Monday, October 28, 2013

Another Look at Weekly Models...10.28.13

Back in early August I profiled a market neutral model that off set SPY volatility with the SPY inverse ETF and a few bond related ETFs.  It's still chugging along basically keeping pace withe SPY but with considerably less exposure to drawdown. 
Since there are only 6 components we'll just profile a top 1 sort and regular readers should already have the T6 weekly software in hand so replicating these performance results so be a simply matter.
So you want to punch up the returns?  The price you pay is more risk exposure which translates into constructing a somewhat higher volatility portfolio. 
Since we want to be as lazy as possible about the whole investing process we'll simplify the portfolio by only making it 5 components...not the usual 6.
Just don't enter anything in the 6th Ticker input on the DATA tab and then hit the update button.
We've used SSO, the SPY ultra bull ETF and SHY, the short term bond ETF which basically reflect a cash position. 
Why do we even need SHY?  Just to show when bullish momentum is waning within the rankings.
Since there is no 6th input the 6th ranking slot will always be -- (vacant).
Our underlying premise is that if you believe SPY is bullish then ultra bullish SPY is the place to be since its returns are double SPY's.
 The ranking exhibited since 9/9 is the ideal bullish alignment...you just have be either be willing to handle the potential drawdown or be prepared to follow the P6 money management stop...which in this case has been upslope for the past 5 weeks.