0% long, 100% cash
Global allocation of long positions
MSCI EAFE Index 20%
MCCI Emerging Markets Index 10%
Russell 3000 Index - U.S. 70%
Top U.S. Sectors
U.S. Health Care 4.5
U.S. Oil & Gas 3.5
U.S. Semiconductor 3.5
U.S. Utilities 3.0
U.S. Pharmaceuticals 3.0
Precious Metals 3.0
U.S. Technology 3.0
U.S. Biotechnology 3.0
Top Intl. ETFs
FTSE/Xinhua China 25 Index Fund 1
FTSE China (HK Listed) Index Fund 1
MSCI South Africa Index Fund 1
S&P Latin America 40 Index Fund 1
MSCI Brazil Index Fund 1
MSCI South Korea Index Fund 1
MSCI Emerging Markets Index Fund 1
Strategy 3
Money Market 50%
U.S. Long Bonds 50%
Strategy 4
U.S. Long Bonds 25%
Agriculture 25%
Precious Metals 25%
U.S. Small Caps 25%
The Value Line Composite Index was able to close above its 75 day moving average on Friday boosting my timing model to -2.5%. If the 5 day moving average follows suit it will signal a 20% equity exposure. We've already seen a couple fake-outs in January and I wouldn't be surprised to see a couple more. Discipline is important here. Most people suck at market timing because they don't FOLLOW their signals or become frustrated with whipsaws and give up. To quote Maverick from Top Gun: "He wears you down. You get bored, frustrated, do something stupid and he's got you." The same goes for the market.
I'm also keeping a close eye on the S&P 500. If both the VLE and SPX and their 5 dma close above their 75 day moving average I will very quickly become 60% long.
Sentiment is still pretty much a non-factor right now. The tape is everything.
2 comments:
Tom,
How did you come to gain so much confidence in the 5 and 75 dma's?
Thanks, jasper
I use the 200 day moving average in my model to account for the long term trend. The 75 day moving average gives weight to the intermediate trend. There's nothing statistically special about either moving average.
The 5 day moving average is just a way to reduce big movements in the model. I use both the daily close and 5 day moving average vs. the 200 and 75 dma.
My philosophy towards market timing is to reduce volatility, not to increase performance over the long term...except it's actually having that effect over the past year and a half.
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