My New Model

I realize it has been a while since I have posted but I have been focussing my attention on developing a short/medium model.  I started with the oil market and I am using an extreme mean reversion model with stops.   Overall in a highly trending market the longer dated models work very well.  If the model is too short dated it takes the trader out of trends are they are being established.  However on the way up it is never a smooth path so I sought to develop a model with about half the volatility of the ETF but that trades more frequently than my long dated model.   This model has a 70% winning ratio (ie the number of winning trades exceeds the number of losers).  The overall volatility of this model is half that of the underlying ETF.  The model traded three times in the month of may exiting on 05/20/2011.    

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.

An interesting article on the global Economy

I am posting the following link to seeking alpha
http://seekingalpha.com/article/261001-2-resources-related-etfs-signal-caution-for-the-global-economy

A New Study on Hedge Fund Performance

Sometimes in this blog I will provide links to articles from other blogs that I thought looked fairly compelling.  This piece was written by Gary Kaminsky who is a frequent guest on CNBC and was previewed on the oxtones blog.  http://oxstones.com/kaminskys-call-hedge-funds-do-worse-than-market/

The iShares MSCI New Zealand Market Investable Index Fund

                     The iShares MSCI New Zealand Market Investable Index Fund

In this note I want to review a relatively new ETF the iShares MSCI New Zealand Market Investable Index Fund (ENZL).   This is a small ETF with just over $80 million dollars in investable assets.  The largest holdings are Fletcher Building Ltd (21.86%) which is a conglomerate that has five divisions namely building products, distribution, infrastructure, laminates and panels and steel that does business not only domestically but across throughout Asia, the Middle East and Europe.  Telecom Corp of New Zealand (16.29%) which is New Zealands largest telecommunications company. 

In terms of sector distribution the largest are Materials (24.77%), Telecommunications (16.29%), Consumer Discretionary (12.91%),  Financials (12.30%), Utilities (11.52%), and Industrials (11.03%).   Its nearest neighbor the iShares MSCI Australia Index Fund (EWA) has the following sector breakdown Financials (42.20%), Materials (29.09%), Consumer Staples (9.21%), Energy (6.59%), Industrials (4.22%).  Note that the financial sector is a much smaller component of (ENZL) while Materials and Industrials are well represented in (ENZL).  Since March 1996 (EWA) has increased 329%.  So far since its inception six months ago (ENZL) has increased 16.4%.  It remains to be seen whether (ENZL) will be popular with institutions who may want to use this as an indirect way to get exposure to the Pacific region but does not have a large exposure to the financial sector.    

 Disclaimer:  This is not a recommendation to buy or sell securities. Etftrendanalyzer is not a registered investment advisor and hence we do not recommend any securities or other investments.   Our readers should not rely on the accuracy or completeness of the information contained herein and should not be rely upon it in  making any investment decisions