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