|
Style Model
|
Mid Blend
|
||
|
Sector Model
|
XLU
|
0.00%
|
|
|
Large Portfolio
|
Date
|
Return
|
Days
|
|
ABX
|
4/11/2013
|
-21.19%
|
307
|
|
NEM
|
9/30/2013
|
-18.88%
|
135
|
|
EW
|
10/28/2013
|
-13.43%
|
107
|
|
JOY
|
11/18/2013
|
-0.71%
|
86
|
|
OXY
|
11/27/2013
|
-4.92%
|
77
|
|
MUR
|
12/23/2013
|
-11.50%
|
51
|
|
SWM
|
12/31/2013
|
-11.99%
|
43
|
|
TM
|
2/3/2014
|
2.44%
|
9
|
|
RS
|
2/10/2014
|
4.28%
|
2
|
|
CSCO
|
2/12/2014
|
0.62%
|
0
|
|
(Since 5/31/2011)
|
|||
|
S&P
|
Annualized
|
11.81%
|
|
|
Sector Model
|
Annualized
|
25.98%
|
|
|
Large Portfolio
|
Annualized
|
26.73%
|
Rotation: selling OXY; buying ITRI.
Please note the correction to the matrix after the
close. The sector model will move into
XLU if there is a favorable gap (unlikely).
Otherwise I’ll recalculate before the close.
Tim
ITRI is on a short-sale restriction (which I believe means it can fall quite further) based on just announced earnings. What fundamentals are used by the model? I'm guessing the pre-announcement... ouch
ReplyDeleteGot it at a great price, actually. I think the panic should be limited. Part of it has to do with a lawsuit that was announced yesterday.
ReplyDeleteHi Tim, just a clarification - when you say great price, do you mean relative to the pre-earnings fundamentals or the post-earnings fundamentals? I guessed the model didn't have the earnings fundamentals yet to calculate, but maybe it did?
ReplyDeleteLong term growth and value. The model actually tries to target an atypical earnings miss. Remember that high current P/E often coincides with low long term P/E.
ReplyDeleteJust to give a little detail: on a Growth-Value Blend target (the current call on the Style Model) I'll look at 5-year Growth in EPS, Sales, Cash Flow, and Book Value. I'll also look for high inventories. I don't even look at P/E. It's basically meaningless, since I'm already targeting a depressed industry.
ReplyDeleteThanks for clarifying, it's the possible out-of-sync fundamentals-based calculation that I was concerned about.
ReplyDeleteRe XLU, did the EOD calculation perform the switch?
Yes, we made the switch. Annoying when the Yahoo data has a hiccup. It's a fantastic service, but when there's an interruption you sure can miss it!
ReplyDeleteWas that a hiccup in fundamentals or market data? I used DTN/IQFeed before, very reliable (market data only). 15-min delayed $60/month, Real-time $100/month.
ReplyDeleteHiccup in market data. The intraday data wasn't working. We make the switch around 3:45 on the control set and 1:45 on the client portfolio.
ReplyDelete