Results For Shorter Dated Oil Model Through March 2011

Below find the results for my shorter dated model applied to the OIH ETF.  The goal in this endeavor was to find a much shorter dated model that would trade more frequently than the long dated models that I use.   The other goal was to develop a model that is much less volatile than the underlying ETF.  In this case the volatility of the model is 12% vs over 50% for the underlying ETF.   Additionally the number of uptrades to down trades is 12:2 which is extremely high and the dollar value of an up trade is over two times the dollar value of a down trade.  This indicates that the model is fairly robust.  It should be noted that the model has not made as much money as the underlying ETF but has eliminated some of the huge draw-downs associated with the ETF.   In 2008 for example the model was up over 9% while the underlying OIH ETF was down 60%.
 

	Trading Statistics
	Model
UpTrade	12
AvgUpTradepnl	$100,472.21
DnTrade	2
AvgDnTradepnl	-$38,366.28
AvgTotTradepnl	$80,638.14
Total Trades	14
WinRatio	%85.71
StratVol	%12.24
MktVol	%50.94

An Article on FundFlows From IndexUniverse

http://www.indexuniverse.com/sections/features/8626-2010-etf-fund-flows-vanguard-leads-all-firms.html

An Interesting Article on Factor Models

Below find an interesting article on the use of Factor Models applied to ETF's from seeking alpha
http://seekingalpha.com/article/261570-a-simple-macro-factor-relative-strength-model?source=email_etf_daily.