Timing Model = -.5
40% long, 60% cash
Global allocation of long positions
MSCI EAFE Index 30%
MCCI Emerging Markets Index 20%
Russell 3000 Index - U.S. 50%
Top U.S. Sectors
U.S. Oil & Gas 6.0
U.S. Oil Equipment, Services & Distribution 6.0
Precious Metals 4.0
U.S. Basic Materials 4.0
U.S. Biotechnology 3.0
Top Intl. ETFs
S&P Latin America 40 Index Fund 3
MSCI Brazil Index Fund 3
MSCI Malaysia Index Fund 3
MSCI Emerging Markets Index Fund 2
MSCI Canada Index Fund 2
Strategy 3
Money Market 25.0%
Agriculture 25.0%
Precious Metals 25.0%
Industrial Materials 25.0%
Emerging Markets 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%
Saturday, March 1, 2008
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7 comments:
Tom,
What do you consider as Industrial Materials - MXI?
Thanks,
CA
i saw your comment regarding back testing on Roger's blog.
Isn't the back-testing that Mebane Faber and Bill Rempel did pretty much what you are looking for?
CA,
Yes, I'm using MXI for Industrial Materials.
born2code,
Faber's white paper concept is similar but not exactly the same as what I am interested in testing. Instead of toggling from asset class to cash, I propose dividing allocation between all asset classes that are above their 200 dma.
Sorry but I'm not very familiar with the concepts Bill Rempel has tested.
Tom,
Under strategy 3, why aren't you invested in GVPIX US Gov Long Bonds? It is over it's 200dma.
Thanks,
Bill
sorry Tom, i did not see your reply till now. Bill Rempel has what he calls a rotational strategy that seems to rotate between the 10 asset classes with the strongest momentum.
i just say his recent post:
http://www.billakanodoodahs.com/2008/03/rotational-portfolio-up-376-in-last-four-weeks/
Also, the Hedge Fund edge book discusses similar strategy. Basically rotating from between asset classes/countries to stay invested in the stronger ones.
It seems that Bill's back tests shows good results. His actual trading so far is ahead of the market. The book I reference shows actual results over about 4 decades that also have beaten the market handily.
I am trying to formulate my own strategy along the same lines.
born2code,
Thanks for the link. I've been using a sector/country rotation strategy based on momentum for 7 years now and have found it to be a very profitable strategy. The main difference between my srategy and Bill's is the use of a timing overlay.
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