GGT / TSP Not-so-Notables, as of Monday, December 21st

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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

Nothing new here as of Wednesday, December 16th ....

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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.

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

December 4th Weekend Update

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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).


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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%
  

Who says you can't time the market?

Remember, you are responsible for your own investment decisions.

Regards,

pgd

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.