Thursday, February 21, 2013

VTV Update.. 2.21.13

We haven't checked in on the VTV performance lately, so with the VIX up over 25% in the past 2 days this seemed like a good time.  XIV is still chugging along although it is down 5% today and tomorrow's metrics are going to look a lot different.
As of yesterday the VTV TrendX (moving pivot) hit the zero line and the VTV equity curve crossed over the RSQ stop line so its time to book gains for this round and wait for the next setup.
The VTV top 1 volatility is clearly much higher than SPY, which illustrates the danger of this model.  Most investors looking out more than 3 months would do well to minimize exposure to the top 1 model.  

The real value of VTV is still in identifying opportunities in the IWM / TLT divergent pair.  The pair skew has been amazingly correlated over the past 30 days as well as shorter time frames...this is an unusual situation as we typically see some violation of the skew in the various time frames. 
The Long IWM/ Short TLT has been a money maker since the frist of the month when the setup displayed a favorable IWM as rank 2 and TLT as rank 5.
Despite the Wall Street feeling that bonds are not going to do well this year, especially Treasuries, we are seeing a pop in TLT and TIP today, with the P6 now upslope on the, time to close the pair trade and wait for the next setup.