November 28th Weekend Update

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The present status of the 4 tracking ETFs is as follows:

AGG / F-Fund: Long on 11/5, up +1.27% since 11/6
EFA / I-Fund: Cash on 11/20
SPY / C-Fund: Long on 11/16, down -1.24%
VXF / S-Fund: Long on 11/25, BUT, we went long on 11/17 due to TSP account trading restrictions, down -3.19%

Click the image below for a larger view.

The 3-ETF account (which does NOT trade the AGG / F-Fund) is presently with a net gain of 21.65% since inception, with a 17.39% annualized compounded rate of return (CRR).  The maximum drawdown (MDD) on this account is 9.05%, yielding a Calmar Ratio  (CR) of 1.92, which is okay but less than our goal of 3 or better.

The 4-ETF account (which trades the AGG / F-Fund), is presently with a net gain of 18.32% since inception, with a 14.68% annualized CRR.  The MDD of this account is 7.10%, yielding a CR of 2.06, which is okay but less than our goal of 3 or better.  Note the introduction of the bond fund DECREASES overall risk (higher CR), but lowers the overall gain compared to the 3-ETF portfolio. 

======  Commentary ======

As an entire group with equal weighting between the 4 ETFs, there is nothing in the long term that indicates we should be moving to cash, this past Friday's significant down day not withstanding.  I say this based upon the 65d EMA of the group's price behavior, which is shown below in the figure.  The 65d EMA line is the lowest line in the middle pane, colored magenta.  Click on the image for a larger view.

Furthermore, as a complete strategy, the strategy is still in an up-trend, although it is weakening.  I say this based upon the top pane shown above, which shows the slope of the 65d EMA, one fitted to 5days (blue), the other fitted to 34d (green).  The scale on the right in this upper pane shows when the slope will cross negative, e.g., 65d EMA prices are in a down-trend.  What they show is that the absolute gains of the strategy are slowing, but are still trending upward (downward sloping lines, but above 0).

Overall, even though we are slowing in gains, we are making money in this portfolio, so stay the course.

As always, please leave a comment below if desired.

Regards,

pgd

SPY / C-Fund has moved long

With the close of the markets on Monday, November 16th, the C-Fund / SPY has signaled a new long. Because of TSP restrictions on trading, this will exhaust our ability to move long for the rest of the month.  Given this, I am recommending that no monies be in cash for the remainder of the month, e.g., we move into VXF / S-Fund also.

Here are the complete allocations, as of the open for Tuesday, November 17th:

3-ETF portfolio:

G-Fund / Cash: 0%
C-Fund / SPY: 48%
S-Fund / VXF: 10%
I-Fund / EFA:  42%

4-ETF portfolio:

G-Fund / Cash: 0%
F-Fund / AGG: 42%
C-Fund / SPY: 28%
S-Fund / VXF: 5%
I-Fund / EFA:  25%

Rebalancing will occur on/after December 2nd.

Please leave a comment below, if desired.

EFA / I-Fund has moved Long

With Friday the 13th's close, GGT has signaled a "New Long" with EFA, which is the trade proxy for the I-Fund.  Allocation for the I-fund, if you are using a 4-ETF portfolio, should be 25%, and if you are using a 3-ETF portfolio, should be 42%.

Here are the complete allocations, as of the open for Monday, November 16th:

3-ETF portfolio:

G-Fund / Cash: 48%
C-Fund / SPY: 0%
S-Fund / VXF: 0%
I-Fund / EFA:  42%

4-ETF portfolio:

G-Fund / Cash: 33%
F-Fund / AGG: 42%
C-Fund / SPY: 0%
S-Fund / VXF: 0%
I-Fund / EFA:  25%

Rebalancing will occur on/after December 2nd if no further signals are issued this month.

Please leave a comment below, if desired.

AGG / F-Fund has moved Long

If you are trading the AGG or F-Fund as part of the TSP strategy, this moved long with GGT as of 11/5/09.

There are two portfolios that are managed with the GGT/TSP methodology:  one uses the AGG, the other one does not.  See the previous blog to get an idea of the overall performance.

If you are trading the 3-ETF portfolio, do nothing.  You should be 100% in cash.

If you are trading the 4-ETF portfolio, you have two choices to allocation: 

a) 25% of your portfolio,with the balance in cash, or
b) based upon a weighted performance of the last month, 42% of your monies would be allocated in the F-Fund, with the balance in cash.

Happy trading!

As always, please leave a comment if you need to.