Wednesday, April 16, 2014

04/16/2014 Sector & Style Matrix

Value still holding the lead:

Mid Value Small Value Large Value Mid Blend Small Growth Large Growth Large Blend Small Blend Mid Growth
Utilities 1 5 9 17 24 29 30 45 73
Finance 2 6 10 18 25 32 33 47 74
Materials 3 7 11 20 26 35 36 49 75
Staples 4 8 12 23 27 37 38 51 76
Technology 13 15 22 42 44 53 54 63 77
Healthcare 14 19 28 46 52 56 57 67 78
Industrial 16 21 34 50 55 58 59 70 79
Energy 31 40 43 60 61 65 66 71 80
Cyclicals 39 41 48 62 64 68 69 72 81

Don't chase momentum. 

Momentum is so 2013...

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4 comments:

  1. TraderDApril 17, 2014 at 9:05 AM

    Hi Tim, something that puzzles me but maybe it shouldn't by the way this heat map is constructed. How come the ranking is so contiguously packed, marching along adjacent rows and columns? I would expect more arbitrary ranking to sprinkle around the 2-dimensional matrix.

    ReplyDelete
  2. teclontzApril 17, 2014 at 7:21 PM

    That's because I use two models and multiply them together: 9 styles and 9 sectors.

    ReplyDelete
  3. TraderDApril 23, 2014 at 2:42 PM

    Makes total sense now why the ranking is spread rather neatly around the matrix. Is the style model also mean reverting or just the sector model?

    ReplyDelete
  4. teclontzApril 23, 2014 at 6:28 PM

    Yes. Both are essentially the same model. The only difference is that one is style ETFs and the other sector ETFs. You'll note that my newest trades on the full model are combining the two.

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