09/29/2013 Mousetrap

[Timothy Clontz]

Sector Model XLU & XLK 0.75%
Style Model Small Value

Large Portfolio Date Return Days
ABX 4/11/2013 -23.24% 171
TTM 5/6/2013 2.87% 146
BTI 7/1/2013 4.84% 90
CLH 7/8/2013 10.68% 83
FAST 7/22/2013 7.39% 69
VAR 8/2/2013 1.34% 58
OUTR 8/19/2013 -18.27% 41
QCOM 9/3/2013 1.66% 26
FLR 9/16/2013 5.71% 13
GCO 9/24/2013 0.51% 5

(Since 5/31/2011)
S&P Annualized 10.33%
Sector Model Annualized 22.75%
Large Portfolio Annualized 28.37%


From: http://market-mousetrap.blogspot.com...nder-hood.html

Rotation: selling CLH; buying NEM.

Since the news from Washington D.C. has been so contradictory, I’ve spent the time making a few upgrades to my model.

One is hitting today, and another hitting soon.

Today’s change is NEM: it’s in the same industry as ABX. In some limited circumstances that can occur, and today is one of those circumstances. Although not part of the evaluation, it’s indicative to note that the entire industry is two standard deviations below its long term median regression. GDX, for instance is at 25.11, while the long term mean is 46.08 – an 84% difference.

That’s like the S&P being at 1015.

The suppression of gold has to do with global deflationary pressures that are being aggressively fought by the Fed. The hint of taper has been taken off the table, and the continued dysfunction in D.C. will accompany a continuation of Fed easing.

Although nothing is ever certain, gold is a reasonable bet at this point.

The next change is in the sector model. It is currently running two ETFs, and when one of those rotates off in the near future I will retain only one. The most likely scenario is for XLK to outperform and then cash out, leaving XLU. But we’ll see what happens.

No need for market comment. Everything is being held hostage by partisan politics. And remember: it takes two parties to really make a mess. This is a shared pile of poop.

Tim

[Timothy Clontz]

Sector Model XLK 0.37%

Large Portfolio Date Return Days
ABX 4/11/2013 -23.74% 174
TTM 5/6/2013 3.25% 149
BTI 7/1/2013 1.80% 93
FAST 7/22/2013 10.63% 72
VAR 8/2/2013 2.42% 61
OUTR 8/19/2013 -18.05% 44
QCOM 9/3/2013 2.11% 29
FLR 9/16/2013 8.91% 16
GCO 9/24/2013 4.58% 8
NEM 9/30/2013 -1.61% 2

(Since 5/31/2011)
S&P Annualized 10.35%
Sector Model Annualized 24.83%
Large Portfolio Annualized 28.68%


From: http://market-mousetrap.blogspot.com...-rotation.html

Rotation: selling FAST; buying BAX.

Please note also the change in the sector model. As I detailed on the blog this week, the revised sector model now isolates a single sector. This is different, however, from the original single sector version launched on 5/31/2011. That sector only represented mean reversion, while the newer model includes a momentum measure and tests about 10% per year better than the original model.

We’ll see how it performs in real time.

As always, a negative gap between FAST and BAX would prevent the trade.

Tim

[Timothy Clontz]

Sector Model XLK -0.50%

Large Portfolio Date Return Days
ABX 4/11/2013 -25.02% 175
TTM 5/6/2013 5.94% 150
BTI 7/1/2013 1.61% 94
FAST 7/22/2013 9.51% 73
VAR 8/2/2013 1.58% 62
OUTR 8/19/2013 -16.53% 45
QCOM 9/3/2013 1.25% 30
FLR 9/16/2013 6.96% 17
GCO 9/24/2013 3.10% 9
NEM 9/30/2013 -3.65% 3

(Since 5/31/2011)
S&P Annualized 9.91%
Sector Model Annualized 23.09%
Large Portfolio Annualized 28.33%

From: http://market-mousetrap.blogspot.com...-take-two.html

Rotation: selling FAST; buying BCR.

The negative gap this morning prevented the trade I listed last night. This will be a second attempt, with a different target.

Tim