Wednesday, June 26, 2013

T11 View of Default Model..6.26.13

Following yesterday post on the NYAD we saw another pop up of the NYAD to 7.85 at today's open (wildly bullish)...which has been in a steady decline since the open and now stands at 2.87 at 2 hours in.

We're still refining the T11 Lab but here's the view of the baseline T2 default (market neutral) portfolio as of Wednesday morning.  The position of AGG is a bit surprising given the huge selloff in bonds last week that dribbled into Monday (and yesterday).  Nevertheless, when put in the context of the rest of the portfolio there is apparent positive momentum in AGG (I-Shares Total Bond Core).
As of this morning XLU is also showing a renewed sign of strength after a 15% decline that started May 1st.

The P6 and RSQ stop loss lines still have the model in cash BUT if you held on and not followed the discretionary money management guidelines the metric panel displays the resultant damage.
Once again.....when P6 is downslope, especially when it crosses over the RSQ (linear regression  line) the only value of the momentum rankings is that they slow the rate of loss if the portfolio is not converted to cash.