From the Mosaic Testing Lab here's some performance data on the VTV concept (this version only trades on a weekly basis) looking back 7 years. Keep in mind XIV has only existed since 2011 and VXX has only existed since 2009 so the long term results are a bit skewed to the QQQ/SH extremes of the spectrum but the recent 2 year results are more an indication of likely outcomes of a true XIV/VXX spread. VTV is intended to trade only QQQ and SH so additional deconstruction of the momentum rankings will be required in the Lab to generate more realistic expectations. In this version the model holds the top 2 positions. Volatility increases substantially if we just hold the top 1 position.
As of 30 minutes in today (12.5.12) these are the weekly updates of TAQK and LM with the TAQK model revealing the weakness in GLD (gold) that is holding the LM model back...note the #6 ranking of GLD in the LM model.
TAQK is now in an Hold mode...
Updated 8:00 am PST. It opened in an accumulate mode but has now reverted to a HOLD status based on QQQ and XLK weakness.
For our own portfolios the position allocations were rebalanced at the close on Friday and the next rebalance is scheduled for 12.28.12.
