.
AGG/F-Fund and EFA/I-Fund continue to show a CASH status -- if you didn't move to cash with these when indicated it's highly probable that you've lost some change, but probably not much since everything has been so range-bound. AGG/F-Fund signaled a move to cash on 12/11 with a closing price of $104.62, and last evening's close was $104.31. EFA/I-Fund signaled a move to cash on 11/20 at a price of $55.34, and last evening's close as $55 even.
The SPY/C-Fund continues to plod along, with a closing strength of +3 and with an average 5D strength of +1.8. The VXF/S-Fund continues to show strength, with another Affirmed Long on Monday (strength = +5), and an average 5D strength of +2.6.
I'm staying the course until the trends change.
Regards,
pgd
Tuesday, December 22, 2009
Wednesday, December 16, 2009
Nothing new here as of Wednesday, December 16th ....
...
but I wanted to give you a head's up on this strategy.
As an equally-weighted strategy, this one is decreasing in acceleration. It's still making money in this market, but it is doing so at a slower and slower pace each day. I base these statements on the slope of the 65 DEMA, smoothed over 1 week (5 DEMA - short term), 1 month (21 days -- intermediate term), and 7 weeks (34 days -- longer term).
Correspondingly, my observations are as follows:
Ideally, we want all of these pointing upward, but that middle trend line is pointing downward (although it is still positive), giving us a bit of a warning shot.
but I wanted to give you a head's up on this strategy.
As an equally-weighted strategy, this one is decreasing in acceleration. It's still making money in this market, but it is doing so at a slower and slower pace each day. I base these statements on the slope of the 65 DEMA, smoothed over 1 week (5 DEMA - short term), 1 month (21 days -- intermediate term), and 7 weeks (34 days -- longer term).
Correspondingly, my observations are as follows:
Long-Term Trend: slightly (+) at 0.0594/day
Intermediate-Term Trend (-) at 0.0542/day
Short-Term Trend: (+) at 0.0536/day
Ideally, we want all of these pointing upward, but that middle trend line is pointing downward (although it is still positive), giving us a bit of a warning shot.
Monday, December 14, 2009
AGG / F-Fund has moved to cash
.
With the close on Friday, December 11th, AGG / F-Fund has moved to cash. I missed this transition, so will have to do it on the open tomorrow (Tuesday). The open price on Monday was $104.82, and today's close was $104.68, so not too much damage relative to missing the signal.
For the record, AGG has been looking bad on many different views:
==========
For the 3-ETF / Fund portfolio, which invests only in the EFA / I-Fund, SPY / C-Fund, and VXF / S-Fund, we are up a total of 23.48% since 9/08 through 12/14/09. The Mathematical Expectation (ME) on this portfolio is 1.274, which is very good, and the Compounded Rate of Return (CRR) is 17.74%. The Maximum Drawdown (MDD) for this portfolio is -9.05%, yielding a Calmar Ratio (CR) of 17.74 / 9.05 = 1.96, which is good but shy of our target of > 2.0.
For the 4-ETF / Fund portfolio, which invests only in the AGG / F-Fund, EFA / I-Fund, SPY / C-Fund, and VXF / S-Fund, we are up a total of 20.03% since 9/08 through 12/14/09. The ME on this portfolio is 1.142, which is very good, but slightly less than the 3-ETF/fund portfolio. The CRR is 15.15%. The MDD for this portfolio is -7.1%, yielding a Calmar Ratio (CR) of 15.15 / 7.1 = 2.13, which is better than the 3-stock portfolio, as expected (more equities, less variance).
The allocations in the funds should be as follows, with the 3-Fund allocations in the first column, are:
F-Fund/AGG: 0% / 0%
C-Fund/SPY: 46% / 42%
S-Fund/VXF: 30% / 27%
I-Fund/EFA: 0% / 0%
G-Fund/Cash: 24% / 31%
Remember, you are responsible for your own investment decisions, not me. Follow at your own risk!
Regards,
pgd
With the close on Friday, December 11th, AGG / F-Fund has moved to cash. I missed this transition, so will have to do it on the open tomorrow (Tuesday). The open price on Monday was $104.82, and today's close was $104.68, so not too much damage relative to missing the signal.
For the record, AGG has been looking bad on many different views:
- It has fallen enough that it has found support (at least for today) at the 65 DEMA. This is bullish if it holds, bearish if temporary.
- The slope of the 5d of the (slope of the 65 DEMA) started to fall on 12/1. On 12/13 the slope of the 13d of the ( ) started to fall. These two together is a warning shot across the bow. Finally, on 12/9, the 21d of the ( ) started to fall. All three have been falling since, which is bearish.
- Both Elder (2) and (13) went red on 12/1, signaling trouble.
- Final values for the 5/13/21d EMA of the (slope of the 65 DEMA) are respectively 0.0078 / 0.0172 / 0.0256, which are all positive, but falling towards 0, which is bearish.
==========
For the 3-ETF / Fund portfolio, which invests only in the EFA / I-Fund, SPY / C-Fund, and VXF / S-Fund, we are up a total of 23.48% since 9/08 through 12/14/09. The Mathematical Expectation (ME) on this portfolio is 1.274, which is very good, and the Compounded Rate of Return (CRR) is 17.74%. The Maximum Drawdown (MDD) for this portfolio is -9.05%, yielding a Calmar Ratio (CR) of 17.74 / 9.05 = 1.96, which is good but shy of our target of > 2.0.
For the 4-ETF / Fund portfolio, which invests only in the AGG / F-Fund, EFA / I-Fund, SPY / C-Fund, and VXF / S-Fund, we are up a total of 20.03% since 9/08 through 12/14/09. The ME on this portfolio is 1.142, which is very good, but slightly less than the 3-ETF/fund portfolio. The CRR is 15.15%. The MDD for this portfolio is -7.1%, yielding a Calmar Ratio (CR) of 15.15 / 7.1 = 2.13, which is better than the 3-stock portfolio, as expected (more equities, less variance).
The allocations in the funds should be as follows, with the 3-Fund allocations in the first column, are:
F-Fund/AGG: 0% / 0%
C-Fund/SPY: 46% / 42%
S-Fund/VXF: 30% / 27%
I-Fund/EFA: 0% / 0%
G-Fund/Cash: 24% / 31%
Remember, you are responsible for your own investment decisions, not me. Follow at your own risk!
Regards,
pgd
Sunday, December 6, 2009
December 4th Weekend Update
.
There are no changes to the GGT TSP portfolio in terms of holdings, but if you've been on the sidelines, here is a recommended allocation that I will use going forward IF I move to cash THEN have to move long again:
AGG / F-Fund: 0% / 9%
SPY / C-Fund: 46% / 42%
VXF / S-Fund: 30% / 27%
EFA / I-Fund: 24% / 22%
The values in the first column are appropriate for the 3-ETF/fund allocation, the numbers in the last column are appropriate for the 4-ETF/fund allocation. These will be the allocations for this month (December).
----------------
The 3-ETF/Fund portfolio, which does not invest in the AGG / F-Fund, is up 22.81% since inception (9/08), for an compounded rate of return (CRR) of 17.64%. The maximum drawdown (MDD) since inception is 9.05%, resulting in a Calmar Ratio (CR) of CR = CRR/MDD = 17.64/9.05 = 1.949. We like 2 or better but 1.949 is not shabby.
Within the 3-ETF portfolio the SPY (C-Fund) is up only 0.06% and the VXF (S-Fund) is down -0.08%. The purchase date for both of these was 11/17/09.
Within the 4-ETF/Fund portfolio, which DOES invest in the AGG / F-Fund, we have a gain of 19.35% since inception, for a CRR of 14.98%. The MDD since inception is 7.10%, resulting in a CR = 14.98/7.10 = 2.110. Note that although additional equities reduces the overall gain for the same period of time, the MDD is less, resulting in a higher CR. This means that our reward/risk profile is better with more stocks, although our total gains are lower. It is an individual decision as to whether you can live with the respective gains.
As a comparison, since 9/08,
Remember, you are responsible for your own investment decisions.
Regards,
pgd
There are no changes to the GGT TSP portfolio in terms of holdings, but if you've been on the sidelines, here is a recommended allocation that I will use going forward IF I move to cash THEN have to move long again:
AGG / F-Fund: 0% / 9%
SPY / C-Fund: 46% / 42%
VXF / S-Fund: 30% / 27%
EFA / I-Fund: 24% / 22%
The values in the first column are appropriate for the 3-ETF/fund allocation, the numbers in the last column are appropriate for the 4-ETF/fund allocation. These will be the allocations for this month (December).
----------------
The 3-ETF/Fund portfolio, which does not invest in the AGG / F-Fund, is up 22.81% since inception (9/08), for an compounded rate of return (CRR) of 17.64%. The maximum drawdown (MDD) since inception is 9.05%, resulting in a Calmar Ratio (CR) of CR = CRR/MDD = 17.64/9.05 = 1.949. We like 2 or better but 1.949 is not shabby.
Within the 3-ETF portfolio the SPY (C-Fund) is up only 0.06% and the VXF (S-Fund) is down -0.08%. The purchase date for both of these was 11/17/09.
Within the 4-ETF/Fund portfolio, which DOES invest in the AGG / F-Fund, we have a gain of 19.35% since inception, for a CRR of 14.98%. The MDD since inception is 7.10%, resulting in a CR = 14.98/7.10 = 2.110. Note that although additional equities reduces the overall gain for the same period of time, the MDD is less, resulting in a higher CR. This means that our reward/risk profile is better with more stocks, although our total gains are lower. It is an individual decision as to whether you can live with the respective gains.
As a comparison, since 9/08,
- the fully-invested VectorVest Composite has fallen -9.57%.
- the VVC timed with the VectorVest C/Up & C/Dn system is up 9.44%, and has a CR of 0.54 (MDD = 13.70%).
- the VVC timed with the VectorVest Primary Wave is down -7.03%, has a CR of -0.23, and a MDD of 24.29%
Remember, you are responsible for your own investment decisions.
Regards,
pgd
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