Timing Still Risk-Averse

By: | Sun, Jan 27, 2008
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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 January 25, 2008.


My charts are relatively wide, and this site is best viewed at 1280×1024. If the chart is truncated in your browser, click on it to view it in full size.

EZ Trend is now down.

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


The Fear/Greed model signaled a buy for the U.S. stock market in early November, and a sell in December, as the $VIX relative to actual volatility fell to a historically low level. The current level of sentiment, despite current events, is still only about halfway between complacency and 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. 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) - 25.0%
iShares 7-10 Year Treasury Bond Fund (IEF) - 24.9%
Cash - 50.1%


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

Equity: $97,250.26
Gain, Last 4 weeks: -4.38%
Gain, Year to Date: -4.03%
Gain, Since Inception: -2.75%

Changes To Model Allocation

There are no changes to the model allocation since this previous message. It is listed below:

S&P 500 SPDRs (SPY) - 25.0%
iShares 7-10 Year Treasury Bond Fund (IEF) - 25.0%
Cash - 50.0%


There are no changes to track.


As mentioned earlier in the week, I believe a trade-able capitulation bottom has been reached. However, my intention with this site is to track mechanical systems, therefore the system will continue to follow its own signals and disregard my intuition and personal opinions.

My personal trading is disclosed on this site, and is currently most in line with the Rotational system.

I reserve, and confine, the right to exercise my opinion to my personal portfolio, and not to the system portfolios which I track here. They shall remain 100% mechanical.



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