a quirk or two

Sector Model XLU 0.00%

Large Portfolio Date Return Days
ABX 4/11/2013 -27.46% 261
NEM 9/30/2013 -14.99% 89
BCR 10/4/2013 16.18% 85
ED 10/18/2013 -1.96% 71
ISRG 10/21/2013 0.92% 68
EW 10/28/2013 -14.34% 61
ARLP 11/11/2013 2.50% 47
JOY 11/18/2013 2.21% 40
OXY 11/27/2013 -2.18% 31
MUR 12/23/2013 1.31% 5

(Since 5/31/2011)
S&P Annualized 12.95%
Sector Model Annualized 23.33%
Large Portfolio Annualized 29.32%

From: [url]http://market-mousetrap.blogspot.com/2013/12/12282013-quirk-or-two.html[/url]

XLU is in the lead only by a hair. The extreme whipsawing between XLU and XLB actually has to do with the relative activity of XLP and XLF in the background. A quirk of the model, but an essential quirk.

In another interesting quirk, of the stocks I hold, JOY is the selection on my sell criteria; while of the stocks I don’t hold – all 6500 of them – JOY is the selection on my buy criteria.

Now, THAT’s a whipsaw to end all whipsaws…

If my model was being run by an HFT machine, it would trade in circles a few billion times until all the money was eaten in trading costs.

The style model is still showing Small Blend to be the preferred target. The full Santa Claus (aka January effect) rally is supposed to be in Small Value. So we’re still not getting the normal action, and my own model is reflecting this with a 3.78% drawdown, even as the broad market is at all time highs.

JOY, our lump of coal, is still in the game, in spite of itself…

Tim