Condition Bear Market
S&P Target 970
Hedge XLE -3.00%

Position Date Return Days Call
BKI 5/31/2011 2.22% 100 Hold
CFI 6/22/2011 1.28% 78 Hold
SE 6/27/2011 -4.50% 73 Hold
AWR 7/5/2011 -3.64% 45 Closed
CLH 7/6/2011 -2.82% 64 Hold
GCI 7/14/2011 -27.48% 56 Hold
AGO 8/5/2011 -2.67% 34 Hold
DISH 8/10/2011 13.49% 29 Hold
GTAT 9/8/2011 -2.37% 0 Buy
NA NA NA NA NA
Mousetrap Return -2.94%
S&P Return -7.14%
Hedged Return -5.64%

Mousetrap Annualized -20.20%
S&P Annualized -49.02%
Hedge Annualized -34.41%

Annualized Advantage 28.82%
Hedged Advantage 14.61%

The model got whacked on 09/08, with the outperformance falling below 30% on the basic long model for the first time in over a month.

Yesterday was a flight away from value, indicating a very pessimistic view of the ability of fundamentals to affect future price movements. Money flow in Energy and Financials continue to drag the broad market, and both are nearly even for last place in my sector rotation model.

Technical stocks continue to attract money, but overall the relationship of all sectors remain bearish.

I’ll try to write a more detailed explanation of the sector relationships this weekend.

Tim