(2) Select top 10 ranks ETF, buy theses 10 ETFs with equal dollar amount.
(3) Re-calculate ranking every 2 weeks. Sold any ETFs droped from top 10 at the next day closed prices, and replaced with ETFs that make into top 10.
(4) Do nothing during the 2 weeks waiting period.
The results for the last 3 years shown below:
Year 2009:
Year 2008:
Year 2007:
It beated S&P in BIG way 3 years in a row !!!
Note:
(1)The commisions are not included in the testing.
(2) I cannot go back to year 2006, because many ETFs were not available in year 2006.
(3) Different starting day may change the results little bit.
(4) Different re-balance period will change results too. We are using 2 weeks.
(5) The list of ETFs is the most important factor.
(6) Year 2007 was a range market year. Year 2008 was a down market. Year 2009 was a up market. And this strategy performed good in all 3 years.
I know the past performance may not repeat in the future, but I will start put my real money into this strategy starting next week.
I will also put the current ranking in this blog. Please check back later.
Posts
