APPENDIX E -- Update of the COP Research Model results through month shown below.															UPDATED through 6/30/10
	Confusion between this report and the Trend Report
		I do not update the Research Model results every month.  The reason is that the 1) The Research Model does not have nearly as many asset classes as does the full COP Report; 2) I do not mean the buy, sell, hold statements, below, to be recommendations – they are merely notes about what the model will do; and  3) If you took the top 15 performers (I usually run the model looking for the top 15 to be consistent although arbitrary, but you could go with the top 8 or 20) from the full COP Report you would get the same results as the COP Model, except that there are more asset classes to chose from in the Trend Reports. Note, as an example, if Diversified Emerging Markets is ranked high in the Majors Report, you might go below to the Sub Class sheet and pick specific emerging market countries rather than take the full basket set (EEM).  If you chose individual countries you probably would not include those emerging markets that were performing poorly.
		I have been updating the Research Report only to show that it is a live ongoing effort still producing good information and/or if I have some point to make about the market – the Research Report has better graphics and summary data.
	What You Are Seeing
	1	Column B provides tha average annual performance over the 20 year period.
	2	The "H=1" lines assume that you invested instantly based on Mornigstars web site data.  However the web site data does not provide as many asset classes so you might wait for the full data resease on about the 9th of each month.
		In the latter case your performance would be closer to the "H=1.5" lines which assume that you wait and invest on the 15th of the month.  Either way you beat the S&P over the 20 years -- and at a lower volatility.
	3	The line below the S&P shows the difference in annual performance between the H=1 case and the S&P.  Note that it does not look very good for the model in the years 1994, 1995, 1996, 1997 and 1998.
		Actually the model did great.  A look at the details shows that during those years the S&P was the hottest asset class in the world.  Still the model could only invest 1/15th of the porfolio in the S&P.
		The model did quite well and went along at much lower volatility than the S&P.  However, most people would have increased their weight in the S&P (or similar).
		For comparison, if the model is set to invest in just 8 asset classes so that the S&P is limited to 1/8th of the portfolio instead of 1/15th, the models return improves against the S&P by 3%points in each of those years.
	4	Now note 1999 when technology, small caps and emerging markets took off.  Here the model excelled as it moved where the action was.
	5	Now look at the market crash years of 200, 2001, 2003, late 2007, 2008 and early 2009.  You have to love any model that does that well in years like those.
		If you look at the monthly detail (sorry, no space to provide the detail) of those years you find that the model stumbles badly (often worse than the S&P) at the initial market fall, but quickly discovers those asset
		classes that are working well in the new market environment.
		There are two extremely important lessons in this result: (1) This model, and none other, can forecast the future -- you are making a bet on the future based on the past and you lose that bet often.  (2) Finding the right
		asset class to invest in is extremely more important than picking the right stock, bond, or fund.  Finding the right asset class "fast" doesn't hurt either.  This suggests that we should pay a lot of attention
		to people like Mohamed El-Erain and Bill Gross who are pushing the idea of a "new normal" for the new market environment.
20yr		TN =15 (number of asset classes invested in each month.
Compound		MS, The momentum formula used.
Average
3.22		Average Hold Time (Months)			1991	1992	1993	1994	1995	1996	1997	1998	1999	2000	2001	2002	2003	2004	2005	2006	2007	2008	2009	2010	YTD
13.52%		ANNUAL RETURN, H=1.5			24.78	9.55	30.23	(5.05)	26.84	17.00	14.05	10.71	38.50	11.06	(6.00)	1.02	41.20	11.38	17.20	16.89	12.01	(8.59)	29.96	(3.77)
16.56%		ANNUAL RETURN, H=1			21.24	14.71	30.43	(1.12)	26.13	17.87	16.32	17.29	51.34	8.59	0.42	7.99	46.04	12.78	14.22	21.51	14.03	(3.51)	38.27	(2.54)
7.37%		ANNUAL RETURN S&P			30.42	7.60	9.84	1.15	37.22	22.73	33.08	28.34	20.89	(9.17)	(11.87)	(22.11)	28.39	10.74	4.79	14.58	5.40	(37.87)	25.62	(7.38)
9.19%		ANNUAL RETURN, H=1 Minus S&P			(9.18)	7.11	20.59	(2.27)	(11.08)	(4.86)	(16.77)	(11.05)	30.45	17.76	12.28	30.10	17.65	2.03	9.43	6.93	8.63	34.35	12.65	4.84
8.61		G&O, H=1.5 Standard Devation			7.65	5.58	4.31	4.74	2.86	6.61	7.69	10.92	9.10	9.87	6.32	7.92	5.93	7.68	7.57	6.72	6.08	5.62	13.36	8
11.56		G&O Standard Devation, H=1			11.17	7.03	6.68	8.89	5.32	8.42	11.89	12.35	17.07	13.86	7.50	9.54	8.64	10.60	10.81	11.91	10.81	8.40	16.15	11
15.03		S&P Standard Devation			15.16	7.13	5.81	10.07	4.96	10.36	15.24	20.52	12.55	16.39	18.97	19.70	10.90	6.97	7.56	5.47	9.22	20.04	21.30	17
Research Model Settings:
1	The 20 year period from 7/1/1990 through 6/30/2010.  This a rich sample periond.  Look at the return of the S&P 500 above.  It covers the boom of the late 1990s, the recession and market bust of 2000, 2001 and 2002,
	the recovery period of 2003 and the crash of late 2007 and 2008 as well as early 2009.
2	The model  invests in the top 15 performing asset clases out of 51 possible as long as the performance is better than cash, in which case it invest is money markets.
3	In this run, or test case, the model is using the MS momentum calculation which is focused heavily on the last three months.  Since market volatility has decreased, it may pay to swithch to the ML (longer term) momentum calculation.
	Since I am concerned about a retrenchment, I am staying with MS.
Model's Investments 2009 and 2010YTD
	This chart shows what the model has invested in during this period.  Blue is not invested.  Yellow means that it was a good investment but the model could not react until the next month.  Green shows that the model is invested. Orange is a bad month because the asset class turned bad or at least there are higher performing assets, however the model is still invested. Notice the large amount of orange and yellow caused by the high volatility in 2009 and 2010. The model did well when it went to all cash and bear market.
		The BUY, SELL, HOLD tell you what the model will do in the next month, July.
		Year >			2009	2009	2009	2009	2009	2009	2009	2009	2009	2009	2009	2010	2010	2010	2010	2010	2010
		ASSET CLASS          Month >			2	3	4	5	6	7	8	9	10	11	12	1	2	3	4	5	6
		S&P500>SPDRs			61	17	26	24	33	25	11	32	42	8	22	46	14	21	14	48	59		S&P500>SPDRs
		Cat: Bear-Market			1	66	66	66	65	66	66	66	40	66	65	2	66	66	66	2	2	HOLD	Cat: Bear-Market
		Cat: Conservative Allocation			37	33	33	37	37	37	32	39	17	32	32	34	26	34	28	33	34		Cat: Conservative Allocation
		Cat: Convertibles			30	11	28	32	29	28	16	23	23	25	17	38	12	29	13	36	42		Cat: Convertibles
		Cat: Diversified Emerging Mkts			38	3	3	4	4	3	37	4	13	5	12	58	39	8	22	53	37		Cat: Diversified Emerging Mkts
		Cat: Diversified Pacific/Asia			52	9	18	9	6	4	30	27	55	26	23	48	25	12	36	56	43		Cat: Diversified Pacific/Asia
		Cat: Emerging Markets Bond			29	14	29	31	24	36	31	30	5	36	37	15	27	31	30	34	7	BUY	Cat: Emerging Markets Bond
		Cat: Europe Stock			49	21	11	6	23	8	4	5	7	16	29	56	65	18	65	65	48		Cat: Europe Stock
		Cat: Foreign Large Blend			54	30	22	13	26	7	14	19	47	21	30	59	62	24	62	62	46		Cat: Foreign Large Blend
		Cat: Foreign Large Growth			45	23	19	12	20	10	24	16	41	14	24	55	57	17	46	59	41		Cat: Foreign Large Growth
		Cat: Foreign Large Value			55	31	17	14	22	9	7	20	49	28	33	57	63	27	63	64	51		Cat: Foreign Large Value
		Cat: Foreign Small/Mid Growth			42	28	16	8	3	5	8	6	18	20	25	51	58	15	20	60	38		Cat: Foreign Small/Mid Growth
		Cat: Foreign Small/Mid Value			46	34	14	10	5	6	3	7	19	30	34	42	61	11	19	58	40		Cat: Foreign Small/Mid Value
		Cat: High Yield Bond			25	32	27	34	11	30	28	26	3	35	18	3	28	32	21	32	13	BUY	Cat: High Yield Bond
		Cat: High Yield Muni			4	36	35	38	41	42	23	8	16	44	36	8	21	39	35	4	12	HOLD	Cat: High Yield Muni
		Cat: Intermediate Government			6	35	46	49	63	47	42	45	11	42	62	9	55	61	40	3	5	HOLD	Cat: Intermediate Government
		Cat: Intermediate-Term Bond			27	41	39	42	39	41	38	43	8	41	59	6	33	40	38	10	6	HOLD	Cat: Intermediate-Term Bond
		Cat: Japan Stock			64	39	32	15	7	21	13	64	65	65	27	11	23	10	34	57	53		Cat: Japan Stock
		Cat: Large Blend			57	16	24	21	32	23	15	28	46	12	19	47	13	20	16	50	54		Cat: Large Blend
		Cat: Large Growth			44	8	23	28	30	27	26	25	48	10	16	54	11	19	17	47	62		Cat: Large Growth
		Cat: Large Value			62	20	25	19	34	22	9	29	43	13	26	43	16	16	15	51	56		Cat: Large Value
		Cat: Latin America Stock			39	5	2	1	2	1	34	1	2	2	8	65	15	22	33	63	45		Cat: Latin America Stock
		Cat: Long Government			31	26	65	65	64	50	35	42	51	38	66	5	64	65	24	1	1	HOLD	Cat: Long Government
		Cat: Long-Term Bond			33	63	37	39	19	35	22	38	9	40	61	4	36	38	26	27	4	BUY	Cat: Long-Term Bond
		Cat: Mid-Cap Blend			53	12	10	22	21	19	10	17	57	19	9	41	6	7	6	44	63		Cat: Mid-Cap Blend
		Cat: Mid-Cap Growth			43	7	15	29	28	26	20	15	58	18	6	50	4	9	8	41	55		Cat: Mid-Cap Growth
		Cat: Mid-Cap Value			59	18	12	25	27	17	5	14	54	17	10	37	7	6	7	45	61		Cat: Mid-Cap Value
		Cat: Moderate Allocation			41	25	31	33	35	34	25	34	39	23	28	39	22	30	25	38	44		Cat: Moderate Allocation
		Cat: Multisector Bond			28	37	34	41	31	38	33	36	4	39	35	7	31	36	29	29	8	BUY	Cat: Multisector Bond
		Cat: Muni tiol Interm			5	43	40	46	44	44	40	41	52	43	58	13	29	63	39	6	14	HOLD	Cat: Muni tiol Interm
		Cat: Muni tiol Long			3	38	36	43	60	45	39	33	50	48	55	12	24	44	37	5	16	SELL	Cat: Muni tiol Long
		Cat: Muni tiol Short			23	45	44	47	61	48	47	46	44	47	57	17	35	64	44	9	15	HOLD	Cat: Muni tiol Short
		Cat: Pacific/Asia ex-Japan Stk			36	4	4	3	1	2	63	10	15	4	13	61	34	23	27	49	33		Cat: Pacific/Asia ex-Japan Stk
		Cat: Short Government			7	42	45	48	62	49	46	48	20	46	60	14	56	62	45	8	10	HOLD	Cat: Short Government
		Cat: Short-Term Bond			24	44	42	44	42	43	41	44	10	45	56	10	37	42	41	26	11	BUY	Cat: Short-Term Bond
		Cat: Small Blend			60	22	6	23	12	15	12	13	62	31	4	40	3	5	4	40	65		Cat: Small Blend
		Cat: Small Growth			51	13	13	30	8	24	21	12	64	27	2	45	5	4	5	37	57		Cat: Small Growth
		Cat: Small Value			63	27	7	26	13	12	6	9	61	34	5	35	2	2	3	39	66		Cat: Small Value
		Cat: Specialty-Communications			35	6	9	17	15	31	43	18	66	9	15	63	19	14	12	35	47		Cat: Specialty-Communications
		Cat: Specialty-Fincial			65	10	5	11	10	11	2	24	59	37	38	36	20	3	11	54	64		Cat: Specialty-Fincial
		Cat: Specialty-Health			47	24	62	36	17	29	19	37	63	7	14	1	17	26	64	52	52		Cat: Specialty-Health
		Cat: Specialty-tural Res			48	15	20	7	40	20	45	22	12	3	11	60	18	28	18	61	60		Cat: Specialty-tural Res
		Cat: Specialty-Precious Metals			2	1	64	2	66	16	64	2	53	1	64	66	10	35	1	7	3	HOLD	Cat: Specialty-Precious Metals
		Cat: Specialty-Real Estate			66	65	1	18	18	18	1	3	21	6	3	49	1	1	2	30	49		Cat: Specialty-Real Estate
		Cat: Specialty-Technology			34	2	8	20	9	14	17	11	56	11	1	62	9	13	9	43	58		Cat: Specialty-Technology
		Cat: Specialty-Utilities			58	64	41	35	16	33	29	35	60	22	7	52	59	37	23	46	35		Cat: Specialty-Utilities
		Cat: Ultrashort Bond			26	62	43	45	43	46	44	47	14	49	39	16	38	45	43	28	32		Cat: Ultrashort Bond
		Cat: World Allocation			40	29	30	27	36	32	27	31	22	24	31	44	32	33	32	42	36		Cat: World Allocation
		Cat: World Bond			32	40	38	40	38	40	36	40	6	33	63	18	60	43	42	31	9	BUY	Cat: World Bond
		Cat: World Stock			50	19	21	16	25	13	18	21	45	15	21	53	30	25	31	55	50		Cat: World Stock
		Commodities			56	46	63	5	14	39	65	65	1	29	20	64	8	41	10	66	39		Commodities
		Cash @ 2.4%/Yr			8	47	47	50	45	51	48	49	24	50	40	19	40	46	47	11	17	SELL	Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			9	48	48	51	46	52	49	50	25	51	41	20	41	47	48	12	18	SELL	Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			10	49	49	52	47	53	50	51	26	52	42	21	42	48	49	13	19	SELL	Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			11	50	50	53	48	54	51	52	27	53	43	22	43	49	50	14	20	SELL	Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			12	51	51	54	49	55	52	53	28	54	44	23	44	50	51	15	21	SELL	Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			13	52	52	55	50	56	53	54	29	55	45	24	45	51	52	16	22		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			14	53	53	56	51	57	54	55	30	56	46	25	46	52	53	17	23		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			15	54	54	57	52	58	55	56	31	57	47	26	47	53	54	18	24		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			16	55	55	58	53	59	56	57	32	58	48	27	48	54	55	19	25		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			17	56	56	59	54	60	57	58	33	59	49	28	49	55	56	20	26		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			18	57	57	60	55	61	58	59	34	60	50	29	50	56	57	21	27		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			19	58	58	61	56	62	59	60	35	61	51	30	51	57	58	22	28		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			20	59	59	62	57	63	60	61	36	62	52	31	52	58	59	23	29		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			21	60	60	63	58	64	61	62	37	63	53	32	53	59	60	24	30		Cash @ 2.4%/Yr
		Cash @ 2.4%/Yr			22	61	61	64	59	65	62	63	38	64	54	33	54	60	61	25	31		Cash @ 2.4%/Yr