Updates for the Week: 12-19-2014

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Most Recent Updates

Model Performance Tables: Dec 16, 2014

Business Cycle Index: Dec 18, 2014

Weekly Macro Signals: Dec 19, 2014

Monthly Update: Dec 5, 2014

December 15, 2014

iM-Best Holdings

12/15/14 Combo3 holds SH, XLV and TLT

The Best(SSO-TLT) sells SSO and Buys TLT

iM-Best (ETF) Holdings
Date SPY-SH Sec. SPDR SSO-TLT
12/15/14 SH XLV TLT
12/08/14 SH(* Note) XLV SSO
12/01/14 SH XLV SSO
11/24/14 SH XLV SSO
11/17/14 SH XLV SSO
11/10/14 SH XLV SSO
11/03/14 SH XLV SSO
10/27/14 SH XLV SSO
10/20/14 SH XLV SSO
10/13/14 SPY XLV SSO
10/06/14 SPY XLV TLT
09/29/14 SPY XLV SSO
09/22/14 SPY XLV SSO
09/15/14 SPY XLV SSO
09/08/14 SPY XLV SSO
09/02/14 SPY XLV SSO
08/25/14 SPY XLV SSO
08/18/14 SPY XLV SS0
08/11/14 SPY XLV SSO
08/04/14 SPY XLV TLT
07/28/14 SPY XLV SSO
07/21/14 SPY XLV SSO
07/14/14 SPY XLV SSO
07/07/14 SPY XLV SSO
06/30/14 SPY XLV SSO
06/23/14 SPY XLV SSO
06/16/14 SPY XLV SSO
06/09/14 SPY XLV SSO
06/02/14 SPY XLV SSO
05/27/14 SPY XLV SS0
05/19/14 SPY XLV SSO
05/12/14 SPY XLV SSO
05/05/14 SPY XLV SSO
04/28/14 SPY XLV SSO
04/21/14 SH XLV SSO
04/14/14 SPY XLV TLT
04/07/14 SPY XLV SSO
03/31/14 SPY XLV SSO
03/24/14 SPY XLV SSO
03/17/14 SPY XLV SSO
03/10/14 SPY XLV SSO
03/03/14 SPY XLV SSO
02/24/14 SPY XLV SSO
02/18/14 SPY XLV SSO
02/10/14 SPY XLV TLT
02/03/14 SPY XLV SSO
01/27/14 SPY XLV SSO

 

12/15/14 iM-Best(Short) shorts MBLY; covers ADBE, 80% not allocated.

Date iM-Best(Short) Positions
12/15/14 UA
12/08/14 MBLY
12/01/14 ADBE
11/24/14 MGM
11/17/14
11/10/14 SBAC
11/03/14 AMZN
10/27/14 CHTR CRM
10/20/14 EQIX
10/13/14 BXP KIM O
10/06/14
09/29/14 CCI WMB
09/22/14
09/15/14
09/08/14
09/02/14 TSLA
08/25/14 TRIP
08/18/14 VRTX
08/11/14
08/04/14 —-
07/28/14 CRM MGM
07/21/14
07/14/14 SPG
07/07/14 AMZN LNKD
06/30/14 CHTR EQR
06/23/14 INCY O
06/16/14 CRM EQIX
06/09/14
06/02/14 RRC UA
05/27/14 VRTX
05/19/14 TSLA VTR
05/12/14 LNKD
05/05/14 AMZN CCI SBAC
04/28/14 CHTR
04/21/14 RRC TWTR

 

12/15/14 iM-Best12(USMV)-July no change from previous week.

Date iM-Best12(USMV)-July Positions
12/15/14 positions remain unchanged since 6/30/14
6/30/14
Inception
BBBY CAH CVS DG EBAY LMT
LUV MDT PCP ROST SNPS TRV

 

12/15/14 iM-Best12(USMV)-October no change from previous week.

Date iM-Best12(USMV)-October Positions
12/15/14 positions remain unchanged since 9/29/14
9/29/14
Inception
AZO CAH DG DLTR EBAY ESRX
LUV MMM PCP PRE SNPS Y

12/15/14 iM-Best12(USMV)-Trader .
updated on Tuesdays

Date iM-Best12(USMV)-Trader Positions
12/15/14
Holdings
LMT QCOM PETM EBAY TJX UNH
DG UNP MMC HRL SNPS Y
12/15 BUY LMT PETM
12/15 SELL LH NLSN
12/1 BUY DG UNP HRL
12/1 SELL SHW UPS ROST
11/17 BUY QCOM LH UPS ROST
11/17 SELL LUV DLTR PCP BBBY
11/03 BUY NLSN UNH SHW
11/03 SELL LMT FIS CAH
10/20 BUY TJX
10/20 SELL ESRX
10/6 BUY BBBY PCP
10/6 SELL DG ROST
9/22 BUY ESRX FIS
9/22 SELL AMGN PCP
9/8 BUY LMT
9/8 SELL WLP
8/25 BUY AMGN DLTR WLP Y
8/25 SELL ACT BBBY MDT TRV
8/11 BUY ACT MMC
8/11 SELL CVS RAI
7/28 BUY RAI
7/28 SELL LMT
6/30/14
Inception
BBBY CAH CVS DG EBAY LMT
LUV MDT PCP ROST SNPS TRV

12/15/14 iM-Best10(VDIGX)-Trader .
updated on Tuesdays

Date iM-Best10(VDIGX)-Trader Positions
12/15/14
Holdings
ACE AMGN CB HON LMT
MAT PNC SLB TJX UNH
Holdings
12/8/14
ACE AMGN CB HON LMT
MAT PNC SLB TJX UNH

 

 

December 15, 2014

Fig-1.(SPY-SH)-12-16-2014 The iM-Best(SPY-SH) model currently holds SH, so far held for a period of 56 days, and showing -5.84% return to 12/15/2014. Over the previous week the market value of Best(SPY-SH) gained 3.44% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $378,463 which includes $3 cash and excludes $11,411 spent on fees and slippage.
Fig-2.Combo3-12-16-2014
The iM-Combo3 portfolio currently holds SH, XLV, and TLT so far held for an average period of 123 days, and showing a 4.58% return to 12/15/2014. Over the previous week the market value of iM-Combo3 gained -2.08% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $118,528 which includes $1,696 in cash and excludes $874 in fees and slippage.
Fig-3.(Short)-12-16-2014
The iM-Best(Short) portfolio currently has 1 short positions. Over the previous week the market value of Best(Short) gained 2.20% at a time when SPY gained -3.44%. Over the period 1/2/2009 to 12/15/2014 the starting capital of $100,000 would have grown to $110,508 which is net of $16,358 fees and slippage.
 Fig-4.Best10-12-16-2014
iM-Best10(S&P 1500) portfolio currently holds 10 stocks, 1 of them winners, so far held for an average period of 27 days, and showing combined -0.29% average return to 12/15/2014. Over the previous week the market value of iM-Best10(S&P 1500) gained -7.01% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception of 1/2/2009 would have grown to $785,146 which includes $944 cash and excludes $59,126 spent on fees and slippage.
Fig-5.USMV06-12-16-2014 Fig-5.1.USMV06-12-16-2014
The iM-Best12(USMV)-July-2014 Currently the portfolio holds 12 stocks, 11 of them winners, so far held for an average period of 168 days and showing combined 18.84% average return to 12/15/2014. Since inception, on 6/30/2014, the model gained 19.23% while the benchmark SPY gained 2.36% and the ETF USMV gained 6.77%ver the same period. Over the previous week the market value of iM-Best12(USMV)-July gained -1.26% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 6/30/2014 has grown to $119,230 which includes $107 cash and $100 for fees and slippage.
Fig-6.USMV10-12-16-2014 Fig-6.1.USMV10-12-16-2014
The iM-Best12(USMV)-October-2014 Currently the portfolio holds 12 stocks, 11 of them winners, so far held for an average period of 77 days, and showing combined 10.34% average return to 12/15/2014. Since inception, on 9/29/2014, the model gained 10.53% while the benchmark SPY gained 0.99% and the ETF USMV gained 5.30% over the same period. Over the previous week the market value of iM-Best12(USMV)-October gained -1.63% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 9/29/2014 has grown to $110,532 which includes $133 cash and $100 for fees and slippage.
Fig-7.USMVtrade-12-16-2014
Fig-7.1.USMVtrade-12-16-2014
The iM-Best12(USMV)-Trader Currently the portfolio holds 12 stocks, 10 of them winners, so far held for an average period of 61 days, and showing combined 5.65% average return to 12/15/2014. Since inception, on 6/30/2014, the model gained 19.80% while the benchmark SPY gained 2.36% and the ETF USMV gained 6.77% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.64% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 6/30/2014 has grown to $121,803 which includes $2,153 cash and $578 for fees and slippage.
Fig-8.VDIGXtrade-12-11-2014
Fig-8.1.VDIGXtrade-12-16-2014
The iM-Best10(VDIGX)-Trader Currently the portfolio holds 10 stocks, 7 of them winners, so far held for an average period of 136 days, and showing combined 10.16% average return to 12/15/2014. Since inception, on 6/30/2014, the model gained 11.79% while the benchmark SPY gained 2.36% and the VDIGX gained 3.48% over the same period. Over the previous week the market value of iM-Best10(VDIGX)-Trader gained -2.66% at a time when SPY gained -3.44%. A starting capital of $100,000 at inception on 6/30/2014 has grown to $111,795 which includes $16 cash and $255 for fees and slippage.

 

December 18, 2014

Business Cycle Index

BCI-12-18-2014The BCI at 184.9 is unchanged from last week’s downwards revised 184.9. No recession is signaled by both the derived indicators; BCIg, expressed to one decimal place at 20.7 is down from last week’s 21.3, and BCIp at 88.3 indicates that, for this business cycle, BCI is slightly down from its previous peak.

 

December 19, 2014

Market Signals Summary:

The IBH stock market model is out of the market. The MAC stock market model is invested, The recession indicator COMP is up from last week’s revised level, and iM-BCIg is downfrom last week’s level. MAC-AU is out of the market. The bond market model avoids high beta (long) bonds, the yield curve has long-term steepening trend, both the gold and silver model are invested.

 

Stock-markets:

Fig-1.-12-19-2014 The IBH-model is out of the market as shown in Fig. 1. A Sell A signal was generated 25 weeks ago. The IBH-model is described here and the latest rules can be found here .

 

 

 

Fig-2.-12-19-2014The MAC-US model stays invested. MAC-US Fig 2 shows the spreads of the moving averages. The sell-spread is up from last week’s level. A sell signals is not imminent. The sell spread (red graph) has to move below the zero line for a sell signal.

 

 

 

Fig-2.1-12-19-2014The MAC-AU model is out of the market, although it may be very close to a sell signal. A sell signal was generated on Nov-25. The model switched to interest bearing instruments. MAC-AU Fig 2.1 shows the spreads of the moving averages of the Australia All Ordinaries Index. The sell-spread is lower than last week’s level. The sell spread (red graph) has moved below the zero line for a sell signal. A buy signal will only be generated when the buy-spread (green graph) moves from below to above zero

This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.

 

Recession:

Fig-3.-12-19-2014

In Fig. 3 one can see that COMP is higher from last week’s level, and far away from signaling recession. COMP can be used for stock market exit timing as discussed in this article The Use of Recession Indicators in Stock Market Timing.

 

 

Fig3.1-12-19-2014Fig. 3.1 shows our recession indicator iM-BCIg, is downfrom last week’s revised level. A recession is not imminent as one can clearly see.

Please also refer to the BCI page

 

Bond-market:

Fig-4.-12-19-2014

The BVR-model avoids high beta bonds (long-bonds) and also intermediate duration bonds.

The Bond Value Ratio is shown in Fig 4. The BVR is up from last week’s level. According to the model, only when BVR turns upward after having been lower than the lower offset-line should one consider long bonds again.

One can see by the upward sloping graph that long bonds gained from January 2014 onward. The model failed to signal the lower turning point of BVR.

 

The Yield Curve:

Fig-5.-12-19-2014The yield curve model shows the generally steepening trend from mid 2012 of the 10-year and 2-year Treasuries yield spread. Figure 5 charts (i10 – i2). Although the curve has flattened from the beginning of 2014, the general trend from middle of 2012 is up. FLAT and STPP are ETNs. STPP profits from a steepening yield curve and FLAT increases in value when the yield curve flattens. This model confirms the direction of the BVR..

 

Gold:

Fig-6.-12-19-2014The modified Coppock Gold indicator shown in Fig 6. and is now invested.

This indicator is described in Is it Time to Buy Gold Again? – Wait for the buy signal ……. 

 

 

Silver:

Fig-7.-12-19-2014The modified Coppock Silver indicator shown in Fig 7 and is currently invested.

This indicator is described in Silver – Better Than Gold: A Modified Coppock Indicator for Silver. 

 

 

Monthly Updates

December 8, 2017

Unemployment

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The Dynamic Linearly Detrended Enhanced Aggregate Spread:

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Coppock Indicator for the S&P500

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CAPE-Cycle-ID

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Fig-9a-12-8-2017Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE.  A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.

 

 

Trade Weighted USD

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TIAA Real Estate Account

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