Thursday, February 6, 2014

2/6/2014 shift to Mid Blend Materials

Small Growth Small Blend Mid Growth Small Value Large Growth Mid Blend Mid Value Large Blend Large Value
Materials       Hold   Buy     Hold
Utilities       Hold   Hold     Hold
Finance           Hold      

Still bullish, but barely.


  1. Hi Tim,

    Is the sector and style model based on machine learning or just statistical calculations? I'm curious about the role of timeframe, especially because the sector and style axes are orthogonal (and may not share the same timeframe?)

  2. There are two aspects to the time frames of each one. In general a business cycle will drift from the top left to the bottom right over the course of 4 years. But it's not a straight line; it's more like a series of loops. There are corrections in bull markets and rallies in bears. I plan to do a detailed presentation of the matrix at different historical points either this weekend or next weekend.

    What I probably need to do is to actually draw the time loops and highlight significant points of time on the loops.

    Keep in mind that this is not a hard timing model per se. I don't use it to go to cash or short -- but merely to target which sectors and styles to invest in. I've been using the sector aspect of this since the launch in May 2011, but the style aspect is new. I've been observing it in the background for a couple of years to test a hypothesis. The observations have bumped it from a hypothesis to a theory.