is not ready Ill just post updated strategy results. See intlstrategyupdate.php.

Posted by hmTodd on Wednesday, 03.3.10 @ 12:31pm | #934

Hey Todd....the chart right above this post show the Model results (Intl) VS the SPY.. any chance you can update that one to 2010? THX

Posted by Brantley on Monday, 03.1.10 @ 21:56pm | #932

February Update - This international strategy lost 0.6% in February while the SPY gained 3.1%. For the first two months of the year, this strategy has lost 6.3% while the broad market has lost 0.6%. The current model holdings include Turkey(TUR), Brazil(EWZ) and Autralia(EWA). Turkey has dropped in the rankings and will be replaced by Russia(RSX) as of todays market close. Hugh

Posted by hmTodd on Monday, 03.1.10 @ 12:51pm | #931

January Update - This international strategy lost 5.8% in January while the SPY lost 3.6%. The current model holdings include Turkey(TUR), Brazil(EWZ) and Autralia(EWA) and remain so for another month, although Brazil(EWZ) is currently sitting at position #7 in the screen. This strategy finished last year with a 32.9% return and has a CAGR or 10.1% since 2001. Comparable numbers for the SPY are 26.4% for last year and -0.3% since 2001. Of course, this strategy benefits from the relative strength in the foreign markets. Hugh


Posted by hmTodd on Saturday, 01.30.10 @ 10:33am | #926

Thanks again for an excellent site. What impact does using the HTD-3 have on activity (# of trades) and volatility? I am looking forward to your opinion on using the 200 dma as an exit mechanism. Thanks again

Posted by Brewster on Wednesday, 01.27.10 @ 11:06am | #924

Brian, I appreciate the post. There are several strategies similar to this, with the Fund*X probably being the most popular. I chose way back in 2005 to demonstrate this simple strategy of using just the 6 month return, but there are many others with varying complexity.
Thanks again, Hugh

Posted by hmt on Monday, 01.11.10 @ 15:06pm | #894

This is interesting because there are two investment newsletters that use a similar approach for mutual funds.

They call it a momentum approach.

For example, they may sum up the 12 month, 6 month, and 3 month returns every month for a group of similar funds and pick the top in each such group until the momentum for the current leader falls below the median.

This is not spam, but the two newsletters are Sound Mind Investing and No-Load Fund*X.

The latter has a history spanning decades and is repeatedly in the top rankings by The Hulbert Financial Digest for histories spanning 10, 15, and 20 year runs.

I am adding this comment just to affirm the potential legitimacy of this approach.

Posted by brian on Saturday, 01.9.10 @ 16:42pm | #891

Brewster asked what is the hold till drop 3 rule. Generally speaking, the hold-till-drop(htd) rule says you sort the funds by some variable, buy the top x, but only sell after they drop below some level, generally more than x. For this international strategy we hold 3 funds and use a htd-7 rule, meaning we only sell after it drops below position #7. This gives some room for normal fluctuation but picks up significant drops. The strategy discussed over the past week or so has been holding 1 fund, and I mentioned an htd 3 rule, or hold until the fund drops below position 3 where otherwise you would always switch to the top fund. Hope that clears up the question. Hugh

Posted by hmt on Monday, 01.4.10 @ 18:49pm | #888

December Update - This international strategy gained 6.4% during the month of December while the SPY gained 1.9%. For the year this sample strategy is up 32.9% while the broad market is up 26.4%. The current holdings in this model are Turkey(TUR), Brazil(EWZ) and Autralia(EWA). These funds are still in the top 7 screen positions so there are no changes at this time. Hugh

Posted by hmTodd on Monday, 01.4.10 @ 18:40pm | #887

what is the "hold till drop 3 rule"?

Posted by brewster on Monday, 01.4.10 @ 16:51pm | #885

re:Do you look for the highest RSf and if ema(20) < ema(200) go to cash, or do you pick the ETF with the highest RSf from those ETF's where ema(20)>ena(200)?

I ran some number two ways. First do ema check and then sort by rsf. Second, take top 3 by rsf, then check ema, then take top by rsf. Not a significant difference.

Posted by hmt on Thursday, 12.31.09 @ 10:01am | #883

Thanks for testing this, Hugh. It's a very nice Christmas present!

I'm pleased you found your RSf system out performed TR126, since I always thought it picked out pretty strong ETF's. I'm not sure
how your scheme works. Do you look for the highest RSf and if ema(20) < ema(200) go to cash,
or do you pick the ETF with the highest RSf from those ETF's where ema(20)>ena(200)?

Posted by rrjjgg on Sunday, 12.27.09 @ 19:30pm | #881

Sorry it took so long to get back to this post. I had not looked at single etf models in a while so this was an opportunity to start afresh. It looks like the top ETF outperforms the standard model by about 2.7 percentage points on the one month hold. The weekly hold is slightly above break even. These are with 0.5% round trip slippage. You can further improve returns by requiring the 20 day ema be greater than the 200 day ema, and further still by changing to RSf from TR126 and finally adding a hold-til-drop(3) rule. Where the standard model has a 9.2% CAGR since 2001, and the SPY is slightly negative, the combination of the above is about 18% with the single best international ETF, monthly hold, ema positive, using RSf, and htd3. This is all real quick and needs some backup work to verify. But it looks like there are opportunities. The same options with a one week hold showed 11% CAGR. I would like to improve this one some. Hope this helps, Hugh.

Posted by hmt on Thursday, 12.24.09 @ 11:59am | #878

Did you ever try checking a strategy like Decision Moose uses? That is, just keep your top ranked country fund (keep only one, the top ranked fund) and change the fund weekly or as needed?

If not, can you readily backtest this type of strategy to see what the changes in returns are or if it significantly increases trading?

Posted by rrjjgg on Saturday, 12.19.09 @ 15:11pm | #869

November Update - This international strategy gained 2.2% during the month of November while the SPY gained 6.2%. For the year this sample strategy is up 25.0% while the broad market is up 24.0%. The current holdings in this model are Russia(RSX), Turkey(TUR), and Austria(EWO). As of yesterdays close RSX and EWO had dropped out of the top 7 screen positions and will be replaced with Brazil(EWZ) and Autralia(EWA) as of today's close. I note that as I write this RSX is in position #7 which would have kept it in the model if it were there last night. But here we follow the model.
Hugh

Posted by hmTodd on Tuesday, 12.1.09 @ 08:36am | #864

Brewster asked about book recommendations. Unfortunately I have none that I have personally read that really relate to this site. I understand Tom Lydon has a new book out titled ETF Trend Following Playbook. I've heard good things about it including that he mentions this website, so it must be good. All kidding aside, I have spoken with Tom a few times and he seems like a genuine and knowledgeable guy, but I have not read his book yet. Hugh

Posted by hmTodd on Tuesday, 12.1.09 @ 08:29am | #863

Are there any books that you would recommend regarding using this strategy with other etf/groups? Thanks again for your time.

Posted by brewster on Monday, 11.30.09 @ 08:09am | #861

Oct Update - This international strategy lost 3.9% during the month of October while the SPY lost 1.9%. For the year this sample strategy is up 22.3% while the broad market is up 16.8%. The current holdings in this model are India(EPI), Russia(RSX), and Turkey(TUR). EPI has now dropped to rank #8 in the screen so it will be replaced with Austria(EWO) in this model as of today's close.
Hugh

Posted by hmTodd on Monday, 11.2.09 @ 06:53am | #844

Thank you for an excellent web site. I was wondering if your strategy has been tested for other etf groups- industries, fixed income, commodities, etc. If so, where could I do some reading on this? Did performance improve with a 200 MA entry/exit addition to your model?
Thanks again for your time.
brewster

Posted by Brewster on Wednesday, 10.21.09 @ 12:08pm | #841

September Update - This sample strategy returned 10.6% during the month of September while the SPY returned 3.5%. For the year this strategy is up 27.3% while the broad market is up 19.1%. The current holdings in this model are India(EPI), Russia(RSX), and Turkey(TUR). These are still in the top screen positions so there will be no changes as of this month.
Hugh

Posted by hmTodd on Thursday, 10.1.09 @ 08:48am | #840

Which software can you recommend for backtesting ETF strategies?

Posted by Steven on Thursday, 09.24.09 @ 07:26am | #838

August Update - This sample strategy eeked out a 1.9% return during the month of August when the SPY returned 3.7%. For the year this strategy is up 15.1% while the broad market is up 15.0%. The current holdings in this model are India(EPI), Russia(RSX), and Turkey(TUR). These are still in the top screen positions so there will be no changes as of this month.
Hugh

Posted by hmTodd on Tuesday, 09.1.09 @ 12:33pm | #835

July Update - This model had a solid 6.6% return for the month of July, but this was no match for the SPY's 7.5% return. For the year, though, this strategy is up 13.0% while the broad market is up 10.9%. The current holdings in this model are Chile(ECH), Brazil(EWZ), and India(EPI). Chile and Brazil have fallen relative to other markets over the past month and will be replaced by Russia(RSX) and Turkey(TUR) as of Monday's market close.
Hugh

Posted by hmTodd on Saturday, 08.1.09 @ 12:35pm | #832

June Update - This model lost 0.5% during June while the market as measured by SPY lost 0.1%. For the year this strategy has gained 5.9% while the market is up 3.2%. The current holdings, Chile(ECH), Brazil(EWZ), and India(EPI), are all in the top screen positions as of the end of June so there are no changes.
Hugh

Posted by hmTodd on Monday, 07.6.09 @ 10:06am | #824

Carl,

There is no forced rebalancing in this model. Proceeds from sales are simply rolled into the next position. Rebalancing occurs dynamically when multiple positions are exited at the same time and then the proceeds are divided among the new positions.

Hugh

Posted by hmTodd on Monday, 07.6.09 @ 10:01am | #823

In this model, when a position is sold are the proceeds simply used to buy the next security? Or is there a re balancing rule of some kind?

Posted by Carl on Monday, 06.22.09 @ 16:48pm | #818

Find the files you are looking for at torrent-hunter.com the most comprehensive source for free-to-try files downloads on the Web

Posted by qaww on Wednesday, 06.17.09 @ 11:43am | #815

Disregard my previous question......I see that you've already answered it.

Posted by Carl on Sunday, 06.14.09 @ 20:37pm | #814

Interesting strategy and a great informative site.

I was just wondering -- have you ever tested the model against shorter periods than 6 months -- maybe 3 months or even 1?

Just wondering. Thanks.

Posted by Carl on Sunday, 06.14.09 @ 20:35pm | #813

May Update - This model had another good month returning 18.6% in May pushing it into positive territory for the year with a to-date return of 6.9%. Before we talk about what changes there might be to the holdings lets add a few funds to the selection list. Since the list of funds was last updated two years ago there have been several funds released and as of this month we are adding Thailand(THD), Turkey(TUR), Israel(EIS), and India(EPI) to the monitored list. There are two good India fund choices (EPI and PIN), and EPI was chosen based on fund volume. If you have comments about this choice please share them with us because a couple of months ago I might have chosen PIN. If these new funds were not being added to the list there would be no changes to this model portfolio this month. But with the additions, China(FXI) is pushed out of the top 7 and will be replaced with India(EPI) which is currently in screen position 1. It joins Chile(ECH) and Brazil(EWZ). Hope June is kind to us.
Hugh

Posted by hmTodd on Monday, 06.1.09 @ 08:14am | #809

April Update - This model returned 13.1% in April cutting its year-to-date loss to 9.8%. During this same period the SPY returned 9.9% for the month and -2.4% for the year. Chile(ECH) and China(FXI) are still in the top 7 screen positions but EWM has dropped. It will be replaced with Brazil(EWZ) as of todays close.
Note: This is significantly different from the intra-day data as of today but is based on yesterdays closing data.
Hugh

Posted by hmTodd on Friday, 05.1.09 @ 10:47am | #803

March Update - The holdings in this model participated in part of the markets bounce in March, returning 4.5% while the SPY returned 8.3%. For the year this strategy has lost 20.2% while the broad market has lost 11.2%. EWJ and EWL have dropped from the top 7 screen positions and will be replaced with Chile(ECH) and China(FXI) as of todays market close. Malaysia(EWM) is the third holding in this model.
Hugh

Posted by hmTodd on Wednesday, 04.1.09 @ 07:54am | #800

Doug, You are correct that I had originally reported a swap from IWN to ECH. It appears that was not correct and I have now edited the January update accordingly. In hindsight the swap to ECH would have been a good move compared to staying with IWN, but it now appears that was not the correct call per the model definition. For the purposes of tracking a model's results I believe it is important to track here the model's performance so that is what we will record, even though the numbers would have benefited from the error. Hugh

Posted by hmTodd on Tuesday, 03.3.09 @ 09:51am | #795

Hugh, I thought this portfolio was holding ECH which replaced IWN last month...is this correct?
As always, thanks again for a great site and the monthly updates!

Doug

Posted by Doug on Tuesday, 03.3.09 @ 08:23am | #794

February Update - As I write this the headlines are about the Dow losing half its value since its 2007 peak. The international markets have offered little protection during this downturn, but that is not surprising since they are generally perceived as more risky markets. This model strategy lost 12.8% during the month of January when the SPY lost 10.7%. For the year this strategy has lost 23.7% while the broad market has lost 18.1%. IWN has dropped from the top 7 positions so is being replaced in this model with Malaysia(EWM) as of the close of trading today. Switzerland(EWL) and Japan(EWJ) are the other two positions in this model.
Hugh

Posted by hmTodd on Monday, 03.2.09 @ 10:08am | #793

January Update - (Edited) The holdings in this model strategy all lost during the month of January, when the portfolio lost 12.5% against a market loss of 8.2%, as measured by SPY. IWN has dropped to the #7 position but will not be replaced until it drops below that. This model will continue holding Russell 2000 Value(IWN), Switzerland(EWL) and Japan(EWJ).
Note, I originally reported that IWN was exchanged for Chile(ECH) but this was in error. That is unfortunate because ECH significantly outperformed IWN.
Hugh

Posted by hmTodd on Monday, 02.2.09 @ 12:45pm | #789

December Update - This model strategy gained 5% for the month while the broad market(SPY) gained 1%. For the year, however, this strategy lost 46.8% while the SPY lost 36.8%. Glad 2008 is over. IWN and EWL occupy positions 1 & 2 on our screen. SPY has dropped to position #8 and will be replaced as of today's close with EWJ, which is now in position #3.
Hugh

Posted by hmTodd on Friday, 01.2.09 @ 06:52am | #786

I liked your site.

Posted by Pat Williams on Thursday, 12.11.08 @ 23:51pm | #784

November Update - This model strategy suffered along with the overall market during November, losing 8.7% while the SPY lost 7.2%. For the year this strategy has lost 49.4% while the broad market has lost 37.6%. The current selections including IWN, SPY, and EWL all remain in the top 7 screen positions.
Hugh

Posted by hmTodd on Monday, 12.1.08 @ 08:19am | #783

October Update - This model strategy lost 20.8% during the month of October while the SPY lost 16.5%. For the year, this strategy has lost 44.6% while the broad market has lost 32.7%. IWN and SPY are currently in screen positions 1 and 3, respectively, so they will remain in our portfolio. EWC has fallen to the 8th spot so will be replaced in the model portfolio by Switzerland (EWL) as of the end of trading today.
Hugh

Posted by hmTodd on Monday, 11.3.08 @ 09:18am | #780

September Update - This model portfolio experienced a 10.1% loss in September while the SPY lost 9.4%. For the year this strategy has lost 30% while the broad U.S. market has lost 19.4%. Last month we took positions in IWN and SPY along with EWC. Since these are still in the top 4 screen postions there will be no changes at this time.
Hugh

Posted by hmTodd on Wednesday, 10.1.08 @ 18:49pm | #774

Posted by on Saturday, 09.13.08 @ 16:09pm | #771

August Update - August saw the continued shift out of energy and commodities and took down both Brazil(EWZ) and Russia(RSX) in the process, with more minor damage to Canada(EWC). This model strategy is closing out the first two mentioned positions as of close today and moving into two U.S. based holdings, Russell Small Cap Value(IWN) and SPY. Results for August were poor. This strategy lost 9.3% while the SPY returned +1.5%. For the year this startegy is now down 22.1% while the market is down 11.0%. This model portfolio has not held a U.S. position since 2002 so this could be an interesting time. We'll see.
Hugh

Posted by hmTodd on Tuesday, 09.2.08 @ 11:15am | #770

Some wanted an update on how this strategy has done longer term so here is the data. The period covers 2001 through July, 2008. This is just an extension of the period covered above in the initial release.


Year Strategy SPY
2001 -9.9 -10.4
2002 -9.3 -21.6
2003 54.6 28.2
2004 36.2 10.7
2005 32.1 4.8
2006 35.4 15.2
2007 17.5 5.1
2008 -14.2 -12.4

CAGR 16.1 1.4

Posted by hmTodd on Friday, 08.8.08 @ 08:55am | #735

July Update - Due to an unexpected trip I will make this short. This strategy lost 10% during July when the SPY lost 0.9%, bringin the year to date returns to -14.2% for this strategy and -12.4% for the broad market. We began the month holding EWZ, RSX, and EWW. The later has fallen to position 8 so it will be sold from this model portfolio as of Friday's close and replaced with EWC (Canada).

Hugh

Posted by hmTodd on Thursday, 07.31.08 @ 19:49pm | #713

Hi Hugh,

When you post the results for July, would you mind posting the cumulative results so far as well? Ideally I'd like to see results (CAGR and GSD) compared to S&P500 over pre- and post-dicovery period (for both International and Sector strategies).

Thanks in advance!
MP

Posted by MP on Friday, 07.25.08 @ 06:56am | #696

have a nice day!

Posted by Biavadawisk on Tuesday, 07.8.08 @ 20:11pm | #695

June Update - This model portfolio gave up all of last month's gains plus a little, losing 9.3% in June while the SPY lost 8.4%. For the year this strategy has beat the market but still is negative at -4.6% while the market has lost 11.6%. Still don't like it very well.

Our current holdings, EWZ, RSZ, and EWW, are still in the top three spots so there will be no changes this month.

I mentioned in the Sector Strategy write-up that this month was the worst for the SPY since Sept, 2002, when we were all focusing on the one year anniversary of the Trade Center/Pentagon attacks. For this model you don't have to go back that far, just to January of this year. But it has not been a good month for most equities any way you look at it.

Hugh

Posted by hmTodd on Tuesday, 07.1.08 @ 07:57am | #694

Cherry, sorry for the delay in answering your questions.

India has not been included because there has not been a candidate that I wanted to invest in. There was the iPath ETN but I'm not a fan of ETN's even though they are included on the site and this particular ETN has often traded with a premium like a Closed End Fund because of regulatory issues in India.

As far as entry point, I have to leave that with you. The model is a momentum model and the international funds have shown little momentum recently. It could be a good time or things could continue to deteriorate. I've never been good at identifying bottoms, or tops for that matter. Wish I could help more.

Hugh

Posted by hmTodd on Tuesday, 07.1.08 @ 07:45am | #693

I enjoyed your site and information/strategey presented. Two questions I have are,

1) Lot of individual countries are listed included emerging market ones. Why India is not in the list ? Any particular reason for it ?

2) Does entry point matters in terms of following this strategy ? Or it could be any month beginning ? If so, if one were to start following this , esepcially in recent bear/range bound mkt, what would you advise ?

Posted by Cherry on Monday, 06.16.08 @ 16:59pm | #686

May Update - This model portfolio had another good month in May returning 8.9% and taking the year-to-date performance into positive territory at 4.8%. This while the broad market as measured by the SPY returned 1.5% for the month and -3.5% ytd. Two of the model holdings, EWZ and RSX, are still in the top screen positions but EWM has dropped out and will be replaced with Mexico(EWW) as of today's close. Hugh

Posted by hmTodd on Monday, 06.2.08 @ 07:37am | #671

I think that currency ETF trading will work well with this system. Currencies tend to form good longer term trends and this strategy of yours could be put to use to profit form that. Thanks again spidey.

Posted by spyderman on Monday, 05.19.08 @ 09:33am | #669

Spidey - I don't know of anyone looking at applying this to the currencies but it could well work. If I have time I'll take a look at it and post the results.

Hugh

Posted by hmTodd on Monday, 05.19.08 @ 09:08am | #668

Thanks for the prompt reply. Has anyone looked at using the same strategy using the currency ETF's?

spidey

Posted by spyderman on Monday, 05.19.08 @ 07:08am | #667

Doug - I agree that EWM has been all over the place, but until recently it has pretty much held it's own on a relative basis. In my backtests I have found that trading more often results in more whipsaws, more trades, and slightly lower returns, but it does get you out of bad trades earlier. There is no silver bullet and all we're trying to do here is stay with the longer term winners and have to accept a few losers in the process.

Spidey - At the end of April EWM was still near the top of our screen so remains in the model portfolio for the month of May. From where it sits now that is not so obvious.

Hugh

Posted by hmTodd on Monday, 05.19.08 @ 06:42am | #666

Am I missing something? How did EWM get on the buy list? When I look at the current rankings I can see how the other 2 ETF's made the list. I like your site and find it very useful.

spidey

Posted by spyderman on Sunday, 05.18.08 @ 16:05pm | #665

Hi.
Very interesting site!
Thanks!

Posted by allomiareme on Tuesday, 05.13.08 @ 23:14pm | #664

Nice April returns!

I had one more question for you, if you don't mind. Have you run any trades on the sensitivity to making trading decessions at different time periods other than once a month (lets say every 2 weeks)? I understand that you would be trading more but would this help lock in gains or boot bad performers at a better rate than waiting a month??

I'm just noticing that EWM has been all over the rankings in the last 2 months and really hasnt been doing much of anything. it seems that if you traded every 2 weeks or so, EWM would've been out and replaced with maybe something that has been performing better. I guess i shouldn't complain since RSX and EWZ have been rockstars!

thanks again for your quick responses and great site!!!!
Doug

Posted by Doug on Thursday, 05.8.08 @ 08:48am | #663

April Update - April was a good month for this model, which returned 10.7% while the SPY returned 4.8%. Even though, the strategy is still down 3.7% for the year, but beating the broad market which is down 5.0% on the year. The current selections, EWZ, RSX, and EWM, are still the top 3 positions in our screen so there are no changes at this time. Hugh

Posted by hmTodd on Thursday, 05.1.08 @ 05:39am | #660

Russ -

Parameters for shorting are usually different from those used for taking long positions because the market has a tendency to fall fast and slowly rise. At the moment I don't have a short model I find near as reliable as the two long strategies presented here.

Yes, I've looked at time frames other than six months. A lot of it depends on your trading preferences but the 6 - 9 month periods show pretty solid results over many different scenarios and different groups of securities.

Just my experience,
Hugh

Posted by hmTodd on Monday, 04.28.08 @ 05:10am | #659

About half a year ago fabien asked why you don't also short the three worst ETFs. I couldn't find an answer. Have you considered this? (I can't imagine that you haven't.) Why don't you test it? I'd be interested in the results.

Also, why use 6 months? Have you done testing and found that 6 months is the best period? I would have expected that a shorter period might be better since 6 months might encompass an entire trend leg. By the time the ETF shows up on the 6 month best list, it's run might be over.

Thanks.

-- Russ

Posted by Russ Abbott on Sunday, 04.27.08 @ 23:27pm | #658

re: Walt Fink's questions about msgs 606/607.

Walt,
Messages 606/607 were about someone's own strategy which was to sort all the international funds by 3-month return. That is a separate strategy from the one being followed here. For this strategy use the Current Rankings link at the top of this page. You can totally ignore those two posts.
Hugh

Posted by hmTodd on Wednesday, 04.9.08 @ 06:31am | #656

I thought I was understanding your strategy until I got to message #606/607. By clicking on the current rankings, the list is Single Country. But going to the left hand column and clicking on the three International sites shows different etf's or the same but in different order. In fact, using the current rankings and the other three listed gives four pages of international funds, not three as suggested in messages 606/607.
What should I be using?
Should I be using the current ranking for US ETFs and/or the listings on the left side also? Thanks .Walt Fink

Posted by Walt Fink on Wednesday, 04.9.08 @ 05:52am | #655

Doug,
Thanks for the feedback. The rank cutoff for sales will remain at 7. That number is more sensitive to the number of positions held than it is to the number being considered, and we are remaining at 3 open positions for this model. Yes, I have done some backtests on this and returns are stable on each side of 7. By the backtest we might be slightly better off at 5, but the number of trades goes up and volatility measures deteriorate. I settled on seven from the data a couple of years ago and don't see a compelling reason to change that right now.
Thanks, Hugh

Posted by hmTodd on Tuesday, 04.1.08 @ 13:27pm | #650

First off, I love your site and your strategy. I've been following your performance for a while as it is similar to the Dorcey Wright strategy of Relative Strength using Point and Figure charts (although this is a lot simplier). My question is with the addition of these new funds, are your sell rules still based on dropping below the rank of 7, or will this be updated to a rank of 9?? Have you done any backtesting on the sensitivity to the rank level?

thanks! and keep up the great work!
Doug

Posted by Doug on Tuesday, 04.1.08 @ 12:18pm | #649

March Update - In March this model strategy lost ground in both absolute terms and versus the broad market, losing 5.3% while the SPY lost 0.9%. This takes the year to date loses to 13% for the model and 9.3% for the broad market. Going forward we're adding Russia(RSX) and Chile(ECH) to our list of ETFs. We should have added them last month since RSX would have been on the list then rather than EWM. In results it wouldn't have made that much difference last month since their results were almost identical. Hong Kong(EWH) has fallen in ranking and will be replaced as of today's close with RSX. So, after today's close, our model strategy will hold EWZ, EWM, and RSX. Hugh

Posted by hmTodd on Tuesday, 04.1.08 @ 08:15am | #648

February Update - February looked like it could be a good month but it couldn't hold it till the end. This model portfolio gained 2.1% in the month while the broad market lost 2.6%, as measured by SPY. For the year this strategy is still down 8.1% while the SPY is down 8.5%. Both are bad, but the year is young. We'll see. Our China ETF has fallen to #10 in the ranking so it will be sold and replaced with Malaysia(EWM) as of Monday's close. We continue holding Brazil(EWZ) and Hong Kong(EWH). Hugh

Posted by hmTodd on Saturday, 03.1.08 @ 07:22am | #629

January Update - January was not kind to the market and the international markets were hit along with the US market. This model began the month holding Brazil(EWZ), China(FXI), and Hong Kong(EWH) and lost 10% to start the year. Not the way we like to begin, but its how we end that counts. For the month the SPY lost 6 percent. These three holdings are still in the top 7 positions so there are no changes this month. Hugh


Posted by hmTodd on Friday, 02.1.08 @ 06:15am | #614

December Update - This model began the month holding Brazil(EWZ), China(FXI), and Korea(EWY). These holdings resulted in a loss of 2.5% for the month, compared to a 1.1% loss for the SPY. For the entire year of 2007 this strategy returned 17.5% while the broad market returned 5.1% for the year. Korea(EWY)'s ranking in the list has dropped to #8 this month meaning it should be replaced. The new fund will be Hong Kong(EWH). Wishing each of you a Happy and Prosperous New Year. Hugh

Posted by hmTodd on Tuesday, 01.1.08 @ 09:22am | #608

Wingzing, I understand your disappointment with the regrouping of the International Funds, but the group had grown so large it really needed to be separated. You can still find the top performers by looking at the three different pages and noting the top funds on each list. I know this isn't as convenient, but it does give you the information your need for your strategy.
Happy New Year, Hugh.

Posted by hmTodd on Tuesday, 01.1.08 @ 09:12am | #607

What happened to the International Funds list? I have been following it since Feb. 07, using the three month returns instead of six, and it is up 37%. It appears you have split this into three different International lists. Can you restore the old one? I don't want to change a winning strategy.

Posted by wingzing on Friday, 12.28.07 @ 15:31pm | #606

November Update - This model portfolio began the month holding Brazil(EWZ), China(FXI), and Korea(EWY). The result was a loss 10.0% for the month dropping our year-to-date return to 20.5%. This compares to a loss of 3.9% for the SPY for the month and a 6.3% gain for the year. These funds are currently ranked #3, #1, and #6 in our screen so there are no changes this month. Hugh

Posted by hmTodd on Monday, 12.3.07 @ 05:58am | #599

October Update - This model portfolio began the month holding Brazil(EWZ), China(FXI), and Korea(EWY). The result was an impressive 14.7% return for the month taking our year-to-date return to 33.9%. This compares to 1.4% and 10.6%, respectively, for the U.S. market(SPY). These funds are currently ranked #2, #1, and #4 in our screen so there are no changes this month. Hugh

Posted by hmTodd on Thursday, 11.1.07 @ 11:20am | #593

enjoy your web site and International strategy. What are you thoughts about using a 10% to 15% trailing stop, to protect against a market downturn. THANKS Jim

Posted by Jim on Thursday, 10.18.07 @ 15:18pm | #587

good site
question : why don't you go short the three worst indices ETFs on the other side ? should add some value and make the strategy market neutral

Posted by fabien on Monday, 10.15.07 @ 07:32am | #586

September Update - We began the month holding Malaysia(EWM), Brazil(EWZ), and Germany(EWG). The result was an impressive 11.6% return for the month taking our year-to-date return to 16.8%. This compares to 3.9% and 9.1%, respectively, for the U.S. market(SPY). Even with our performance, two of our funds lost ground in the ranking and will be replaced in this model portfolio as of today's close. EWM and EWG will be liquidated and the proceeds divided between China(FXI) and South Korea(EWY). I never feel comfortable buying after a huge run-up like FXI has experienced, but those are the rules. Hugh

Posted by hmTodd on Monday, 10.1.07 @ 04:39am | #580

August Update - The August holdings for this model strategy consisted of positions in Malaysia (EWM) Brazil (EWZ), and Germany (EWG). The net result for the month was a loss of 2.5% as both EWM and EWZ lost about 4% each. That brings the year to date return down to 4.7%, while the SPY returned 1.3% last month and 5.1% for the year. Since these three funds are still in the top 7 positions there are no portfolio changes this month.
Hugh

Posted by hmTodd on Tuesday, 09.4.07 @ 05:50am | #569

July Update - This is a two month update since there was no update posted in June. This model strategy had returns of -0.5% in June and +0.3% in July compared to -1.5% and -3.1%, respectively, for the SPY. Year-to-date the model has returned 7.4% while the SPY has returned 3.7%. The beginning of June this model sold South Africa (EZA) and bought Germany (EWG), while maintaining positions in Malaysia (EWM) and Brazil (EWZ). As of last evening's closing prices there were no changes indicated for this model. To address any confusion I should note that as of this moment EWM has dropped to position #8 but remind everyone that the model is based on closing prices.

Hugh

Posted by hmTodd on Wednesday, 08.1.07 @ 12:02pm | #565

Eric Huang asked why the international strategy was compared to the SPY rather than an emerging markets ETF. The answer is two-fold. First, most users of this site are U.S. based and compare their returns to the S&P index so that was chosen as the single benchmark for the site. Second, the international strategy includes countries that are not emerging markets and these more mature markets may have periods of outperformance themselves.

Eric goes on to point out that the emerging markets have had superior performance over the past few years, but that may or may not last into the future. I, too, can make an argument that it would, but there were many intelligent people making similar arguments about tech stocks in the 90's. I was there and remember those arguments well. Times change and markets change - be flexible.

Posted by hmTodd on Tuesday, 07.10.07 @ 07:12am | #546

Thanks again for all the effort in producing sucha fine site. May I make a suggestion please. With the proponderence of ETFs now in the mkt have yu considered establishing another category in additon to international such as country etfs which wud list just country indexes or borader index of a geographic area such as Asia (country indexes) or Europe or EEB/BRIC.

It wud fit your example above. Thanks again for providng youru efforts to the investing/tradng public.

RW

Posted by rw mac on Sunday, 07.1.07 @ 08:08am | #491

Very interesting site and data.

Why do you compare your strategy's performance to SPY? The strategy is composed of International funds, while your benchmark control is the US market. Seems like you're comparing apples to oranges. For a fair comparison, you should compare it to broad international indexes, such as iShares:MSCI Emerg Mkt (EEM) or iShares:MSCI EAFE Idx (EFA).

EEM has gone up 3.5 times since it's inception in 2003, while EFA has gone up 2.3 times since it's inception in 2001. Seems to me if you just bought and held these two index funds, you'd beat the "International Strategy" handily, with no trading costs.

The International strategy appreciated about 2.5 times, while a simple buy and hold 50%/50% mix of EFA and EEM would have gone up about 2.9 times over the same period. What SPY does in that time is irrelevant.

When compared to an appropriate control (EFA/EEM instead of SPY), the international strategy loses. An interesting exercise, but perhaps your readers' financial interests would be better served by avoiding "chasing performance" and adopting as simple buy and hold strategy when approaching the International and Emerging markets. Thank you.

Posted by Eric Huang on Friday, 06.29.07 @ 23:25pm | #482

Very interesting site and data.

Why do you compare your strategy's performance to SPY? Seems like you're comparing apples to oranges.

EEM has gone up 3.5 times since it's inception in 2003, while EFA has gone up 2.3 times since it's inception in 2001. Seems to me if you just bought and held these two index funds, you'd beat the "International Strategy" handily, with no trading costs.

When compared to an appropriate control (EFA/EEM instead of SPY), the international strategy loses.

Posted by EricHuang on Friday, 06.29.07 @ 23:10pm | #481

The regular update for June will have to wait a week, but a quick glance at market close shows South Africa(EZA) falling out of the top spots after loosing 2+% this month. EWM and EWZ will stay in this model portfolio joined by Germany(EWG) which will replace EZA.

Posted by hmTodd on Friday, 06.29.07 @ 18:59pm | #479

>Have you tried your system using one and three month trailing returns?

Yes, but the performance was not as good including much higher volatility.
Hugh

Posted by hmTodd on Friday, 06.8.07 @ 07:24am | #458

Have you tried your system using one and three month trailing returns?

Posted by MG on Friday, 06.8.07 @ 01:34am | #457

Windeon,
Good question, but EZA is still on the list. As of the close on 5/31/07 it was in position #7 which means it stays. Had it fallen below that, as it did on June 1, then it would have been replaced. All that is not to say EWW would not have been a better pick. It sure appears to be the stronger of the two at this point in time.
Hugh

Posted by hmTodd on Tuesday, 06.5.07 @ 05:08am | #456

Sorry Shouldn't EWW be on the list instead of EZA?

Posted by Windeon on Saturday, 06.2.07 @ 04:37am | #454

Update for May - Our international model portfolio returned 3.0% in May, again underperforming the SPY which returned 3.4% in the month. But who's complaining? For the year this strategy has returned 7.5% while the market has returned 8.7%. Our holdings this month were FXI, EWM, and EZA. China (FXI) has fallen in the screen ranking and should be sold as of today's close. We have held it since Dec 1 and realized a return of about 19% over that time. The proceeds from this position will be rolled into EWZ (Brazil) in the model port.

Posted by hmTodd on Friday, 06.1.07 @ 09:08am | #452

Update for April - This International Strategy returned 3.8% in April. While nice, it underperformed the market's 4.4%. For the year it is also underperforming with this strategy returning 3.8% and the SPY returning 4.4%. But, the year is still young. Mexico(EWW) has dropped in our screen ranking and should be replaced with South Africa(EZA) as of today's close. The portfolio will continue to hold China(FXI) and Malaysia(EWM).

Posted by hmTodd on Tuesday, 05.1.07 @ 05:55am | #422

Very good site. Thank you.

Posted by Johnujuko on Thursday, 04.12.07 @ 15:35pm | #407

Some how I was looking at Mar 2006. Sorry for the stupid comment. Looking at table 4 aren't you understating returns. 2001 thru 2005 wouldn't $1. have grown to $2.20, a 24.05% return and thru 2006, $2.97 a 32.85% return? Or is my math for the growth of a dollar as bad as my paying attention to dates?

Posted by Lee on Wednesday, 04.4.07 @ 12:33pm | #404

In case my wording was not clear, the changes in this model portfolio are to sell the Spain fund (XLP) as of today's close and purchase Malaysia (XLM) with the proceeds. Apologize for any confusion.

re. So. Africa ??? I don't understand the question.

Posted by hmTodd on Monday, 04.2.07 @ 09:55am | #403

What am I missing? I see Malaysia at the top of the list. Why is So. Africa being added?

Posted by Lee on Monday, 04.2.07 @ 09:25am | #402

Update for March - This model portfolio bounced back in March returning 4.9% while the market, as measured by the SPY, returned 1.2%. However, the SPY is still ahead for the year returning 0.7% while this strategy has returned 0.5%. Going into April we will continue to hold Mexico(EWW) and China(FXI) but trade in Spain(EWP) for Malaysia(EWM) as of today's market close.

Posted by hmTodd on Monday, 04.2.07 @ 09:17am | #401

Good question. In looking at the numbers on the iShares site I see a couple of issues. One, they say in the fine print that the values are for changes in the index and not the ETF, meaning it is before any slippage or market forces. Also they do not show the as-of date and it appears that it might be before the recent correction. The only way I can get anything close to a 40%+ price change in EWS in the recent 6 months is to start with the price around 12.50 as it was on Monday's close. You might take a look at the Yahoo price graphs which give you day-by-day prices (or their historical prices) and see what I mean. At this point I have to stand behind this site's rankings.

Posted by hmTodd on Friday, 03.2.07 @ 12:07pm | #285

shouldn't EWA be number 5, moving EWW to number 8 therefore being removed and replaced by EWS? Just trying to understand ranking differences between you and the ishares site.

Posted by Lee on Friday, 03.2.07 @ 08:51am | #284

Update for February - The last two days of the month were tough on the international funds and on the China(FXI) fund particularly. For the month this strategy lost 3.4% bringing the ytd return down to -4.2%. Even with the turmoil there are no changes to this model portfolio which holds Spain(EWP), Mexico(EWW), and China(FXI).

Posted by hmTodd on Thursday, 03.1.07 @ 11:55am | #283

Update for January - January resulted in a negative beginning for our International Strategy, all because of China. It's a little better when you realize that December was up over 8% for this strategy and our China position is still up over 10% since December 1st. But a negative start is still a negative start, and this strategy lost 0.8% while the SPY gained 1.5% in January. All three positions (Spain, Mexico, and China) remain in the top 7 screen positions so there are no portfolio changes today.

Posted by hmTodd on Thursday, 02.1.07 @ 08:58am | #270

Hi!Q
Great site!

Posted by azazello. on Thursday, 01.25.07 @ 00:59am | #267

Update for December - December wrapped up a good year for this strategy. For the month this model is up 8.3% while the market was up just 0.8%. For the year the strategy more than doubled the market's performance, returning 34.9% while the SPY returned 15.2%. Since the beginning of 2001 this strategy would have returned 20.5% compared to 3.1% for the SPY. The holdings in this portfolio remain unchanged through January and include Spain(EWP), Mexico(EWW) and China(FXI). It's been a good year for international funds and there is no guarantee that 2007 will be likewise so be diversified. Happy New Year to all, and may your 2007 be happy and prosperous.

Posted by hmTodd on Sunday, 12.31.06 @ 11:08am | #263

Nice site - really like what you have done here.

Question: Why not set stop limits instead of waiting until the month-end to close losing positions? I'd be interested to know what the results would be if the s/l was set at an arbitrary x%. It would have helped last May, but what about the other months? Maybe stopped too soon?

Thanks, Steve

Posted by Steve on Tuesday, 12.12.06 @ 15:36pm | #252

Hello again,
I was just wondering where you obtain your
data for working your strategy for your RSf
performance stats.

Thanks,
William Thomas

Posted by William Thomas on Monday, 12.4.06 @ 21:08pm | #251

Update for November - This international portfolio gained 4.9% in November while holding Italy(EWI), Spain(EWP), and Mexico(EWW). The market as measured by the SPY gained 2.0% during the month. For the year this model strategy has gained 24.6% while the SPY has gained 14.3%. The Italy fund weakened again this month relative to other funds and should be replaced with China (FXI) as of today's close.

Posted by hmTodd on Friday, 12.1.06 @ 05:53am | #249

Update for October - Our model portfolio this month included Italy(EWI), Spain(EWP), and Mexico(EWW). This portfolio returned 6.6% in September while the market returned 3.2%. For the year this model has returned 18.8% while the SPY has returned 12.1%. Spain and Mexco are still at the top of the list and Italy's position improved this month to #5, so there are not portfolio changes at this time.

Posted by hmTodd on Wednesday, 11.1.06 @ 06:27am | #111

Thanks for the info. I'm surprised the number of trades goes up so much. I guess I would've thought that there would be much more stability and that the ones falling out of the top 7 in the middle of the month would just lead to getting out of the worst performer slightly earlier.

Posted by Eric on Wednesday, 11.1.06 @ 06:05am | #110

Eric asked about a daily version of this system. Yes, it has been tested but the results were not as good. As expected the number of trades goes up, it more than doubles, while the annual return is reduced significantly. Looking at the yearly returns, the daily version only beats the monthly version in 2001.

Posted by hmTodd on Wednesday, 11.1.06 @ 05:25am | #108

Have you tried a backtest where the general strategy is followed, but if one of the ETF's falls below the top 7 then you sell it immediately (and rebalance to one of the top 3 not currently owned) instead of waiting for the end of the month. It seems that once the ETF has fallen out of favor and you are likely to change it anyway at the end of the month, you might as well change it out right away(if keeping up with it daily). May not prove to be the case in a backtest, but was curious if you had investigated that.

Posted by Eric on Monday, 10.30.06 @ 13:27pm | #71

Update for September - Our model portfolio this month included Italy(EWI), France(EWQ), and Spain(EWP). This portfolio returned 1.8% in September while the market returned 2.7%. For the year this model has returned 11.5% while the SPY has returned 8.7%. EWQ has fallen to position #9 during the month so the trading rules dictate we close that position and buy Mexico(EWW), which is currently in position 2. I should note that Italy(EWI) is currently in position #7 which is the lowest position where we keep a security in this model portfolio.

Posted by hmTodd on Monday, 10.2.06 @ 05:30am | #68

Update for August - Our model holdings this month were China(FXI), France(EWQ), and Spain(EWP). This portfolio returned 2.1% in August compared to the market's 2.2%. The year has been volatile but this model has returned 9.5% while the SPY has returned 5.8%. FXI has fallen to position #10 during the month so the trading rules dictate we close that position and buy Italy(EWI) with the proceeds.

Posted by hmTodd on Friday, 09.1.06 @ 06:21am | #65

Just to pile on to indicate interest (there is no recommend button), I would also like to see how the Wilder DI+ and DI- strategy backtests.

G

Posted by gary on Friday, 08.18.06 @ 12:10pm | #61

Update for July - This International Strategy had a small gain in July, gaining 0.4% while the market lost 0.4%. For the year this strategy has gained 6.4% while the SPY has gained 2.6%. Our move back into the Brazil fund was short lived as the model now calls to sell that position as of the end of today's trading and purchase the Spain fund (EWP) with the proceeds.

Posted by hmTodd on Tuesday, 08.1.06 @ 08:47am | #60

Update for June - This International Strategy had a nice recovery in June gaining 4.0% while the SPY gained only 0.2%. That puts the year-to-date numbers at 5.9% for this strategy and 3.1% for the broad US market. The strategy will be moving back into Brazil (EWZ) this month after exiting that position at the beginning of June. Sell Germany (EWG) and move proceeds into Brazil (EWZ).

Posted by hmTodd on Monday, 07.3.06 @ 05:03am | #55

Update for May - Our International Strategy had its worst month on record in May, losing 14.3% as the commodity driven foreign markets all took big hits. The broad U.S. market, as measured by SPY, lost 3.0% in the month. For the year, the Int'l Strategy is now underperforming by a measure of 1.8% vs. 2.8%. Looking longer term, the model has shown an annualized return of 16.7% since Jan, 2001, while the SPY has had a CAGR of 1.3% during that time. The model calls for all three holdings to be sold at today's close and divide the funds into equal positions of China(FXI), Germany(EWG), and France(EWQ).

Posted by hmTodd on Thursday, 06.1.06 @ 07:57am | #53

Yuri,
Your comments suggest a more diversified and balanced portfolio and I couldn't argue with that. I would never suggest anyone put all of their funds in any one strategy including the ones on this site. These are momentum based strategies and as such tend to move more in both directions, up and down. This was a bad month indeed. As to your specific suggestions, they have not proven themselves in my backtesting but I am always looking.
Thanks for the comments,

Posted by hmTodd on Thursday, 06.1.06 @ 07:50am | #52

Thanks for the site and strategy.

Couple of thoughts:
1. Cash trigger. When stocks are going down, it may be useful to switch to cash (bank deposits) for a while. If major leading ETFs are giving less during last 6 months than bank interest (US bonds), or volatility is too high.
2. It may have sense to use broader indexes in order to exclude dependancy. E.g. to use one ETF for whole Europe. For separate countries - only when performance of these countries is extinguisged.
3. International (and especially emerged) markets are more volatile, and 6 months may be too much. Logically, 3 months shall bring better results. Also logically, betterdiversify more, and take 4-5 main indexes (the same may be true for your US portfolio). Use of broad indexes shall help not to increase transactions too much.

Posted by Yuri on Thursday, 06.1.06 @ 05:50am | #50

Update for April - Our International Strategy came back strong in April returning 6.5% while the SPY returned only 1.3%. For the year the score is now 18.9% for the Internationals and 6.0% for the U.S. market. There are no changes in the model portfolio this month so the holdings will remain Brazil(EWZ), Mexico(EWW), and South Africa(EZA).

Posted by hmTodd on Sunday, 04.30.06 @ 14:06pm | #49

Earlier in the year, G Crim posted a message saying that he had achieved 60% return in the past year using Wilder DI+ and DI-. Have you been able to replicate or look into the strategy?

Posted by EM on Monday, 04.17.06 @ 08:39am | #45

This is very intersting. Would it be possible to receive an excel spreadsheet with the monthly returns of the strategy, as it would allow us to calculate various risk yardsticks.
thanks. Thanks JPF

Posted by JPF on Saturday, 04.15.06 @ 13:45pm | #44

To follow up on my previous email, would it be possible to provide the comparison vs. the EFA etf or EAFE index.

Thanks

Posted by EM on Thursday, 04.13.06 @ 11:44am | #43

Your strategy is interesting. However, for the international portfolio, I find the comparison vs. SPY inapropriate. It is like comparing apples to oranges. A better comparison to assess the value of the strategy would be versus an EAFE ETF or benchmark.

Posted by EM on Thursday, 04.13.06 @ 09:02am | #42

Update for March - We had our second losing month in a row with this strategy which lost 0.7% in March versus a gain of 1.7% for the SPY. For the year, however, we are still up by 11.6%, outpacing the market's 4.7% by a significant margin. The position in Canada(EWC) finally comes to an end as we begin April. The position has been in our model portfolio for 7 months and has gained over 14%, so we won't complain. It will be replaced by the South Africa ETF(EZA) as of Monday's close. We continue to hold Brazil(EWZ) and Mexico(EWW) in our model port.

Posted by hmTodd on Sunday, 04.2.06 @ 10:55am | #41

Update for February - This strategy gave up a small portion of last month's gains, losing 1.2% in the month of February compared to +0.6% for the SPY. However, for the year our strategy still holds a nice lead with a gain of +12.5% compared to +3.0% for the market. As the end of the month approached it appeared that or Canadian position(EWC) would be coming to an end, but in the final days it held on. Therefore, no changes in this strategy at this time. Still holding Brazil(EWZ), Mexico(EWW), and Canada(EWC).

Posted by hmTodd on Wednesday, 03.1.06 @ 08:41am | #35

PaulD

The Merrill Lynch HOLDRS are the only ETFs I am aware of that require round lot purchases. Others you should be able to purchase in single shares. Note we do not use HOLDERS in either of our published strategies.

Posted by hmTodd on Thursday, 02.2.06 @ 04:23am | #30

Really enjoy your site, but I have a question. When I tried to purchase ETFs in odd lots my broker (Scottrade) would only take round lot (100) orders. How does one make equal purchases of ETFs without buying odd lots?

Posted by Paul D on Wednesday, 02.1.06 @ 18:21pm | #29

Update for January - Both of our published strategies began the year with exceptional returns. This International Strategy gained 13.9% in January, outpacing both the market and our Sector Strategy. For January, the SPY gained 2.4% and the Sector Strategy gained 10.7%. No trades again this month since EWZ, EWW, and EWC are all still in the top 7 positions of the screen ranking.

Posted by hmTodd on Wednesday, 02.1.06 @ 06:01am | #28

Thanks for the suggestion on DI+ and -. I'll try to work them into a backtest and let you know how it comes out. I presume you are evaluating those positions daily, is that correct?

Hugh

Posted by hmTodd on Monday, 01.2.06 @ 19:14pm | #24

I have been following a real time strategy this year which involves investing in two international ETFs. Buy if the Wilder DI+ is greater than the Wilder DI-, ranked by TR13 weeks. Sell when Wilder DI+ falls below Wilder DI-. This has returned over 60% this year.

Would it be possible to add the Wilder Diredtional Indicators to your list of indicators and /or backtest a similar system?

Posted by G Crim on Monday, 01.2.06 @ 18:15pm | #23

Update for December - December was another good month for this International Strategy returning 3.2% compared to a loss of 0.2% for the SPY. For the year, the strategy is up 32.1% vs 4.8% for the broad market. No trades this month since EWZ, EWW, and EWC are all still in the top 7 positions of the screen ranking.

Posted by hmTodd on Monday, 01.2.06 @ 10:47am | #22



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