Above find the results for my "Intermediate Mean Reversion Models". This is a summary using data back to Feb 2 2002. The reason I chose that date was for consistency. All of the ETFs considered had data going back to at minimum this date and they were among the most liquid actively traded ETFs. The reason I of course select the most liquid ETFs is for ease of scalability. In each instance the Strategy Volatility for the Model is considerably less than for the underlying ETF. I also include the returns of a long only position in the SPY ETF for comparisons sake. I have more data available for each individual model upon request.
