etfmsolutions: Changes Ahead?...4.5.13

Friday, April 5, 2013

Changes Ahead?...4.5.13

With the NYAD (NYSE advance/decline line) opening at .08 today (REALLY LOW)...experienced gap traders knew this was a no-brainer and went LONG SPY and other correlated equities. For those that like to sleep in or don't care about short term volatility in the markets today's drop was a stark reminder that a market neutral type approach can help ease the pain.

The VIX hit 15.6 in early trading today, the highest its been since March 4th and, as forecast earlier in the week, TLT is on a momentum run, rising over 5 points in the last 5 sessions and up 2.25% on the day.

Here's a look at a market neutral T6 weekly model with a balanced beta (a sum of zero of the component betas = a perfect market neutral model...but beta values do change over time...so today's net beta value is -.14)(Just in case you were going to ask).

This is a top 2 sort, but you can run through a top 1, 3, 4 sort etc, at your leisure if there's any interest. The last date is April 1 and that is because this is a weekly model that updates on Monday's close.
The portfolio shot is from http://www.freestockcharts.com/ and yes...it is free.

Note the volatility of SPY versus the other 5 components.

Commentary and Updates

Mosaic Solutions commentary is typically published daily as time permits and market action warrants.
Posts feature Mosaic model updates including delta neutral stops, VIXEN directional trades and PONZO forecasts.

NOTE: Posted risk exposure indicators, signals and metrics apply to Mosaic models only. They are not directly correlated with price movement in the major market indices and can not be used to forecast directional changes in those instruments.
Each Mosaic model is a unique blend of risk factors and must be treated accordingly.

TRENDX is a proprietary Mosaic market signal that blends volume, RSI, momentum and rate of change.

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Investing is risky and past performance, whether actual or tested, is no guarantee of future results.
Any quantitatively derived allocations referenced herein should only be starting points for conducting your own research.

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