Tracking Portfolios at Year-End 2007
Trades in these systems are tracked live, with moves and analysis announced before action is taken, and the systems are mechanical in nature. Returns for each system are reviewed in a staggered, four-week schedule. This year-end post will serve as a benchmark for 2008 system performance.
Information on these systems is as of the close on December 31, 2007, and includes dividends paid through that date.
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. Timing was initiated on November 12, 2007 with a hypothetical tracking value of $100,000. It is at $101,333.64 at year-end.
Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market's risk profile. Fundamental was initiated on November 12, 2007 with a hypothetical tracking value of $100,000. It is at $105,583.88 at year-end.
Rotational combines component rotation and asset class rotation to hold a small basket of ETFs or ETNs, selecting the handful with the most momentum from a representative sampling of classes and components. Rotational was initiated on November 19, 2007 with a hypothetical tracking value of $100,000. It is at $101,615.86 at year-end. Generally speaking, my personal trades are currently being tracked with this system, although portfolio weights and timing of entries/exits may vary.
Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves have relatively low correlation. Aggressive was initiated on November 26, 2007 with a hypothetical tracking value of $100,000. It is at $100,807.71 at year-end.