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 25, 2008.
EZ+Macro
My charts are relatively wide, and this site is best viewed at 1280×1024. If the chart is truncated in your browser, click on it to view it in full size.
EZ Trend is now down.
Macro Trend is bullish for Treasuries. This comes into play only if the EZ Trend is not up.
Fear/Greed
The Fear/Greed model signaled a buy for the U.S. stock market in early November, and a sell in December, as the $VIX relative to actual volatility fell to a historically low level. The current level of sentiment, despite current events, is still 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. 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) – 25.0%
iShares 7-10 Year Treasury Bond Fund (IEF) – 24.9%
Cash – 50.1%
Returns
Based on beginning with a $100,000 portfolio at inception.
Equity: $97,250.26
Gain, Last 4 weeks: -4.38%
Gain, Year to Date: -4.03%
Gain, Since Inception: -2.75%
Changes To Model Allocation
There are no changes to the model allocation since this previous message. It is listed below:
S&P 500 SPDRs (SPY) – 25.0%
iShares 7-10 Year Treasury Bond Fund (IEF) – 25.0%
Cash – 50.0%
Tracking
There are no changes to track.
Commentary
As mentioned earlier in the week, I believe a trade-able capitulation bottom has been reached. However, my intention with this site is to track mechanical systems, therefore the system will continue to follow its own signals and disregard my intuition and personal opinions.
My personal trading is disclosed on this site, and is currently most in line with the Rotational system.
I reserve, and confine, the right to exercise my opinion to my personal portfolio, and not to the system portfolios which I track here. They shall remain 100% mechanical.
3 Comments
Bill,
In the Timing explanation section, you show a chart regarding Drawdowns. Specifically, one of Timing’s appeal to me was its performance in the last bear market, the drawdown being as small as it was. That for sure would help one stay the course, the psychology of trading being what it is. I know that you calculate the monthly returns, but do you do chart drawdowns for the systems and their positions? INP sure comes to mind as does Fundamental. I know that you are trying for a hand’s off approach but drawdowns sure make it hard to keep hands off. Just wondering how drawdowns and something like Fear and Greed track…Thanks…dj
I have Drawdown information from backtest for Timing on daily basis, and for Fundamental and Aggressive on a month-end basis. Rotational’s backtest is still piecemeal, and an integrated combined backtest remains a “to do,” as does expanding the explanations for the other three systems.
I don’t have individual security drawdown for the systems.
I don’t like what’s happening with INP, either. Testing some alternate treatments for individual holdings on Rotational is a “to do.” With Aggressive and Fundamental, holding 20 positions is the solution to individual company risk.
As you can see, I’ve got some work ahead of me to finish fleshing out the site! Hope you bear with me …
Not a problem, its very interesting. Sometimes I feel like a sidewalk superintendent as I watch the structure grow. Keep on building…dj