Results Of the EWJ (JAPAN MODEL)

Japan has been in the doldrums for two decades. If you invested $1MM in the EWJ ETF in July 2002 it would be up to $1.34MM today. On the other hand our timeing model would be worth $3.598MM. The worst year for the model occurred in 2006 down 7.81% when the underlying ETF was up 5%. However in 2008 when EWJ was down 26.95% the model was up 35.17%. The model has 71% winning trades and is considerably less volatile. Overall the Japan Model outperforms the underlier overwhelmingly in the last ten year period. Enclosed find the results. For 2011 the underlier was down 16.5% but the model was up 4.09%. This year the underlier is out paceing the model. This model uses almost ten years of end of day data and so appears fairly robust.

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

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