ETF Prophet

Yesterday I mentioned the Risk Spread chart of the RYDEX Mosaic and today’s we take a quick look at the status of the ETF Mosaic.  A different portfolio with a different market neutral skew and the ETF model appears to be ahead of the RYDEX model in making the zero line turn.  We still need [...]

Another week, another hit to the SPY but our RYDEX workhorse has so far weathered the storm.  I’ve added a line to reflect relative gains over the past 5 days as well as the usual tracking metrics.  Traditional risk management models used by many money managers hold 60% stocks & 40% bonds but using RYDEX [...]

A performance check of the old reliable XLF/TLT pair trade reveals some disturbing discrepancies between trade signals and subsequent price action.The  steady slope of the equity curve that has endured for 6 months has now hit a bumpy patch, with several recent losing trades that did not violate the N day time limit…the risk parameter [...]

Here’s an update of the Fidelity ETF model + QQQ and a reshuffling of the other no-fee ETF components.  The AM risk management algorithm has been refined a bit and, if compared with the initial Fidelity post, a definite smoothing of the Mosaic equity lines can be seen.  The APR returns on the actively managed [...]

The Mosaic newsletter service is coming in June after a prolonged development and refinement process.  I will be posting sample newsletter alerts after the 20th of this month so readers can get a taste for what the deliverables will look like. In response to several queries I’ll note various reasons to consider either an ETF [...]

This is a follow up to yesterday’s Fidelity Mosaic post, showing current performance of the standard Mosaic portfolio of ETFs with position size rebalancing remaining on a monthly basis. The study period has been pushed back to mid 2007 so we can clearly see performance characteristics through the late 08 meltdown in the major markets.  [...]

For your consideration > a Mosaic model using Fidelity no commission ETFs.  Perhaps surprisingly, the actively managed model does quite a bit better than the standard Mosaic.  If we deconstruct the model dynamics this can be traced to the fact that Fidelity offers no commission free ETF to match QQQ, which has proven to be [...]

This is the status of the Mosaic models as of Monday’s close. We are seeing a flattening of the equity curves but the good news is the models aren’t running negative and are retaining accumulated gains.  The RM actively managed model is liking cash for the past three weeks, hence the sustained 140% readings.  On [...]

This model of Mosaic uses a variety of RYDEX funds in lieu of ETFs.  All  RM and rebalancing trades are accomplished 15 minutes pre close. RYDEX funds designed to mimic ETFs such as QQQ and XLV have somewhat different performance characteristics which requires tweaking the capital allocation algorithm to optimize yields.  Top left  $4476 is [...]

Here’s a little bit of fun using another approach to day of week momentum.  It’s a simple set up entering the trade on Wednesday’s close if Wednesday’s close is higher than Monday’s and Tuesday’s close.. and then holds for one week.  Designed to pick up the surges, it’s done a very respectable job with only [...]

I’m late posting this week’s Mosaic update as I’ve been working on a model using RYDEX funds in lieu of ETFs and testing optimum days for trading rotation models. Meanwhile, these are the current stats for our AGG,XLE,QQQ,TLT model.  The difference between the simple Mosaic model and the RM version is that the base model [...]

The models have gone into a kind of holding pattern here with the RM version continuing to show a turtle like charge up the equity curve.  Surprisingly, the VIX was down to sub 14levels this morning, a level last seen in April of 2011.  It’s been a while.   Monday’s PDQ spin on VXX was obviously [...]

We’ve examined some VXX (ETN VIX proxy) attributes in past posts, mostly centered on decay factors inherent in this issue.  In the process of updating the PDQ Dashboard here’s a real time look at the VXX forecast as of 2 hours in today.  With the VIX hitting 15.23 this morning the odds are clearly to [...]

This is an update of the PDQ project, begun almost 2 years ago, and about ready to join the prime time Mosaic Suite.  While the base Mosaic model is designed as a non-trading approach to capital appreciation we can enhance overall returns by trading opportunistically as various ETF components of Mosaic fall into skew.

This is an update of current performance of the Mosaic models versus SPY and the RM version is showing its stuff in the midst of our little pullback.  Keep in mind that these values are based on a rolling 1000 day lookback so 4 Yr APR and 2012 targets will change each week as the [...]

The most common method of position sizing uses a fixed percentage risk divided by volatility to dictate the fraction of the account size to invest. In generic terms this is: P= F/V where F= typically 1% and V= daily volatility (non-annualized) P= portfolio position size example: if V=2% and F=1% then the P= 50% Standard [...]

In conjunction with yesterday’s post this is the short side of the Mosaic 3 Finger setup, where Highest is replaced with Lowest and > is replaced with <.  Perhaps surprisingly, the Reverse model produced similar performance metrics to the Long side model. Given the positive momentum in the SPY since the 2009 crash you might [...]

A few years ago I published a series of TradeStation systems which I called the BZB Dirty Dozen.  I have revived, modified and merged one of those studies with the signal engine that drives Mosaic.  This post reflects the long biased side of the equation and uses the fundamentals of DOW theory to help identify [...]