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Blog Archives
iM Update – May 16, 2014
Posted in pmp free update
Hedging Best(SPY-SH), Best Combo3, Best(SPY-Cash) or SPY with the Best(Short) Large-Cap
Demonstrating the effect of hedging by using various percentages of the long portfolio value. The simulation is for the period Jan-2-2000 to April-1-2014.
iM Update* – May 9, 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 near 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.
The yield curve model shows the generally steepening trend of the 10-year and 2-year Treasuries yield spread. Figure 5 charts (i10 – i2). The general trend is up, as one can see, although the yield curve has flattened recently. 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.
Posted in pmp paid update
iM-Best(Short) Large-Cap System
This model is intended to be used hedging long market exposure, not as a stand-alone model. It periodically holds a maximum of 5 short positions of large-cap stocks. The model was backtested from Jan-2-2000 to May-4-2014 on the Portfolio123 simulation platform as a stand-alone-model and would have provided an annualized average return of 26.5% with a max drawdown of -22.7% over this period.
Best(SPY-SH) and Combo3 – 5/5/2014
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 7 days, and showing 1.27% return to5/5/2014
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Posted in pmp SPY-SH
Monthly April 2014
The unemployment rate recession model has been updated with the April UER of 6.3%.
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Posted in month free
iM Update* – May 2, 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 near 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.
The yield curve model shows the steepening trend of the 10-year and 2-year Treasuries yield spread. Figure 5 charts (i10 – i2). The general trend is up, as one can see, although the yield curve has flattened recently. 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.
Posted in pmp paid update
Best(SPY-SH) and Combo3 – 4/28/2014
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 0 days, and showing 0.21% return to 4/28/2014
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Posted in pmp SPY-SH
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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