Monday, May 13, 2013

T6 Lab..2 Views..5.13.13

The T6 Weekly version 2 program was emailed to all registered T2 users this weekend.
If you didn't receive it, drop me a note and I'll send it out.

Today we'll look at the updates on the T6 LAB platform, which uses daily bars to track momentum, for the bullish and the market neutral portfolios.
As of 2 hours in today the Qs and XLF are leading positive issues, a situation foreseen by Friday's closing momentum on T6. This, of course, could change significantly by the end of the day.
This view is using a top 2 sort but users can play around with other sorting options.
The bullish portfolio incurs almost as much drawdown as the net SPY with about a 10% improvement in RSQ and SKEW.
We can contrast this model with the sample market neutral model which requires no trading...its all in top 6 all the time...and which reflects reduced net returns but stunningly low drawdowns.
This is clearly a long term portfolio as the shorter term returns are dismal when compared with the SPY. Monthly rebalance of the portfolio components is suggested in order to maintain equal dollar weighting in the 6 positions.
Also note the substantial improvement to both short and longer term RSQ and SKEW values in the market neutral model.