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Tue 31 Jan 2012

Automatic 7 Allocation for February 2012

Posted by Ed Mamula under Narratives , TAA

The allocations of all flavors of the Automatic 7 portfolio for February 2012 are below.  I continue to target the “Full Tilt” allocation in my taxable account, and I am following the “Smooth” allocation in my retirement accounts.  On balance, the systems are shifting away from IEF (US Treasuries) and into VWO (Emerging market stocks).    A7 Vanilla, which is a simple TAA benchmark system, is once again the notable exception, allocating 25% of assets to GLD (Gold), and remaining very defensive with 50% of assets in IEF.   January was a good month for practically everything, so it’s no surprise that all of these systems will show positive results.  Full results for January will follow in a separate post.

Feb-12 A7 Timid A7 Vanilla A7 Smooth A7 Classic A7 Plus A7 Full Tilt
IEF 39  50 8
IWM 31 50 50 46 100
EFA
VWO 12 17.5 21 35
DBC
VNQ 18 25 32.5 50 25 65
GLD 25
Cash
Total 100 100 100 100 100 200

*Corrected earlier typo in A7 Vanilla system; previously I showed 50% in IWM; this should have been 50% in IEF (the same as last month); error corrected 7:50PM 1/31/2012

Sat 31 Dec 2011

Automatic 7 TAA Results for December 2011

Posted by Ed Mamula under Narratives , TAA

Final update for 2011 using the “old” performance comparison table.  A7 was down 0.6% and Mom and Pop was down 0.05% in December.  For the full year, A7 was up 13.1% and Mom and Pop was up 6.8%.  Among the benchmark portfolios, the “50/50″ (50% SPY and 50% IEF) porfolio was up the most, at 9.1%, and I will note that while both A7 portfolios have been stuck in reverse or neutral since the end of August, the 50/50 portfolio is at a new equity peak at the end of the year.

Okay, so there’s a lot to be happy about and a lot to work on.  13.1% returns during year when SPY was flat, VT was down 7.5%, and GTAA was down 7.5% looks pretty good.  That being said, I think I can do a better job of following the system in 2012, and hopefully getting a higher return.  I can also leverage the R code over at Systematic Investor and do more testing of system variations more efficiently.

Growth of $1
Month A7 M&P Msci 50/50 GTAA VT
12/2010 1.073 1.030 1.017 1.016 1.046 1.077
1/2011 1.103 1.043 1.006 1.028 1.049 1.092
2/2011 1.146 1.063 1.036 1.045 1.077 1.124
3/2011 1.163 1.073 1.020 1.044 1.072 1.123
4/2011 1.206 1.101 1.070 1.069 1.111 1.172
5/2011 1.183 1.094 1.055 1.076 1.082 1.145
6/2011 1.154 1.081 1.039 1.064 1.060 1.130
7/2011 1.172 1.098 1.069 1.071 1.059 1.106
8/2011 1.253 1.110 1.082 1.066 1.005 1.026
9/2011 1.242 1.106 1.021 1.041 0.978 0.916
10/2011 1.209 1.092 1.027 1.091 0.981 1.019
11/2011 1.221 1.100 1.025 1.092 0.963 1.006
12/2011 1.214 1.100 1.011 1.108 0.968 0.996
Current Drawdown 3.2% 0.9% 6.6% 0.0% 12.8% 15.0%
Returns A7 M&P Msci 50/50 GTAA VT
Last Month -0.6% 0.0% -1.4% 1.5% 0.5% -1.0%
Year to Date 13.1% 6.8% -0.6% 9.1% -7.5% -7.5%

A7  (Automatic 7 – EdMamula.com aggressive)

M&P (Mom and Pop – EdMamula.com conservative)

Msci (MarketSci TAA)

50/50 – 50% SPY / 50% IEF

(GTAA) Cambria Global Tactical ETF

VT – Vanguard Total World Stock ETF

Notes:

Interactive Brokers Tier I USD Margin Interest rate applied to leveraged portfolios (A7)

 

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