Author Archives: Scalper1

2015 Asset Class Performance — Indexes, Sectors, Bonds, Commodities, Countries And Currencies

Monday marks the first day of trading in 2016, but before moving on, below is a look at the performance of various asset classes (price change, not total return) for the full year 2015 using key ETFs traded on U.S. exchanges. While December ended up solidly in the red for U.S. equities, if it weren’t for a strong Q4, major indices would have finished much deeper in negative territory than they did. Growth ETFs outperformed value ETFs by a wide margin in 2015, while large-caps outperformed small-caps as well. Looking at the ten S&P 500 sectors, we saw gains for Consumer Discretionary, Consumer Staples, Health Care and Technology, and losses for Financials, Industrials, Materials, Telecom and Utilities. Energy was in its own category altogether with a decline of 23.8%. For two years in a row now, the Energy sector has underperformed the S&P 500 by more than 20 percentage points. That has only happened to a sector versus the market five other times. Outside of the U.S., Brazil finished down the most with a decline of 43.45%. Canada was actually the second worst of the country ETFs shown with a decline of 25.5%. Japan was the biggest gainer at +7.83%. The broad commodities ETF ended 2015 down 27.59%, led lower by oil and natural gas. Gold and silver didn’t help either, though, as both fell 10%+. Finally, Treasury ETFs all closed lower than where they started the year, although on a total return basis they were slightly positive. Best of luck to all for a prosperous 2016!

Tactical Asset Allocation – January 2016 Update

Happy New Year everyone! Time to start fresh again in 2016. Here is the first tactical asset allocation update for 2016. As I mentioned last month, I am now using a new data source for the portfolio updates and also going to use a slightly different format for these monthly updates. I will also maintain the old portfolio formats, in Yahoo Finance, for a while. Here is the link to the Yahoo data. Let’s dive right in. Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here . The big change here is the use of FINVIZ data and more importantly that these signals are valid after every trading day. So, while I’ll maintain these month-end updates this means that you can implement your portfolio changes on any day of the month, not just month-end. FINVIZ will at times generate signals that are slightly different than Yahoo Finance (due to the use of month-end vs. weekly data). Click to enlarge The AGG3 portfolio is invested in Vanguard REIT Index ETF (NYSEARCA: VNQ ) and iShares MSCI USA Momentum Factor Index ETF (NYSEARCA: MTUM ) and so is the AGG6 portfolio. That means the AGG3 portfolio is 33% in cash and the AGG6 portfolio is 66% in cash. For the Antonacci dual momentum GEM and GBM portfolios, GEM is in SPY and the bond portion of GBM is in cash. I’ve also made my Antonacci tracking sheet shareable so you can see the portfolio details for yourself. Here is the data. Click to enlarge Performance data for 2015 is presented below for the various portfolios I track. The only portfolio I don’t have data for is the GTAA13 portfolio. I’m working on that. Click to enlarge It was a tough year for any diversified portfolio. It was one of the worst in the last 30 years for any diversified portfolio. See here for a brief roundup. The 60/40 US-centric portfolio was the best performer with just a slightly positive return of 0.37%, which was below the performance of just being in 100% cash. The best proxy for the Global portfolio, GAA, returned -4.1% for the year. I’ll have more on 2015 portfolio performance as more data becomes available, but overall, it was a tough year worldwide for most asset classes. On another note, I’ve commented here before on the performance difference of the tactical portfolios when using monthly vs. 4-week rebalancing intervals. I’ve noted this difference in the table above for the AGG3, AGG6, and GTAA5 portfolios. For the AGG3 and AGG6 portfolios, the difference is quite significant. Whether it is the use of lower volume ETFs, the increased popularity of these portfolios, or something else entirely, trading in some other date besides month-end made a significant difference in 2015, for the better. That’s it for this month. These portfolio signals are valid for the whole month of January. As always, post any questions you have in the comments. For those into trend following research, there is a great beginning of the year research piece here . Enjoy!

Market Lab Report – Premarket Pulse 1/4/16

Brief update on VIX Volatility Model: The beta phase of the model has gone through various revisions with regards to implementation of fail-safes. Two final adjustments were made on the model’s signals of 12/15 and 12/17. The model appears set to go as of 12/23, so expect the beta phase to end shortly. In terms of profitability, the model was nicely profitable for 2015 and in all years going back to 2009 when backtesting began. This inspired its launch on the website in late August 2015. Unfortunately, the model experienced one of its worst drawdowns from 8/27/15 to 12/17/15 which was a blessing as the fail-safes were born which makes the model’s risk/reward far more robust.   Premarket Pulse 1/4/16 Major averages fell last Thursday on higher but well below average volume. The S&P 500 sits under major resistance while the NASDAQ Composite finished under its 50-dma but a breath above from its 200-dma. Chinese markets plummeted with the Shanghai Composite Index triggering its 7% circuit breaker which halted trading. China came in with soft manufacturing data and the People’s Bank of China devalued the yuan to a 4 1/2 year low as their economy continues to falter.  European markets are down over 2.5% at the time of this writing and U.S. futures are down more than 2%. March 2016 will mark the start of the seventh year this bull market which has actually been a stealth bear market as of 2015. Even though the Federal Reserve ended quantitative easing, QE from central banks around the world has tried to keep this aging bull alive. But leadership continues to narrow as only a select few stocks, mostly in technology, continue higher. Unsurprisingly, indices continue to diverge as the smaller cap Russell 2000, Dow Transports, and PHLX Semiconductors all greatly lag the other major indices. The Russell 3000 which comprises 98% of U.S. equities has also been lagging. It may therefore only be a matter of time before benchmark indices such as the S&P 500 and NASDAQ Composite also get pulled down. Indeed, each passing year becomes more challenging than the last as central banks paint themselves into a tighter and tighter corner. We sent out a weekend report covering some of the salient events of 2015 along with an update on the VIX Volatility Model. Though the future is never certain, the odds have never been greater that 2016 will be a year of greater volatility perhaps in the form of a most welcome bear market which may then launch the start of a new bull market. As we wrote over the weekend, volatility is our friend as it sets up opportunity for profits especially as concerns market timing as seen in 2000-2002, 2008, and 2011, all highly volatile years. So stay tuned for what’s to come. 2016 should be an exciting ride.