The present status of the 4 tracking ETFs is as follows:
AGG / F-Fund: Long on 11/5, up +1.27% since 11/6
EFA / I-Fund: Cash on 11/20
SPY / C-Fund: Long on 11/16, down -1.24%
VXF / S-Fund: Long on 11/25, BUT, we went long on 11/17 due to TSP account trading restrictions, down -3.19%
Click the image below for a larger view.
The 3-ETF account (which does NOT trade the AGG / F-Fund) is presently with a net gain of 21.65% since inception, with a 17.39% annualized compounded rate of return (CRR). The maximum drawdown (MDD) on this account is 9.05%, yielding a Calmar Ratio (CR) of 1.92, which is okay but less than our goal of 3 or better.
The 4-ETF account (which trades the AGG / F-Fund), is presently with a net gain of 18.32% since inception, with a 14.68% annualized CRR. The MDD of this account is 7.10%, yielding a CR of 2.06, which is okay but less than our goal of 3 or better. Note the introduction of the bond fund DECREASES overall risk (higher CR), but lowers the overall gain compared to the 3-ETF portfolio.
====== Commentary ======
As an entire group with equal weighting between the 4 ETFs, there is nothing in the long term that indicates we should be moving to cash, this past Friday's significant down day not withstanding. I say this based upon the 65d EMA of the group's price behavior, which is shown below in the figure. The 65d EMA line is the lowest line in the middle pane, colored magenta. Click on the image for a larger view.
Furthermore, as a complete strategy, the strategy is still in an up-trend, although it is weakening. I say this based upon the top pane shown above, which shows the slope of the 65d EMA, one fitted to 5days (blue), the other fitted to 34d (green). The scale on the right in this upper pane shows when the slope will cross negative, e.g., 65d EMA prices are in a down-trend. What they show is that the absolute gains of the strategy are slowing, but are still trending upward (downward sloping lines, but above 0).
Overall, even though we are slowing in gains, we are making money in this portfolio, so stay the course.
As always, please leave a comment below if desired.
pgd
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