Timing Model = .5
60% long, 40% cash
10 day moving average: 56% long, 44% cash
Global allocation of long positions
MSCI EAFE Index 40%
MCCI Emerging Markets Index 10%
Russell 3000 Index - U.S. 50%
Top U.S. Sectors
U.S. Basic Materials 5.0
Precious Metals 4.5
U.S. Oil & Gas 4.5
U.S. Biotechnology 3.5
U.S. Health Care 3.5
U.S. Oil Equipment, Services & Distribution 3.5
Top Intl. ETFs
MSCI Brazil Index Fund 3
MSCI Malaysia Index Fund 3
MSCI Hong Kong Index Fund 2
S&P Latin America 40 Index Fund 2
FTSE/Xinhua China 25 Index Fund 2
Strategy 3
Money Market 33.3%
Agriculture 33.3%
Precious Metals 33.3%
Emerging Markets 0.0%
Industrial Materials 0.0%
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 appologize for the week gap in posting updates. I was on a winter campout over last weekend and didn't have the time this week to run updates.
The sentiment indicators alone have pushed my timing model above zero and thus my long exposure now hovers around 60%. Emerging Markets is now underweight but surprisingly I haven't seen any huge shifts in U.S. markets sector rotation (except the financials and real estate sectors have been gaining relative strength).
As I mentioned a couple weeks ago, I think we are near a short/intermediate term bottom, however I do not believe the bear market is over. A rally from here would not be surprising.
Strategy 3 allocation is now getting interesting. There are only 2 asset classes above their 200 day moving average resulting in a 3-way allocation between cash, precious metals, and agriculture.
Saturday, January 26, 2008
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2 comments:
Tom,
Can you provide the ETFs that you use for your Strategy 3 asset classes? Do you buy and sell weekly as the allocations change?
Thanks
To be totally honest, I haven't accumulated enough capital to fully fund strategy 3, but at this point I intend to use mostly Profunds.
Here's the line up with leverage noted if applicable:
Agriculture-DBA 100%
Precious Metals-PMPIX 150%
Emerging Markets-UUPIX 200%
Industrial Materials-MXI 100%
EAFE-UNPIX 200%
U.S. Large Cap-ULPIX 200%
U.S. Small Cap-UAPIX 200%
U.S. Government-GVPIX 125%
U.S. REITs-REPIX 150%
Profunds offer several advantages. First, exchanges can be made within the family avoiding the problems with settlement of ETFs. Second, leverage allows one to hold a larger cash position, which can be used to buffer ETF sales/purchases and ensure position sizes don't get too far out of whack.
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