Returns for the week ending 8/8/08
Strategic Growth Model (SGM) portfolio = -1.3%
Value of $10,000 invested at inception: $48,326
SGM holdings for next week (10 equal positions):
Holdings: GMXR BUCY CF KSU RIMM GHM DXPE SYUT ISYS BABY
SELL: ENS TITN POT MOS MEE
BUY: RIMM DXPE SYUT ISYS BABY
SGM portfolio is on a BUY signal, next week’s holdings:
Market Neutral...
use 2/3 of funds to buy equal positions in each of the ASM-10 holdings
use 1/3 of funds to buy TWM (2x inverse ETF – Russell 2000 index)
Posts
One word: ouch. If it's any consolation, my market neutral hedge has suffered severely as well. Do you have any insight into what is going on with your portfolios?
ReplyDelete@John, What's going on is that a historic commodities bubble is bursting. The portfolio benefited from the run-up and is now being hurt by the rotation out of commodity stocks. Not too worried though because the model is rotating funds into the new leaders in the ascendant sectors. The model's performance ebbs and flows based on sector rotation. Over time, staying fully invested, it will accummulate gains. In my own accounts my hedges have been more selective, to buffer the losses in the commodity stocks. The model however has continued to use TWM as the hedge so it is taking more heat since it has been correlated postively with the commododity stocks as they've declined.
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