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MyTrendTimer : SwissCanto LPP Diversification III / BVG Diversifikation III of November 28, 2006
Weekly Comment about this asset/index
Friday saw a fall in the dollar to nearly two-year lows on signs that the European Central Bank would likely continue to raise interest rates next year. The drop on Wall Street had some impact on local dealings, although not a massive one, as the Swiss market is actually ahead of the US market's correction, having experienced string of declines late last week, traders said. Consumer confidence fell in November as Americans grew more pessimistic about the job market, a survey showed on Tuesday. The Conference Board said its index of consumer sentiment fell to 102.9 in November from 105.1 in October.
Financial InstrumentValue
Instrument NameSwissCanto LPP Diversification III / BVG Diversifikation III
Symbol#1131590
CurrencyCHF
Underlying instrumentNA. SwissCanto LPP Diversification III / BVG Diversifikation is a mutual fund which represents a mixed investment stategy for Swiss pillar 3a (same as a US 401(k) account)
Trend/SignalValue
Current Trend/Signal Bullish (last signal was a Buy)
Strenght1.8
Date (dd.MM.yyyy)28.11.2006
Generated Operations Chart
A chart of SwissCanto LPP Diversification III / BVG Diversifikation III #1131590 dated November 28, 2006 to backtest the trend timer model buy and sell signals
Generated Operations
NatureDate (dd.MM.yyyy)# Days previous op.QuoteResult previous op.
Buy05.05.2003000118.82+0.00
Sell09.07.2004431133.48+12.34
Buy27.09.2004080134.10+0.46
Sell27.10.2004030132.40-1.27
Buy09.11.2004013134.70+1.74
Sell06.06.2006573155.75+15.63
Buy14.08.2006069159.60+2.47
Out24.11.2006102167.75+5.11
Return and result of the differents strategies
Time Weighted Return ofValue (over the Period)
Buy and Hold+18.85
Model Buy and Hold+41.18
Model Long Only+34.80
Model Short Only-4.74
Model Long and Short+28.41
Time Weighted Return ofValue (Annualized)
Buy and Hold+5.23
Model Buy and Hold+11.42
Model Long Only+9.65
Model Short Only-1.31
Model Long and Short+7.88
Model OverPerf vs Model Buy and HoldValue (Annualized)
Model Long vs Model Buy and Hold-1.77
Model Short vs Model Buy and Hold-12.73
Model Long and Short vs Model Buy and Hold-3.54
Model OverPerf vs Buy and HoldValue (Annualized)
Model Long vs Buy and Hold+4.42
Model Short vs Buy and Hold-6.54
Model Long and Short vs Buy and Hold+2.65
Various statistical indicators for this asset
Last 20 quotes StatisticsValue
Mean quote168.62
Variance0.57
Standard Deviation0.75
Lowest quote167.15
Highest quote169.45
Median168.30
Max Daily Loose percent-0.59
Max Daily Gain percent0.51
Simple Perf.0.00
Last 5 quotes StatisticsValue
Mean quote168.83
Variance0.31
Standard Deviation0.55
Lowest quote167.75
Highest quote169.20
Median168.48
Max Daily Loose percent-0.59
Max Daily Gain percent0.06
Simple Perf.-0.77
Previous year StatisticsValue
Mean quote146.82
Variance38.99
Standard Deviation6.24
Lowest quote136.45
Highest quote158.45
Median147.45
Max Daily Loose percent-0.81
Max Daily Gain percent0.99
Simple Perf.16.12
First quote136.45
Last quote158.45
Current year StatisticsValue
Mean quote161.22
Variance15.71
Standard Deviation3.96
Lowest quote153.30
Highest quote169.45
Median161.38
Max Daily Loose percent-1.71
Max Daily Gain percent1.33
Simple Perf.5.87
First quote158.45
Last quote167.75
Seasonal Return by Month for this asset
MonthCumulated TWR Return.#MonthAverage TWR Return
January+2.155+0.43
February-0.846-0.14
March+0.186+0.03
April+5.266+0.88
May+2.316+0.38
June-2.306-0.38
July-2.266-0.38
August+1.976+0.33
September-4.616-0.77
October+5.316+0.89
November+9.006+1.50
December+2.005+0.40
TWR Return by Year for this asset
YearTWR Return.
2001-8.16
2002-10.03
2003+12.79
2004+3.73
2005+16.12
2006+5.87
Year 2000 to 2003 Monthly performance
MonthYearPerformance
February2001-2.17
March2001-2.94
April2001+1.76
May2001+1.60
June2001-1.93
July2001-2.25
August2001-1.79
September2001-6.58
October2001+3.02
November2001+2.41
December2001+0.82
January2002-1.54
February2002+0.56
March2002+1.82
April2002-0.35
May2002-0.31
June2002-4.79
July2002-3.56
August2002+0.49
September2002-3.49
October2002+2.04
November2002+2.64
December2002-3.68
January2003-0.90
February2003-2.21
March2003+1.26
April2003+3.62
May2003+1.95
June2003+2.61
July2003+1.13
August2003+1.81
September2003+0.40
October2003+0.68
November2003+0.26
December2003+1.64
Year 2004 to 200n Monthly performance
MonthYearPerformance
January2004+2.49
February2004+1.10
March2004-0.54
April2004+0.47
May2004-1.12
June2004+0.32
July2004-1.33
August2004+0.15
September2004+0.71
October2004-0.93
November2004+0.75
December2004+1.68
January2005+1.36
February2005+1.12
March2005+0.29
April2005-0.07
May2005+3.14
June2005+1.59
July2005+2.18
August2005-0.53
September2005+2.65
October2005-0.52
November2005+2.30
December2005+1.64
January2006+0.79
February2006+0.81
March2006+0.37
April2006-0.22
May2006-2.85
June2006+0.06
July2006+1.69
August2006+1.88
September2006+1.94
October2006+0.97
November2006+0.36
Quotes UsedValue
Quote File UsedPREV_20061128.csv
# of Quotes1403
File first date (dd.MM.yyyy)01.02.2001
File first quote141.14
File last date (dd.MM.yyyy)24.11.2006
File last quote167.75
First data considered (dd.MM.yyyy)02.07.2001
First data considered136.50
Min. Quote date (dd.MM.yyyy)13.03.2003
Min. Quote value109.54
Max Quote date (dd.MM.yyyy)07.11.2006
Max Quote value169.45
Max daily drop date (dd.MM.yyyy)18.09.2001
Max Daily Drop percent-3.22
Max daily gain date (dd.MM.yyyy)27.09.2001
Max daily Gain percent4.21
Operations StatisticsValue
# Generated operations8
Avg # op. by year2.22
# Days1298
# Days in years3.61
Biggest loose (Long only)-1.27
Min # days uninvested (before Buy operation)13
Max # days uninvested (before Buy operation)80
Min # days invested (before Sell operation)30
Max # days invested (before Sell operation)573
TechnicalValue
Program NameMyTrendTimer v0.99.86.27
Java Version1.5.0_09
OS NameLinux
OS Version2.6.18-1.2849.fc6
User Nameroot
Calculation Time (Ms)1858
Tech Id806764219-137970
XML output filePREV_20061128.xml
Web Roothttp://www.myTrendTimer.com/
Complete Xml URLhttp://www.myTrendTimer.com/xml/PREV_20061128.xml
# Warnings found1
Generated on (dd.MM.yyyy HH:mm:ss)28.11.2006 19:35:55
Disclaimer
All information provided "as is" for informational purposes only, not intended for trading purposes or advice. Prior to execution of any security trade, you are advised to consult your authorized financial advisor to verify the accuracy of all information. Neither MyTrendTimer nor anyone is liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. You can freely redistribute the information found herein as long as this disclaimer is included unmodified. Past performance does not guarantee future results. Some indexes, benchmarks or brand names may be trademarks or registered trademarks of their respective owners.
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