Timing Model = 0.5
60% long, 40% cash
Global allocation of long positions
MSCI EAFE Index 20%
MCCI Emerging Markets Index 30%
Russell 3000 Index - U.S. 50%
Top U.S. Sectors
U.S. Biotechnology 3.0
U.S. Semiconductor 2.0
U.S. Consumer Services 2.0
U.S. Pharmaceuticals 2.0
U.S. Health Care 2.0
Composite Internet 1.5
Precious Metals 1.5
U.S. Real Estate 1.5
U.S. Oil & Gas 1.5
Top Intl. ETFs
MSCI Brazil Index Fund 2
FTSE China (HK Listed) Index Fund 2
FTSE/Xinhua China 25 Index Fund 2
MSCI Emerging Markets Index Fund 2
S&P Latin America 40 Index Fund 1
MSCI South Korea Index Fund 1
MSCI Taiwan Index Fund 1
MSCI South Africa Index Fund 1
MSCI All Country Asia ex Japan 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%
My timing model slipped again this week as the bullish effects of past pessimism continues to fade. My sector rankings are look like a turkey shoot target - leadership isn't all that clear right now.
I wouldn't be surprised to see the market move in either direction over the next few weeks. Sentiment is essentially neutral, the short term trend is up, but the long term trend is still down. If the Value Line composite average breaks above it's 200 day moving average it will give my timing model a substantial boost.
Sunday, April 12, 2009
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2 comments:
Tom,
Do you have some .pdf's or other links to tactical asset allocation articles...I would like to forward to someone doing some programming?
I already have a few by Faber.
(calluci@yahoo.com)
thanks!...if not, I understand.
My TAA strategy is based on several concepts. Essentially, you need a system that tells you what to buy, and what your equity/cash exposure should be.
My Sector selection model is based mostly on 3-12 month momentum. There are a ton of research documents online - Google "momentum strategies", "momentum investing", etc.
You will also find numerous examples of how a momentum strategies can be used:
- http://tinyurl.com/dbzwud
- Old AIQ articles by David Vomund
- The Research Driven Investor by Tim Hayes
- http://tinyurl.com/d28ca8
I also developed a market timing model that helps me determine how much equity exposure I should have at any one time. My exact approach is fairly unique - I use a combination of trend and sentiment indicators. The model is designed so the sentiment indicators act as a counter balance to the trend indicators. If sentiment is neutral, but model defers entirely to the trend indicators. If the trend indicators are unanimous, the sentiment indicators will often counteract excessive exposure or under-exposure to equities.
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