|
Condition
|
Bear Market
|
||
|
Small Portfolio
|
XLF
|
7.29%
|
|
|
10% Margin
|
XLF (long)
|
-0.01%
|
|
|
50% Margin
|
XLU (short)
|
-0.32%
|
|
|
Position
|
Date
|
Return
|
Days
|
|
GCI
|
7/14/2011
|
12.94%
|
350
|
|
CSGS
|
10/3/2011
|
32.99%
|
269
|
|
NLY
|
10/25/2011
|
8.62%
|
247
|
|
KBR
|
10/27/2011
|
-17.86%
|
245
|
|
VG
|
10/27/2011
|
-40.73%
|
245
|
|
BT
|
1/4/2012
|
3.66%
|
176
|
|
SAI
|
5/30/2012
|
7.13%
|
29
|
|
XEC
|
6/5/2012
|
1.02%
|
23
|
|
DECK
|
6/15/2012
|
-9.88%
|
13
|
|
FCX
|
6/25/2012
|
0.75%
|
3
|
|
S&P
|
Annualized
|
-1.11%
|
|
|
Small Portfolio
|
Annualized
|
6.76%
|
|
|
Mousetrap
|
Annualized
|
5.49%
|
|
|
Margin
|
Annualized
|
11.23%
|
The full model is 110% long and 50% short – slightly long
for a bear market.
I overstated the 3.25% gain on the XLK short earlier
today. The actual profit was 1.25%.
In any case, the Margin account represents short-only trades
from 5/31/2011. At that time the
settings were either no margin (in a bull market) or 100% short (i.e. fully
hedged in a bear). After a good bit of
review I found that a better default setting for a bear market is 100% long and
50% short. Because of the recent dip the
model is now 110% long and 50% short.
The full range of long settings in the past decade were from
55% to 130% long, and from 40% to 90% short – depending on market and account
shifts.
These will not be adjusted on a daily basis, and my goal is
to make as few trades as possible.
The ten fundamental selections will be rotated on a set
schedule (the next rotation target is 7/6/2012).
The two margined ETFs will trade in real time at the end of
the day.
Tim
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