Timing Model = -2.0
10% long, 90% cash
10 day moving average: 36% long, 64% cash
Global Allocation of long positions
MSCI EAFE Index 30%
MCCI Emerging Markets Index 30%
Russell 3000 Index - U.S. 50%
Top U.S. Sectors
U.S. Oil & Gas 5.0
U.S. Technology 5.0
U.S. Basic Materials 3.5
U.S. Health Care 3.0
Precious Metals 3.0
U.S. Oil Equipment, Services & Distribution 3.0
Composite Internet 3.0
U.S. Utilities 2.5
U.S. Semiconductor 2.5
Top Intl ETFs
S&P Latin America 40 Index Fund 3
MSCI Brazil Index Fund 3
FTSE/Xinhua China 25 Index Fund 3
MSCI Emerging Markets Index Fund 3
MSCI Hong Kong Index Fund 3
MSCI Germany Index Fund 3
MSCI Pacific ex-Japan Index Fund 2
MSCI Australia Index Fund 2
MSCI Spain Index Fund 2
MSCI Malaysia Index Fund 2
Strategy 3
Emerging Markets 20.0%
Money Market 20.0%
Industrial Materials 20.0%
Agriculture 20.0%
Precious Metals 20.0%
EAFE 0.0%
U.S. Large Cap 0.0%
U.S. Small Cap 0.0%
U.S. Long Bonds 0.0%
U.S. REITs 0.0%
I decided to add a 10 day moving average of my long/cash allocation because my timing model can bounce around quite a bit when the indices are close to both their 75 day and 200 day moving averages.
One interesting development this week - the EAFE index just dipped below it's 200 day moving average leaving only 5 long sectors in my Strategy 3 system.
Sunday, December 16, 2007
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3 comments:
tom, tricky times. can you share how you manage your changing allocations? How many positions do you hold? Are you modifying daily across the board of all positions? etc thanks!
I'll post on this in more detail in the future - I've been extremely busy lately.
Fully invested I can hold up to 20 positions...but no more. I will often use 2x and 2x inverse profunds to adjust long exposure vs. selling off individual positions and taking a hit on commissions. For example, I am currently holding 10 long positions, but instead of selling them off to reduce exposure, I've taken a larger position in UCPIX to reach my long target.
Tom, New viewer of your blog - very interesting! Can you provide more info on your Strategy 3 holdings? Do you buy and sell weekly as the allocations change?
Thanks, BillK
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