|
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
Hi Tim, do you plan to continue showing the old sector model selection and performance as a benchmark to compare with the new model?
ReplyDeleteI'll try to archive it each month for comparison. I could share it on occasion. Remind me!
ReplyDeleteI'll certainly do. One more question - what level of negative gap would serve to cancel a position swap in the portfolio?
ReplyDeleteAny. 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.
ReplyDeleteEven doing that is sometimes difficult, but I try to get as good or better for the trade.
The gap between BAX and FAST prevented the trade. I'll recalculate tonight.
ReplyDelete