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Baseline comparison: $100,000 invested on 12/31/2009 @ the close. We will track a 100K portfolio for the following portfolios:
| Portfolio | Description |
| Passive ETFs | Buy and hold a mix of 10 equity and bond ETFs, consistent with the asset allocation rules of Modern Portfolio Theory |
| ETF2.0 | Actively managed portfolio of ETFs from the World market Model: weekly adjustments to portfolio based on strict rules for risk management and position sizing |
| DIA,SPY QQQ | Buy and Hold strategy based on popular large cap indices |
| ETF O | Weekly update of one of our short term mechanical ETF systems that's in the market less than 20% of the time |
In order to compare apples to apples, we will buy each portfolio at the close on 12/31/09. We are discontinuing the NLNTF model portfolio, as ETFs are more favorable for both long term (passive and 100x200 crossover systems) and the short term systems (ETF2 and ETF O, among others). Applying the recommended 10% trailing atop produced a -24% annual return, rather than the -38%.
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Bench Mark - as of Dec 04, 2010 |
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|
System |
Passive ETF |
NLNTF 2.0 * |
ETF 2.0 |
DOW (DIA) |
S&P 500 (SPY) |
NASDAQ (QQQQ) |
ETF O |
|
This Week |
2,82% |
shift to ETF2 & ETF O |
3.43% |
3.19% |
3.67% |
2.41% |
-0.50% |
|
2010 YTD% |
13.38% |
13.28% |
9,48% |
10.28% |
17.75% |
0.30% |
|
|
2010 $ |
$113,383 |
$113,260 |
$109,484 |
$110,275 |
$117,749 |
$100,300 |
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|
2009 % |
26.03% |
|
5.71% |
17.16% |
21.69% |
49.92% |
6.93% |
|
2008 % |
-31.46% |
-24.43% |
-1.93% |
-30.95% |
-35.86% |
-38.44% |
13.34% |
|
2007 % |
4.29% |
13.37% |
12.81% |
7.18% |
4.19% |
19.84% |
6.78% |
|
2006 % |
14.26% |
11.99% |
N/A |
14.84% |
11.83% |
4.48% |
14.97% |
|
2005 % |
9.16% |
27.73% |
N/A |
-0.34% |
3.50% |
4.81% |
N/A |
|
2004 % |
N/A |
10.42% |
N/A |
2.50% |
7.73% |
7.82% |
N/A |
|
2003 % |
N/A |
22.71% |
N/A |
21.34% |
22.19% |
43.54% |
N/A |
|
2002 % |
N/A |
-8.62% |
N/A |
-16.89% |
-23.35% |
-38.41% |
N/A |
|
2001 % |
N/A |
9.88% |
N/A |
-5.62% |
-12.12% |
-31.13% |
N/A |
|
2000 % |
N/A |
26.60% |
N/A |
-6.03% |
-9.80% |
-36.10% |
N/A |
|
1999 % |
N/A |
98.10% |
N/A |
27.90% |
20.40% |
85.60% |
N/A |
Detailed Week-by-week analysis:
| Week | Date | Passive ETF (10) | ETF 2.0 | DOW 30 (DIA) | S&P 500 (SPY) | NASDAQ 100 (QQQQ) | ETFO |
| 0 | 01/01/2010 | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 | $100,000 |
| 1 | 1/8/2010 | $102,410 | $103,388 | $101,960 | $102,809 | $101,749 | $100,000 |
| 2 | 1/15/2010 | $101,575 | $100,163 | $101,864 | $101,974 | $100,219 | $100,000 |
| 3 | 1/22/2010 | $98,200 | $97,034 | $97,655 | $97,999 | $96,525 | $98,500 |
| 4 | 1/29/2010 | $96,377 | $95,075 | $96,618 | $96,366 | $93,530 | $98,403 |
| 5 | 2/5/2010 | $95,452 | $95,075 | $96,243 | $95,711 | $93,945 | $98,450 |
| 6 | 2/12/2010 | $96,545 | $95,162 | $97,310 | $96,949 | $95,650 | $98,450 |
| 7 | 2/19/2010 | $99,037 | $95,363 | $99,923 | $99,731 | $97,989 | $98,450 |
| 8 | 2/26/2010 | $98,957 | $95,471 | $99,260 | $99,372 | $97,836 | $98,450 |
| 9 | 3/5/2010 | $102,510 | $96,913 | $101,624 | $102,522 | $101,508 | $98,450 |
| 10 | 3/12/2010 | $103,956 | $98,242 | $102,258 | $103,607 | $103,519 | $98,450 |
| 11 | 3/19/2010 | $104,128 | $98,573 | $103,142 | $104,065 | $103,803 | $98,450 |
| 12 | 3/26/2010 | $104,311 | $99,525 | $104,189 | $104,614 | $104,918 | $98,450 |
| 13 | 4/2/2010 | $105,713 | $99,993 | $105,006 | $105,707 | $105,268 | $98,450 |
| 14 | 4/9/2010 | $107,416 | $101,410 | $105,756 | $107,277 | $107,169 | $98,450 |
| 15 | 4/16/2010 | $106,887 | $102,152 | $105,871 | $107,107 | $108,262 | $98,450 |
| 16 | 4/23/2010 | $109,363 | $106,273 | $107,581 | $109,308 | $110,426 | $98,600 |
| 17 | 4/30/2010 | $107,244 | $102,536 | $105,794 | $106,613 | $107,628 | $97,700 |
| 18 | 5/7/2010 | $100,322 | $96,714 | $99,721 | $99,838 | $99,257 | $97,700 |
| 19 | 5/14/2010 | $103,415 | $96,714 | $102,345 | $102,198 | $102,579 | $97,700 |
| 20 | 5/21/2010 | $99,412 | $96,714 | $97,857 | $97,914 | $98,011 | $97,700 |
| 21 | 5/28/2010 | $100,351 | $96,714 | $97,502 | $98,142 | $99,672 | $97,700 |
| 22 | 6/4/2010 | $97,527 | $96,714 | $95,551 | $95,854 | $98,563 | $98,200 |
| 23 | 6/11/2010 | $100,597 | $96,714 | $98,309 | $98,421 | $99,454 | $98,200 |
| 24 | 6/18/2010 | $102,678 | $97,677 | $100,404 | $100,259 | $102,732 | $98,200 |
| 25 | 6/25/2010 | $100,222 | $95,969 | $97,742 | $96,794 | $98,951 | $99,200 |
| 26 | 7/2/2010 | $93,100 | $94,304 | $93,082 | $91,709 | $92,831 | $99,200 |
| 27 | 7/9/2010 | $99,796 | $94,866 | $98,117 | $96,877 | $97,530 | $99,200 |
| 28 | 7/16/2010 | $98,378 | $94,164 | $97,060 | $95,711 | $96,918 | $99,700 |
| 29 | 7/23/2010 | $102,454 | $96,907 | $100,192 | $99,076 | $100,678 | $100,427 |
| 30 | 7/30/2010 | $102,986 | $97,218 | $100,605 | $98,950 | $100,131 | $100,427 |
| 31 | 8/6/2010 | $104,435 | $97,934 | $102,518 | $100,854 | $102,208 | $100,427 |
| 32 | 8/13/2010 | $100,739 | $97,191 | $99,308 | $97,191 | $97,749 | $100,427 |
| 33 | 8/20/2010 | $100,697 | $98,642 | $98,145 | $96,491 | $98,186 | $100,427 |
| 34 | 8/27/2010 | $100,798 | $98,809 | $97,607 | $95,890 | $96,328 | $100,427 |
| 35 | 9/3/2010 | $104,213 | $101,912 | $100,489 | $99,506 | $100,568 | $100,427 |
| 36 | 9/10/2010 | $103,976 | $102,825 | $100,682 | $100,038 | $101,858 | $100,427 |
| 37 | 9/17/2010 | $105,425 | $104,816 | $101,922 | $100,942 | $104,907 | $100,427 |
| 38 | 9/24/2010 | $107,149 | $106,144 | $104,324 | $103,033 | $108,546 | $100,427 |
| 39 | 10/1/2010 | $107,870 | $107,229 | $104,084 | $102,845 | $107,126 | $100,427 |
| 40 | 10/8/2010 | $109,718 | $108,092 | $105,852 | $104,574 | $108,743 | $100,427 |
| 41 | 10/15/2010 | $110,627 | $109,789 | $106,351 | $105,617 | $112,546 | $100,427 |
| 42 | 10/22/2010 | $110,925 | $108,218 | $107,005 | $106,198 | $112,874 | $100,600 |
| 43 | 10/29/2010 | $110,648 | $109,477 | $106,957 | $106,326 | $114,055 | $100,600 |
| 44 | 11/5/2010 | $114,652 | $114,381 | $110,061 | $110,127 | $117,311 | $100,600 |
