Friday, April 15, 2011

Stay the Course on the Long Side

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A question came in over night about "selling the bounces" and my short answer is that there is nothing in the TSP adaptive routines for the C-Fund, S-Fund, or I-Fund that indicates that I should move to cash.

Since my long signal on March 28 I have the following performance, with the suggested allocations:

  • C-Fund, 98% allocation, +0.429% gain
  • I-Fund, 1% allocation, +0.023% gain
  • S-Fund, 1% allocation, +0.009% gain
This configuration continues to exhibit the best return/risk allocations given the previous 100 days of volatility.  Yes, the I-Fund is up +2.313% since the signal, but the volatility swings are greater than 1.4% per day on average, and volatility is increasing, so my suggestion is to keep the suggested allocations (for now).  

I'm sitting pat, but of course, my crystal ball is as good as yours.  This could all change with today's action.

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Regards,

pgd



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