ETF Prophet

For those seeking to delve into stock models using the T2 approach here are 2 sample portfolios that are now part of the MOSAIC stable. The first, SA, is based on the previously posted Mosaic / Seeking Alpha model and is based on their considerable research and experience.The second, WS, is based on a Reuters [...]

We’re in the midst of a mid day reversal pattern as equities appear to be losing their mojo.  TLT has actually gone positiver for the day after an early smack down.  Materials are the hot sector today…both gold and oil were roaring early on but have cooled considerably.  The NYSE advance/decline line (NYAD) started to [...]

We’re seeing some gains in 2o year bonds via TLT but is this a recovery or a pause before a larger correction?  Here’s one view. Back at the hourly chart of the new market neutral index QQQ is still holding top slot driven almost entirely by APPLE.  In fact, 80 of the NAZ100 are in [...]

My little market neutral index portfolio illustrates the crumbing VIX (shaded background chart) relative to the larger market.  TLT did make a bullish spurt out of the open and the afternoon saw it resume a downtrend in sympathy with the VIX.  Apple was the catalyst for the QQQs as peer the past few days and [...]

Mosaic has a whole new look and feel (it’s been a long time coming) so I thought I’d take a little breather and explore some possibilities for predicting volatility thresholds as part of the evolving PDQ module.  In this case we use the PDQ to look at XIV (the Inverse VIX ETF) vs a variety [...]

One of the building blocks of a successful investment portfolio is obviously selection of components that are each robust on their own. When pursuing a market neutral strategy like Mosaic that cannot be  accomplished by combined winners and losers, each component must exhibit positive returns although the mix of components have to also exhibit inverse [...]

This is a little study to see how much risk management the Mosaic RM filter produces.  Note that in this case the entire Mosaic portfolio is just 1 ETF …SPY… 100%, so Mosaic=SPY.  The Max Drawdown #s are the focus of my attention and it reveals that the RM filter cuts drawdown essentially in half [...]

Here’s a little exercise using the Delta Bands and FXC, the Canadian Dollar. I’m testing the robustness of the system on a variety of securities and this is about par for the course.  Similar results for EEM and TLT plus a gaggle of others.  There’s more noise on the dollar and euro (UUP & FXE) [...]

OK, here’s today’s teaser for Mosaic aficionados.  This is yesterday’s % change chart, only close up.  I’ve laid an S/R band on top of the chart and we see clearly defined reversal thresholds at +/- 1.5% for SPY.  These are really short term trades probably best played close to close for 1 day or maybe [...]

This is a closer look at the difference in daily % price gain or loss for SPY versus Mosaic and it gives a picture of how the dynamic portfolio controls volatility.  This chart only extends over the last year and, as you might expect, the SPY gets a whole lot wilder as the time frame [...]

Here’s something you don’t see everyday…bonds and equities are both positive.  This is a little real time tool that I created in TC2000 to monitor what’s going on with Mosaic’s  market neutral skew.  Most of the time I just look at it EOD as it’s helpful in confirming the MRSI and impending VIXEN signals. While [...]

As of the first hour of trading it looks like our decision to hold off following the MRSI signal to LONG SPY and QQQ was a smart move.  At the same time the MRSI issued a CLOSE (not SHORT) signal on TLT at yesterday’s close…a signal we did follow.  While a new bullish bond paradigm [...]

I mentioned a possible new bond paradigm and today’s action helps build my case.  TLT hit 130.61 early today, outpacing the previous June 1 high of 130.38.  And, as suspected TBT has fallen off it’s previous support ledge to a new all time low of 14.46.  What’s important here (I think) is the position of [...]

The _Gorilla commented on my choice of words to differentiate between the relative attractiveness of the Qs versus SPY and I admit that my concept of “volatility” is perhaps a bit unique.  Volatility is typically defined as the variation in price over time  and in and of itself is inherently neither good or bad…daytraders seek [...]

With TBT breaking below 15 we may be looking at a new bond paradigm and the next few days require close attention for risk savvy traders (and investors). The simple chart above shows yearly data for TLT (shaded area) versus the big 4 equities.  Notice anything different from 03-06 versus 08-11?  Bonds have reacted significantly [...]

TBT did break 15 and TLT continues to churn higher.  Short term the TLT Vixen divergent pattern set up on June 5th for a new leg up on TLT, which is where we are today.  It was funny to listen to Bill Gross on CNBC today after the FED minutes were released.  He was asked [...]

Several Mosaic comments related to the apparent concentration of capital into various bond ETFs and questioned the long term stability of such a skew. A good question that deserves a reasoned respond before you dump your money into a market neutral model like Mosaic.  First, my own question. Here’s a look back to late 2007 [...]

This is another view of how the composite VIXEN indicator works with the 3 Finger components.  White line is TLT while the shaded area is the blended VIXEN confirmation signal.  The yellow arrow shows a nice BULL signal for equities back on March 9th and the yellow oval shows the consensus BEAR signal for equities [...]