Monthly Archives: January 2008

Rotational Portfolio Swaps Out Two Positions

January 11, 2008 – 8:15 pm

Rotational combines component rotation and asset class rotation to hold a small basket of ETFs or ETNs, selecting the handful with the most momentum from a representative sampling of classes and components. Throughout this article, when I refer to momentum, I am referring to an exponentially smoothed measure based solely on price movement.
Information […]

By Bill Rempel | Posted in Systems-Rotational | Comments (4)

New Personal Trades

January 11, 2008 – 8:14 pm

Current positions and weights are:
Brazil (EWZ) - 9.2%
China (FXI) - 9.3%
Euro (FXE) - 9.4%
Gold, (GLD) - 10.3%
Hong Kong (EWH) - 9.8%
India (INP) - 12.6%
Materials, Steel (SLX) - 9.4%
Oil (USO) - 10.2%
Russia (RSX) - 9.3%
Treasuries 20+ Yrs (TLT) - 9.8%
Cash - 0.5%
Personal returns are +2.65% for the last four weeks, compared to Rotational, which returned +2.79% […]

By Bill Rempel | Posted in My Trades | Comments (0)

Fundamental Portfolio Gives Itself A Makeover

January 5, 2008 – 5:10 pm

Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.
Information is as of the close on January 4, 2008.
Model Allocation
Based on beginning […]

By Bill Rempel | Posted in Systems-Fundamental | Comments (0)