Timing attempts to provide market equivalent returns over the long term, with a substantial reduction in variability of returns. The two components of the Timing program are EZ+Macro and Fear/Greed. This system trades rarely and splits its allocations between ETFs tracking the S&P 500, the intermediate-term U.S. Treasuries, and cash.
Information is as of the close on January 17, 2008.
EZ+Macro
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EZ Trend is now down.
Macro Trend is bullish for Treasuries. This comes into play only if the EZ Trend is not up, and the switch occurred with today’s close. Model allocation will change tonight.
Fear/Greed
The Fear/Greed model signaled a buy for the U.S. stock market in early November, and a sell just over a week ago, as the $VIX relative to actual volatility fell to a historically low level. The current level of sentiment, despite current events, is only about halfway between complacency and fear. This is a tough model to follow, as it demands a buy and hold when fear is high and most people would like to sell. Currently the levels of Fear/Greed are very low. In the scale of the chart, 80% of the readings since 1990 have been between the red and green lines.
Model Allocation
Based on beginning with a $100,000 portfolio at inception.
S&P 500 SPDRs (SPY) – 47.3%
iShares 7-10 Year Treasury Bond Fund (IEF) – 0.0%
Cash – 52.7%
Returns
Based on beginning with a $100,000 portfolio at inception.
Equity: $96,937.31
Gain, Last 4 weeks: -4.71%
Gain, Year to Date: -4.34%
Gain, Since Inception: -3.06%
Changes To Model Allocation
The new model allocation is listed below:
S&P 500 SPDRs (SPY) – 25.0%
iShares 7-10 Year Treasury Bond Fund (IEF) – 25.0%
Cash – 50.0%
Tracking
Tomorrow morning, market at open, the model portfolio will sell 162 of its 344 shares of SPY, and buy 270 shares of IEF. This should move the portfolio very close to its new model allocation.
