Download the full report here:  July 07 - Aug. 03, 2012

Greetings to all our readers!

July ended with a bang for many of our strategies, as the markets rallied and the resulting buoyancy helped us to have several cases where we outperformed the market by a reasonable margin.

The cumulative return for SPY during this period was 3.48% with a drawdown of 2.8% within the month. Among the Switcher strategies we see that for the Global group (Group #1) we have all strategies performing well, either for the pre- or the post-2007 groups. For example, Strategy #4 gave over 6% cumulative return with a smaller drawdown than SPY while Strategy #1 gave, in the pre-2007 group, a cumulative return of almost 5% but with higher drawdown than the market. Furthermore, the ETFs in the Asian etc. group (Group #4) and the continue to provide excellent performance, with Strategy #1 giving a cumulative return of over 7%, with a drawdown of 3.27%, while Strategy #2 gave a cumulative return of almost 15%, with a drawdown of 3.29%.

Notable also is the performance for the European group (Group #3) for this month, as at least two strategies for each pre-and-post 2007 groups have cumulative return that is higher than the market. For example, in the pre-2007 group we have that Strategy #1 had a cumulative return of 5.85% with a drawdown of 1.92% while Strategy #4 had a cumulative return of 5.11% with a drawdown of 0.90%.

The results for the post-2007 ETF groups are similar to the ones just described, especially for the Global group (Group #1) and the European group (Group #3). Also, have a look at the results on the portfolio strategies for Strategy #3, including bonds and commodities, for the post-2007 group: the cumulative return of the period was about 5% across all ETF groups with a drawdown of 0.5% and an annualized Sharpe ratio over 7!!!

Turning next to the performance since inception, we are still recovering from the negative results from last month. Many strategies are in the red but we can still see some notable exceptions. First, the solid performance of the Asian etc. group (Group #4) continues to make this group the top performer of the Switcher strategies. The cumulative returns for the pre-and-post 2007 ETF groups for Strategies #2 and #4 are over 20%, with the post-2007 performance of Strategy #2 going up to almost 30% with an overall drawdown of 15%! Other notable combinations that showed solid positive performance since inception include the FX group, the all around picks and som portfolio combinations, all for the post-2007 groupings. For the FX group we have Strategies #1 and #4, with cumulative returns of 7.15% and 10.41% respectively and drawdown of less than 5.6% – that is, half of the drawdown of the market during the same period. The all around picks selection for Strategy #1 also provides solid performance overall, with a cumulative return of 7.4% and a drawdown of 15.21%. Finally, note the performance of Strategy #1, with bonds and commodities, for the groups of Sectors and Currencies, where in both cases the cumulative return is way higher than the market (14% for the sectors and 8.2% for the currencies) with smaller drawdown.

Let’s see how this summer will end! Until the next review we are looking forward to any comments and suggestions that you may have for us.