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ETF-COMDT Table

 

The table below has the rankings, returns and timing signals for the various ETFs in the ETF-COMDT family.

Most of the table headings are self explanatory. However some need further explanation.

rSCR* is risk-adjusted rank. It is similar to Sharpe ratio however it only considers the down-side risk. No one hates standard deviation to the upside :-).

STOMAK*, CONS* and BOX* are timing signals based on different criterion.

BOX* is the fickle one of the three, if you want to make a quick profit. STOMAK* and CONS* are trend following systems. I tend to look for confirmation between them. Also divergence between the two, signals a change in the primary trend.

Send me an email or leave a comment if you need more information.

 

 

 

ETF-COMDT Funds

Funds Name rSCR* Corr StdDev 1mo% 3mo% 6mo% 12mo% 2Yr% 5Yr% 6moMdd STOMAK* CONS* BOX*
DZZ DB Gold Double Short ETN 18.18 0.10 23.08 4.93 18.05 43.68 57.96 57.96 57.96 -33.28 Buy 10/24/08 Buy 10/17/08 Buy 11/12/08
PTD E-TRACS UBS Short Platinum ETN 59.40 -0.07 10.51 8.25 23.70 67.77 61.93 61.93 61.93 -9.54 Buy 05/09/08 Buy 07/08/08 Buy 10/23/08
DGZ DB Gold Short ETN 14.11 0.13 11.63 3.24 11.57 22.20 28.31 28.31 28.31 -18.13 Buy 10/24/08 Buy 10/17/08 Buy 11/12/08
EOH Opta Lehman Cmdty Pure Beta Agric T -2.45 -0.05 6.42 0.00 -10.68 -5.83 -12.56 -12.56 -12.56 -23.40 Buy 11/17/08 Sell 07/17/08 Buy 10/06/08
LSO ELEMENTS MLCX Livestock TR ETN -2.58 0.44 6.65 -0.89 -17.53 -19.84 -17.61 -17.61 -17.61 -24.50 Buy 11/17/08 Sell 07/07/08 Sell 08/19/08
COW iPath DJ AIG Livestock TR Sub-Idx E -3.44 0.39 5.54 -7.84 -23.58 -23.77 -31.91 -32.05 -32.05 -26.49 Sell 07/08/08 Sell 08/22/08 Sell 08/15/08
IAU COMEX Gold Trust -2.89 -0.10 12.52 -4.82 -11.86 -20.25 -8.81 17.53 70.06 -26.96 Sell 10/23/08 Sell 10/16/08 Sell 10/13/08
GLD Gold Shares -2.92 -0.09 12.28 -4.96 -12.20 -20.58 -9.07 16.96 62.82 -27.21 Sell 10/24/08 Sell 10/16/08 Sell 10/13/08
DGL DB Gold -2.94 -0.06 12.62 -4.90 -12.64 -20.95 -10.85 15.04 15.04 -26.91 Sell 10/23/08 Sell 10/16/08 Sell 10/10/08
UBC E-TRACS UBS Bloomberg CMCI Livestoc -2.61 0.15 19.27 8.34 -25.93 -26.44 -22.39 -22.39 -22.39 -41.77 Buy 11/11/08 Buy 11/14/08 Buy 11/04/08
GOE ELEMENTS MLCX Gold TR ETN -3.14 -0.02 16.49 -5.15 -16.50 -24.78 -24.78 -24.78 -24.78 -29.67 Sell 10/23/08 Sell 10/02/08 Sell 10/02/08
DBP DB Precious Metals -2.86 -0.05 13.72 -6.19 -16.68 -26.80 -16.83 5.08 5.08 -32.68 Sell 10/22/08 Sell 10/15/08 Sell 10/02/08
UBG E-TRACS UBS Bloomberg CMCI Gold ETN -3.16 -0.12 21.27 -13.68 -18.66 -24.06 -25.75 -25.75 -25.75 -33.72 Sell 10/22/08 Sell 10/16/08 Sell 10/14/08
UAG E-TRACS UBS Bloomberg CMCI Agric ET -2.96 0.13 15.37 2.19 -31.05 -26.81 -27.01 -27.01 -27.01 -41.79 Sell 07/28/08 Sell 07/17/08 Sell 09/02/08
FUD E-TRACS UBS Bloomberg CMCI Food ETN -2.53 0.11 21.35 14.69 -33.27 -28.12 -28.65 -28.65 -28.65 -53.12 Buy 11/10/08 Sell 07/17/08 Buy 11/04/08
DBA DB Agriculture -2.97 0.33 12.42 -2.09 -33.98 -31.03 -16.24 0.89 0.89 -42.99 Sell 07/23/08 Sell 07/14/08 Sell 11/12/08
PMY ELEMENTS MLCX Precious Metals ETN -2.50 -0.09 11.83 -1.06 -21.68 -38.71 -36.75 -36.75 -36.75 -44.07 Buy 11/14/08 Sell 07/22/08 Sell 07/18/08
JJA iPath DJ AIG Agriculture TR Sub-Idx -3.07 0.33 11.86 -5.87 -36.72 -34.70 -25.81 -23.71 -23.71 -45.26 Sell 07/24/08 Sell 07/14/08 Sell 09/02/08
GCC GreenHaven Continous Commodity Inde -3.07 0.33 10.26 -8.82 -34.23 -37.39 -31.17 -31.17 -31.17 -43.28 Sell 07/21/08 Sell 07/16/08 Sell 07/07/08
GRU ELEMENTS MLCX Grains Index TR ETN -2.67 0.08 25.87 -6.25 -39.69 -36.27 -38.68 -38.68 -38.68 -55.74 Buy 11/17/08 Sell 07/10/08 Sell 09/02/08
RJA ELEMENTS Rogers Intl Commodity Agri -3.32 0.28 10.94 -8.04 -36.41 -35.43 -29.73 -30.22 -30.22 -42.82 Sell 07/23/08 Sell 07/14/08 Sell 09/02/08
FUE ELEMENTS MLCX Biofuels Index TR ETN -2.90 0.24 25.74 -8.00 -38.08 -36.68 -35.60 -35.60 -35.60 -52.81 Buy 11/12/08 Sell 07/17/08 Sell 07/14/08
JJG iPath DJ AIG Grains TR Sub-Idx ETN -2.93 0.24 13.45 -5.40 -38.62 -35.95 -24.49 -21.91 -21.91 -48.76 Sell 07/22/08 Sell 07/14/08 Sell 09/02/08
UNG United States Natural Gas -2.29 0.18 16.00 -6.94 -27.13 -49.22 -26.52 -44.24 -44.24 -57.40 Buy 11/07/08 Sell 07/11/08 Sell 11/12/08
CUT Claymore/Clear Global Timber Index -3.05 0.69 16.55 -13.92 -43.58 -52.81 -56.45 -57.26 -57.26 -55.41 Sell 09/18/08 Sell 08/19/08 Sell 08/18/08
UCI E-TRACS UBS Bloomberg CMCI ETN -2.84 0.29 27.52 -13.81 -40.82 -43.43 -38.38 -38.38 -38.38 -54.01 Sell 07/22/08 Sell 07/18/08 Sell 07/09/08
DBB DB Base Metals -3.06 0.39 13.92 -9.36 -41.55 -45.17 -39.44 -39.44 -39.44 -47.13 Sell 07/22/08 Sell 07/18/08 Sell 07/16/08
DJP iPath Dow Jones-AIG Commodity Idx T -2.95 0.41 10.70 -11.86 -39.65 -44.79 -33.69 -24.31 -25.34 -49.72 Sell 07/15/08 Sell 07/15/08 Sell 07/08/08
GAZ iPath DJ AIG Natural Gas TR Sub-Idx -2.30 0.14 15.27 -7.38 -29.47 -50.43 -28.29 -30.57 -30.57 -58.82 Buy 11/10/08 Sell 07/11/08 Sell 11/12/08
DGP DB Gold Double Long ETN -2.43 -0.08 25.86 -12.37 -27.77 -41.99 -48.99 -48.99 -48.99 -51.21 Sell 10/23/08 Sell 10/16/08 Sell 10/13/08
UBM E-TRACS UBS Bloomberg CMCI Ind Meta -2.93 0.15 28.05 -9.29 -43.73 -45.14 -49.64 -49.64 -49.64 -51.12 Sell 09/05/08 Sell 07/18/08 Sell 07/18/08
DBC DB Commodity Idx Trking Fund -2.92 0.53 11.59 -14.43 -43.29 -45.86 -26.02 -0.83 0.49 -51.34 Sell 07/17/08 Sell 07/17/08 Sell 07/16/08
JJM iPath DJ AIG Ind Metals TR Sub-Idx -2.96 0.30 13.20 -13.93 -45.26 -48.94 -44.82 -49.48 -49.48 -52.52 Sell 07/23/08 Sell 07/16/08 Sell 07/08/08
UHN United States Heating Oil -2.55 0.43 14.81 -11.43 -43.03 -53.07 -41.07 -41.07 -41.07 -54.25 Sell 07/23/08 Sell 07/17/08 Sell 07/17/08
SLV Silver Trust -2.30 0.11 20.65 -8.82 -33.53 -48.82 -37.93 -28.71 -34.12 -53.26 Sell 08/05/08 Sell 07/25/08 Sell 07/23/08
DBS DB Silver -2.28 0.08 22.26 -8.42 -33.53 -48.79 -39.07 -28.10 -28.10 -53.46 Sell 08/05/08 Sell 07/25/08 Sell 07/23/08
JJN iPath DJ AIG Nickel TR Sub-Idx ETN -2.67 0.29 21.76 -3.98 -51.93 -56.82 -66.96 -68.22 -68.22 -61.91 Buy 11/05/08 Sell 03/20/08 Sell 09/04/08
GSC GS Connect S&P GSCI Enh Commodity T -2.76 0.44 14.82 -18.58 -48.69 -53.40 -38.27 -26.04 -26.04 -57.53 Sell 07/16/08 Sell 07/17/08 Sell 07/08/08
DBE DB Energy -2.74 0.50 14.53 -19.20 -49.21 -53.24 -32.00 0.29 0.29 -58.01 Sell 07/16/08 Sell 07/17/08 Sell 07/16/08
GSG S&P GSCI Commodity-Indexed Trust -2.76 0.51 13.98 -19.40 -49.33 -53.67 -39.08 -20.27 -35.03 -57.72 Sell 07/16/08 Sell 07/17/08 Sell 07/09/08
JJE iPath DJ AIG Energy TR Sub-Idx ETN -2.58 0.32 13.75 -17.67 -46.96 -56.17 -38.24 -35.28 -35.28 -60.45 Sell 07/09/08 Sell 07/15/08 Sell 07/08/08
GSP iPath S&P GSCI Total Return Index E -2.75 0.54 13.83 -20.30 -50.31 -54.64 -40.29 -21.74 -34.65 -58.57 Sell 07/16/08 Sell 07/17/08 Sell 07/08/08
USV E-TRACS UBS Bloomberg CMCI Silver E -2.23 0.04 32.82 -3.85 -38.85 -53.08 -51.53 -51.53 -51.53 -57.94 Sell 08/05/08 Sell 07/29/08 Sell 10/06/08
USL United States 12 Month Oil -2.68 0.40 15.89 -20.18 -51.13 -54.34 -29.43 -29.43 -29.43 -59.57 Sell 07/17/08 Sell 07/18/08 Sell 07/16/08
PTM E-TRACS UBS Long Platinum ETN -2.27 0.09 27.49 -15.22 -42.44 -60.96 -59.64 -59.64 -59.64 -63.41 Sell 07/17/08 Sell 05/29/08 Sell 10/03/08
DBO DB Oil -2.73 0.46 15.91 -21.83 -51.97 -53.94 -35.21 -4.56 -4.56 -59.37 Sell 07/17/08 Sell 07/18/08 Sell 07/16/08
UBN E-TRACS UBS Bloomberg CMCI Energy E -2.54 0.17 43.10 -26.35 -49.96 -55.57 -44.03 -44.03 -44.03 -65.47 Sell 07/22/08 Sell 07/18/08 Sell 07/15/08
USO United States Oil -2.69 0.57 16.99 -26.39 -55.95 -59.05 -44.07 -15.08 -36.57 -63.18 Sell 07/16/08 Sell 07/18/08 Sell 07/16/08
MOO Market Vectors Agribusiness ETF -2.34 0.79 23.96 -16.05 -56.92 -64.41 -52.68 -46.31 -46.31 -68.13 Buy 11/06/08 Sell 06/27/08 Sell 06/27/08
OIL iPath S&P GSCI Crude Oil Tot Ret Id -2.65 0.56 17.02 -26.61 -57.00 -60.33 -45.51 -16.23 -35.63 -64.18 Sell 07/16/08 Sell 07/17/08 Sell 07/16/08
GDX Market Vectors Gold Miners ETF -2.24 0.41 28.39 -14.98 -51.41 -61.37 -60.52 -49.19 -50.00 -67.80 Sell 10/03/08 Sell 07/23/08 Sell 07/23/08
UGA United States Gasoline -2.81 0.54 18.84 -32.09 -60.20 -63.25 -54.13 -54.13 -54.13 -65.94 Sell 07/17/08 Sell 07/16/08 Sell 07/08/08
KOL Market Vectors Coal ETF -2.02 0.78 31.75 -47.14 -76.00 -78.73 -72.22 -72.22 -72.22 -81.05 Sell 07/07/08 Sell 07/03/08 Sell 07/02/08
Total 53 tickers in table.

 

 

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