Based on yesterday's SPY/QQQ/IWM study we may also replace SPY with IWM in the AB model and allocate some capital to that position...thus creating a true 6 component portfolio.
Actionable Risk Opportunities, Tactical Musings and Timing Indicators for Investors
Wednesday, January 16, 2013
LM, TAQK and AB Model Updates...1.16.13
This is the latest version of the tentative new AB model to replace
TAQK. We've eliminated TLT and I'm continuing to look for a substitute
for TIP in an attempt to minimize exposure to Treasuries. Here's a
little aside article
on the matter from Gundlach, who's in the same league with Bill Gross
regarding bonds.The new AB more closely mirrors the cyclical flux in the
SPY versus LM or TAQK, but both versions of AB have superior drawdown
metrics relative to SPY. This is not the final version of AB...I hope
to have that nailed down by next week.
Based on yesterday's SPY/QQQ/IWM study we may also replace SPY with IWM in the AB model and allocate some capital to that position...thus creating a true 6 component portfolio.
And, here are the LM and TAQK updates:
The
removal of TLT from the new AB model contrasts with the LM and TAQK
models most dramatically in 2011, when TLT was driven by QE1 and 2 and
was making new highs each week. Looking at the longer term chart of TLT
we can see that pattern is not as consistent as some of the other
non-Treasury driven bonds, hence the alternate portfolio to complement
the LM Model...which will be retained.
Based on yesterday's SPY/QQQ/IWM study we may also replace SPY with IWM in the AB model and allocate some capital to that position...thus creating a true 6 component portfolio.
