12/28/2013 a quirk or two

Sector Model	XLU	0.00%
Large Portfolio	Date	Return	Days
ABX	4/11/2013	-27.46%	261
NEM	9/30/2013	-14.99%	89
BCR	10/4/2013	16.18%	85
ED	10/18/2013	-1.96%	71
ISRG	10/21/2013	0.92%	68
EW	10/28/2013	-14.34%	61
ARLP	11/11/2013	2.50%	47
JOY	11/18/2013	2.21%	40
OXY	11/27/2013	-2.18%	31
MUR	12/23/2013	1.31%	5
(Since 5/31/2011)
S&P	Annualized	12.95%
Sector Model	Annualized	23.33%
Large Portfolio	Annualized	29.32%

 

XLU is in the lead only by a hair.  The extreme whipsawing between XLU and XLB actually has to do with the relative activity of XLP and XLF in the background.  A quirk of the model, but an essential quirk.

In another interesting quirk, of the stocks I hold, JOY is the selection on my sell criteria; while of the stocks I don’t hold – all 6500 of them – JOY is the selection on my buy criteria.

Now, THAT’s a whipsaw to end all whipsaws…

If my model was being run by an HFT machine, it would trade in circles a few billion times until all the money was eaten in trading costs.

The style model is still showing Small Blend to be the preferred target.  The full Santa Claus (aka January effect) rally is supposed to be in Small Value.  So we’re still not getting the normal action, and my own model is reflecting this with a 3.78% drawdown, even as the broad market is at all time highs.

JOY, our lump of coal, is still in the game, in spite of itself…

Tim