Wednesday, October 2, 2013

10/02/2013 rotation


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%

 

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

 

5 comments:

  1. Hi Tim, do you plan to continue showing the old sector model selection and performance as a benchmark to compare with the new model?

    ReplyDelete
  2. I'll try to archive it each month for comparison. I could share it on occasion. Remind me!

    ReplyDelete
  3. I'll certainly do. One more question - what level of negative gap would serve to cancel a position swap in the portfolio?

    ReplyDelete
  4. Any. Basically I look in the morning, at lunch, and in the afternoon. If BAX is up less (or down more) than FAST, I'll make the swap.

    Even doing that is sometimes difficult, but I try to get as good or better for the trade.

    ReplyDelete
  5. The gap between BAX and FAST prevented the trade. I'll recalculate tonight.

    ReplyDelete