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Multiple ETF dynamically rebalanced strategy 2011 results
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Strategy Presentation
- 1. Full Year Results [2006- 2011] presented by Brian J Crone Ph.D Multiple ETF Dynamic Rebalanced Strategy
- 6. Models Summary Returns -4.65% Worst Monthly Drawdown 5.166666667 WinLossRatio -1.4% Avg Dn Return 2.6% Avg Up Return 12 Dn Mths 62 Up Mths 2.74 Avg Sharpe[2006-2011] 0 5% $ 1,051,809.27 2005 1.500055765 18.1% $ 1,242,076.64 2006 3.800245822 30.4% $ 1,620,265.22 2007 2.939623686 27.3% $ 2,062,037.16 2008 2.502509957 47.5% $ 3,042,043.44 2009 3.998755811 24.7% $ 3,794,045.07 2010 1.69 7.3% $ 4,069,508.20 2011 Ratio--(last 12 mo's) Annual Sharpe
- 8. ` Stress Test of Strategy During Q4 2008 vs SP500
- 9. Stress Test of Strategy During Q4 2008 vs SP500
- 10. Accumulated Capital vs Monthly Returns
- 12. Brian Crone, Principal 646-509-8877 [email_address] Contact Information