Timing Portfolio -0.64% in Last 4 Weeks

By: | Sun, Dec 30, 2007
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Timing attempts to provide market equivalent returns over the long term, with a substantial reduction in variability of returns. The two components of the Timing program are EZ+Macro and Fear/Greed. This system trades rarely and splits its allocations between ETFs tracking the S&P 500, the intermediate-term U.S. Treasuries, and cash.

Information is as of the close on December 28, 2007.


EZ Trend is up, therefore the EZ+Macro portion of Timing is long stocks.

Macro Trend is bullish for Treasuries. This would come into play only if the EZ Trend was not up.


The Fear/Greed model signaled a buy for the U.S. stock market in early November, and a sell just over a week ago, as the $VIX relative to actual volatility fell to a historically low level. The current level of sentiment, despite current events, is closer to complacency than it is to fear. This is a tough model to follow, as it demands a buy and hold when fear is high and most people would like to sell. Currently the levels of Fear/Greed are very low. In the scale of the chart, 80% of the readings since 1990 have been between the red and green lines.

Model Allocation

Based on beginning with a $100,000 portfolio at inception.

S&P 500 SPDRs (SPY) - 49.8%
iShares 7-10 Year Treasury Bond Fund (IEF) - 0.0%
Cash - 50.2%


Based on beginning with a $100,000 portfolio at inception.

Equity: $101,708.60
Gain, Last 4 weeks: -0.64%
Gain, Since Inception: +1.71%

This gain includes a recent SPY dividend of $0.775 per share.

Changes To Model Allocation

There are no changes to model allocation from the last message on December 20, 2007.

S&P 500 SPDRs (SPY) - 50.0%
iShares 7-10 Year Treasury Bond Fund (IEF) - 0.0%
Cash - 50.0%


No changes to model allocation.



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