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 […]
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 October 10, 2008.
Model Allocation
Based on beginning […]
Value is a moderately low-beta, medium-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing exceptional long-term returns with somewhat less attention paid to the shorter-term variability of those returns.
Value takes its name because it references criteria traditionally used by “value investors” when analyzing companies for purchase. The plan only […]
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 Summary
Information is as of […]
Given the large move in the markets, I thought it prudent to give a mid-week update.
Of the various mechanical portfolios, the Timing one is now doing the best YTD, with half in cash and one-fourth in Ts. I don’t think it’ll hit a Fear/Greed signal anytime soon, based on the extreme index volatility over […]
