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Archive for May, 2008

It was another good month across all three published strategies – you’ll find the individual strategies pages (MOMO1, TREND1, MR1) have updated equity curves, statistics and current holdings.  But as will be the norm going forward, I’ll update the monthly performance here.

MOMO1:

  • Return for May-08: 11.5% (does not include dividends or commission charges)
  • Return YTD: 19.0%
  • Current holdings: EWZ, SLX, OIL – no change from the prior month

TREND1:

  • Return for May-08: 5.5% (does not include dividends or commission charges)
  • Return YTD: 13.7%
  • Current holdings: UNG, PPA

MR1:

  • Return for May-08: 5.5% (does not include dividends or commission charges)
  • Return YTD: 25.1%
  • Current holdings: IEF, TLT (changes frequently)

Benchmarks:

  • S&P500:
    • May-08: 1.18%
    • YTD: -4.53%
  • DOW:
    • May-08: -1.42%
    • YTD: -4.71%
  • Nasdaq:
    • May-08: 4.55%
    • YTD: -4.89%
  • EFA (proxy for developed foreign markets):
    • May-08: 1.19%
    • YTD: -2.28%
  • EEM (proxy for developing foreign markets):
    • May-08: 3.16%
    • YTD: 0.67%

So – by just about any measure we beat the major benchmarks – please let me know if there is a specific benchmark you’d like me to compare the strategies.

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MR1 Update

Well, that was quick – just a single day holding period on XLB and we’re outta there.  Bought at 43.63, sold at 44.43 (both at the open) for a return of 1.83% (not including commissions).

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I read a lot of economic blogs, mainly because I find the subject interesting.  But I ignore them in terms of my trading/investing.  Why?  Because most of the time, sadly, their reporting is not actionable.  It can range from interesting information to paranoia – particularly on certain websites such as Bill Cara’s website.  Now I know some people, perhaps Bill himself, will find his way to my website and say “hey, I’m not paranoid, this is really going on!!!”  And that may or may not be true.  Plunge Protection Teams, interest rate cabals, the US causing 9/11 and AIDs – it all might be true, but it doesn’t help me on a daily basis.

Mish’s Global Economic Trend Analysis has a lot of interesting posts – like this one.

Here’s a great quote from the article:

“What we are experiencing is a demand shock coming from a new category of participant in the commodities futures markets: Institutional Investors. Specifically, these are Corporate and Government Pension Funds, Sovereign Wealth Funds, University Endowments and other Institutional Investors. Collectively, these investors now account on average for a larger share of outstanding commodities futures contracts than any other market participant.”

Now, this may be what is really causing the rise in commodities.  Seems to make sense to me.  But the question is how do I profit from this information?  Does that mean this trend is on-going?  Or is it about to come to an end?

In contrast with this, my MOMO1 system has been long OIL since 4/2/08.  The system has picked up on this momentum.  Now, like most momentum systems – momentum giveth and it taketh away.  So I fully expect OIL to give up some gains at some point.  The position is up about 24% after being up as much as 29%.

So what am I concentrating my time on?  Figuring out how to make my MOMO1 system unload holdings at the top – now that’s something to spend time on.

In short – stop worrying about what you cannot control – focus on what you can control.

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MR1 cashed out of IBB this morning and took a position with XLB which was bought at the open.  IBB gained 1.08% on the position (including commission) – so not great, not bad.  XLF continues to be held as well, with the position continuing to be in the red.

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This is what is important to remember on Memorial Day:

(Image courtesy of Mother Jones)

I’m completely against the War in Iraq and this is one reason why – putting our honorable military people in harms way for what I believe is a useless war.  But regardless of how I feel about the war, we have to think about and honor those people who serve our country.

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Know What’s in Your ETF and How the ETF is Calculated : Trader Mike

Mike looks at the DUG ETF and why it’s been acting so funny.

World Beta – Engineering Targeted Returns and Risk: Rebounding

World Beta takes a look at investing in stocks/ETFs that are down for a given month and presents a strategy.

Quantext – “Humble Arithmetic”

Quantext looks at portfolio construction and risk levels/factors.  Part of a great series by them.

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IBDIndex continues the RSI(2) testing…..at this rate, the combination of bloggers working on this will be able to publish our own research paper on the strategy.

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