Wednesday, February 13, 2013

AB Model Update..2.13.13

This is a slightly refined version of the AB model.  My goal going forward is to design these models so that they can be run in the T6 Lab and revised and updated at your pleasure.
Note that TLT and TIP (the Treasury related bond ETFs) have been eliminated in favor of municipal, junk and high grade corporate bonds to offset equities.
 The composite charts of the 6 components reflect the positive momentum in all issues...the kind of consensus we want to see. 
We now have a 3 equity, 3 bond model that can be managed on a component by component basis if the P6 and/or RSQ risk lines are violated. Although the historical % drawdown is a bit more than I prefer, that's the price we have to pay to keep up with the SPY least for now.
LM is lagging so far behind the equity curve that we'll shelve the model for now.  The TLT and GLD components have worked against us and the low momentum of the QQQ position as our equity mainstay have also hampered gains relative to the SPY.