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January 28, 2013

Alpha of 27%, beta of 0.4, average annual return of 31% (before tax and transaction costs)

In a seventeen-year backcast

Allow me to add just a teensy, tiny warning: past performance does not guarantee future performance. 

(And the proposer is going to allocate only 5% of his portfolio to the strategy.)


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His data for 2008 is completely wrong:

MDY Jan 1 - Apr 30: -1.50%
PHIYX May 1- Oct 30: -24.58%
MDY after: -5.49% [all dividends reinvested]

Total return: -29.80%, not +34.2%. Only off by 6400 basis points.

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