Timing Model= -1.0%
30% long, 70% cash
Allocation of long positions
MSCI EAFE Index 30%
MCCI Emerging Markets Index 30%
Russell 3000 Index - U.S. 40%
Top U.S. Sectors
U.S. Basic Materials 5.0
U.S. Biotechnology 4.0
U.S. Health Care 4.0
U.S. Oil & Gas 3.5
U.S. Technology 3.5
Composite Internet 3.0
Precious Metals 3.0
U.S. Utilities 3.0
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 Pacific ex-Japan Index Fund 3
MSCI Hong Kong Index Fund 3
MSCI Australia Index Fund 3
MSCI Spain Index Fund 3
MSCI Germany Index Fund 3
Strategy 3
EAFE 16.7%
Emerging Markets 16.7%
Money Market 16.7%
Industrial Materials 16.7%
Agriculture 16.7%
Precious Metals 16.7%
U.S. Large Cap 0.0%
U.S. Small Cap 0.0%
U.S. Long Bonds 0.0%
U.S. REITs 0.0%
Saturday, December 1, 2007
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5 comments:
Tom,
Thanks for all this great information. You are making people lives better by helping. Have a great Sunday.
ditto to anon 659,
in suspense with sentiment data,
nice concise logic to use of both trend and sentiment.
when the market is not trending, is this a difficult period to gauge market risk?; personally, I like using rsi/7 weekly with 50 xover as the signal.
jasper
Jasper, anytime the market is not trending (intermediate term) it will generate whipsaws in the trend indicatators. We're in an especially difficult period right now because the 75dma and 200dma of the Russell 3000 are very close to each other. Stocks could potentially zig-zag back and forth through both moving averages creating a lot of changes in my model readings. We'll see what happens.
Keep in mind the sentiment indicators are almost unanimously bullish. My model could get to 100% long very easily. Short term the market looks overbought to me, but I wouldn't be surprised to see more bulls pile on before profit-taking sets in earnest.
Hi Tom,
What did the timing model show just before the large August correct a few months ago?
Thanks
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