AGG / F-Fund has moved to cash

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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.

The only thing that gives me pause about this cash signal of AGG is that the price has held at the 65 DEMA; we'll see if it holds going forward.

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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