2/13/2014 matrix

	Mid Blend	Small Value	Large Value	Small Growth	Mid Growth	Large Blend	Small Blend	Large Growth	Mid Value
Utilities	1	3	6	16	18	22	25	29	32
Materials	2	4	7	17	19	26	30	33	36
Finance	5	8	9	21	24	34	39	42	45
Technology	10	11	13	38	40	48	50	51	53
Staples	12	14	15	44	47	52	55	56	57
Industrial	20	23	31	58	59	62	65	66	67
Cyclicals	27	35	41	60	63	68	70	73	76
Energy	28	37	43	61	64	69	72	74	77
Healthcare	46	49	54	71	75	78	79	80	81

2/13/2014 rotation

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

 

2/12/2014 matrix (corrected)

There was an error in my intraday data source.  The end of day data shows a change in the Sector model from XLB to XLU.

If there is a favorable gap in the morning, I'll make the trade.  Otherwise I'll recalculate before the close.

	Mid Blend	Small Value	Large Value	Small Growth	Mid Growth	Large Blend	Large Growth	Small Blend	Mid Value
Utilities	1	3	5	16	18	21	26	27	32
Materials	2	4	7	17	19	23	28	30	34
Finance	6	8	9	22	29	36	39	40	43
Technology	10	12	14	41	45	48	51	52	56
Staples	11	13	15	44	47	50	54	55	57
Industrial	20	24	33	58	59	63	64	66	68
Cyclicals	25	35	38	60	62	67	69	71	72
Energy	31	37	42	61	65	70	73	74	76
Healthcare	46	49	53	75	77	78	79	80	81

2/12/2014 rotation

Style Model	Mid Blend
Sector Model	XLB	5.65%
Large Portfolio	Date	Return	Days
ABX	4/11/2013	-18.70%	307
NEM	9/30/2013	-17.48%	135
EW	10/28/2013	-13.12%	107
JOY	11/18/2013	-1.84%	86
OXY	11/27/2013	-5.53%	77
MUR	12/23/2013	-10.10%	51
SWM	12/31/2013	-11.87%	43
BTI	1/15/2014	-1.85%	28
TM	2/3/2014	2.74%	9
RS	2/10/2014	3.52%	2
(Since 5/31/2011)
S&P	Annualized	11.82%
Sector Model	Annualized	26.06%
Large Portfolio	Annualized	26.86%

 

Rotation: selling BTI; buying CSCO.

Sector and Style models both holding steady at Mid Blend and Materials.

Tim

 

2/11/2014 matrix

	Mid Blend	Small Value	Large Value	Small Growth	Mid Growth	Large Blend	Small Blend	Mid Value	Large Growth
Materials	1	3	5	14	18	22	23	24	25
Utilities	2	4	7	17	20	28	29	32	33
Finance	6	8	9	21	31	38	40	42	43
Technology	10	12	15	37	46	49	50	53	54
Staples	11	13	16	39	47	51	52	56	57
Industrial	19	27	35	58	61	63	64	66	67
Cyclicals	26	34	41	59	62	68	69	73	74
Energy	30	36	44	60	65	71	72	75	76
Healthcare	45	48	55	70	77	78	79	80	81