Wednesday, January 29, 2014

1/29/2014 premarket rotation


Style Model
Small Value
Sector Model
XLU
1.41%
Large Portfolio
Date
Return
Days
ABX
4/11/2013
-21.89%
292
NEM
9/30/2013
-11.14%
120
ISRG
10/21/2013
8.77%
99
EW
10/28/2013
-13.99%
92
JOY
11/18/2013
-4.84%
71
OXY
11/27/2013
-8.92%
62
MUR
12/23/2013
-3.81%
36
SWM
12/31/2013
-9.52%
28
NKE
1/7/2014
-6.10%
21
BTI
1/15/2014
-0.81%
13
(Since 5/31/2011)
S&P
Annualized
11.38%
Sector Model
Annualized
22.77%
Large Portfolio
Annualized
27.16%

 

Rotation: selling NKE; buying BBOX

This is the first rotation into the revised buying strategy that combines elements of the sector and the style model.

The sector model aggressively selects between  9 sectors.

The style model aggressively selects between 9 styles.

The combination of the two should add the alpha of each to the full model.

Time will tell.

Tim

 

5 comments:

  1. End of day note: the negative gap between NKE (down) and BBOX (up) prevented the trade.

    ReplyDelete
  2. Isn't BBOX unusually thinly-traded in comparison to the stocks normally picked by the model? Shouldn't there be a minimum market cap and/or average trading volume threshold?

    ReplyDelete
  3. The style model is calling for Small Value, hence the small cap target.

    ReplyDelete
  4. Makes sense, I was mostly concerned about market impact with BBOX

    ReplyDelete
  5. I gave a more complete explanation of what I'm doing in this morning's post.

    ReplyDelete