Tuesday, July 24, 2012

S. 7.24.12 Lite

The model continues to track above SPY and the 5 Day Return line shows the risk neutral allocations have kept us relatively safe.  The RM version is ON but all models are in a HOLD mode for new capital.
Drawdown metrics have been added for the past 4 years and its interesting how each model (and the SPY) have maintained such consistent drawdowns in 3 of the 4 years examined.
SpreadX and TrendX are diverging again so waiting until they move in concert is the first criterion for any new capital.  With the end of the month approaching the equity markets typically exhibit bullish behavior around the last to first days of the month,  That fact doesn't really concern us although we do need to pay attention to ex-div days for the bond ETFs and avoid any negative rebalancing during to holder of record requirement period.  For smaller accounts this is a not a significant $ amount, but for 100K and above accounts those few bucks add up over time.  The projected adjustment is currently negative for TLT but things can change quickly and we'll keep a close eye on the rebalance numbers to play it tactically.