Monthly Archives: July 2008

Jul 2008 Returns

July 31, 2008 – 5:25 pm

These are my personal trading returns as of month-end July 2008.
Current Month Return: 3.3%
Year To Date Return: -1.3%
3 Month Return: -2.5%
6 Month Return: 2.5%
12 Month Return: 8.7%
24 Month Return: 15.3%
24 Month Annualized Return: 7.4%
36 Month Return: 46.8%
36 Month Annualized Return: 13.6%
Since Inception Return: 50.2%
Since Inception, […]

By Bill Rempel | Posted in My Trading Returns | Comments (0)

Rotational Portfolio Hates This Market

July 27, 2008 – 5:08 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 (8)

Fundamental Portfolio Update

July 20, 2008 – 1:52 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 July 18, 2008.
Model Allocation
Based on beginning […]

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

Market GOT Hammered!

July 13, 2008 – 9:04 am

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.
System recap is presented first […]

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

It’s A Tough Time To Be Aggressive

July 6, 2008 – 10:34 am

In its initial version, Aggressive was an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produced an exceptional trading plan by itself, but when the two were combined, the volatility of returns was reduced without much degradation of total returns. This was because their […]

By Bill Rempel | Posted in My Trades, Systems-Aggressive | Comments (0)