Wed 30 Nov 2011

Automatic 7 Allocation for December 2011

Posted by Ed Mamula under Narratives , TAA

Never a dull day, eh? As of last night, the system was prepared to drop gold and get more defensive. Thanks to coordinated central bank intervention on this final day of November, the models have shifted into a more aggressive stance…and not only that, it is a photo finish yet again on whether or not to include gold.  I decided to leave it in, since the alternative was to hold two asset classes (small cap US stocks — IWM; US Treasuries — IEF) instead of three.

So, for December 2011, the model portfolio allocations are:

  • Automatic 7 (aggressive, leveraged): 55% IEF / 18% GLD / 50% IWM
  • Mom and Pop (conservative) : 53% IEF / 12% GLD / 35% IWM

I will continue to trade the “Automatic 7″ variety in my personal account.

Now my account is so small that I don’t even deserve to be called a small fish.  I am a plankton on the ocean.  I do wonder though to what extent this coordinated action was timed such that it would persuade the bigger fish and momentum chasers to jump in and start talking about the fabled Santa Claus rally.

Tue 29 Nov 2011

Automatic 7 TAA Results for October 2011

Posted by Ed Mamula under Narratives , TAA

Well, better late than never…here is the updated performance table through the end of October.  With one trading day to go in the month of November, both A7 and Mom and Pop show modest gains for the month.  And as usual, anything can happen on the last day of the month, but preliminary indications for December are that A7 will sell out of it’s gold position and go to some combination of IEF and cash.  Final allocation for December will be posted tomorrow afternoon, followed shortly thereafter by November’s results.  I have been trading A7 live for 12 months now, and barring disaster tomorrow, it will show a profit in excess of 20%.  Not too bad!

Growth of $1
Month A7 M&P Msci MEFA MEFC 50/50 GTAA VT
12/2010 1.073 1.030 1.017 1.050 1.032 1.016 1.046 1.077
1/2011 1.103 1.043 1.006 1.080 1.047 1.028 1.049 1.092
2/2011 1.146 1.063 1.036 1.117 1.067 1.045 1.077 1.124
3/2011 1.163 1.073 1.020 1.137 1.069 1.044 1.072 1.123
4/2011 1.206 1.101 1.070 1.185 1.089 1.069 1.111 1.172
5/2011 1.183 1.094 1.055 1.150 1.076 1.076 1.082 1.145
6/2011 1.154 1.081 1.039 1.131 1.058 1.064 1.060 1.130
7/2011 1.172 1.098 1.069 1.132 1.060 1.071 1.059 1.106
8/2011 1.253 1.110 1.082 1.160 1.092 1.066 1.005 1.025
9/2011 1.242 1.106 1.021 1.152 1.098 1.041 0.978 0.916
10/2011 1.209 1.092 1.027 1.129 1.088 1.091 0.981 1.019
Current DD 3.6% 1.7% 5.0% 4.7% 0.9% 0.0% 11.7% 13.1%
Returns A7 M&P Msci MEFA MEFC 50/50 GTAA VT
Last Month -2.7% -1.3% 0.6% -2.0% -0.9% 4.8% 0.3% 11.3%
Year to Date 12.6% 6.0% 1.0% 7.6% 5.5% 7.4% -6.2% -5.4%

 

Systems / Benchmarks:

A7  (Automatic 7 – EdMamula.com aggressive)

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

Msci (MarketSci TAA)

MEFA / MEFC (MyETFHedgeFund.com A=Agressive C=Conservative)

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)

MyETFHedgeFund results up to and including May 2011 are a backtest result

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