Annual Results of ETF Model From 2006-2011 Summary

As can be seen by the table the dynamic ETF model put in a respectable performance on a risk adjusted basis. While it did not perform as well as in 2010 it did well with respect to any reasonable bench marks in a year when most hedge funds lost money or under-performed. Overall the sharpe ratio for the strategy which uses end of day prices as input still has a good annual rolling sharpe ratio of 2.74. For 2011 the sharpe dropped to 1.69 however the Sharpes rolling can move around and we have seen this in other rocky years. Note that one thing that affects the rolling sharpes is whethet there are is more down months in a given year. In 2011 there were three down months and quite a bit of variation in the monthly returns which led to an increase in volatility. However several factors have came into play the main one of course will Europe be as bad as the Lehman crisis will a meltdown in greece lead to the same in the rest of the PIGs and what in turn will be the impact on the global financial system and what exposure to Europe do our own banks have. Will there be another Lehman style collapse in Europe? There are so many uncertainties that one might consider taking up farming. While the US seems to be bouncing back and certainly that is evident in the declines in inventory is distressed real estate markets such as Miami which has benefited from an influx of rich latins. Note that the Real has soared vs the dollar in recent years so that for a Brazil based investor that million dollar condo in South Beach is much more alluring. Overall the strategy has performed well over the last six years and lets see what 2012 brings.