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Marketocracy ETF Portfolio: April 12, 2008

Posted April 12th, 2008 by Michael J Bomma...

Marketocracy, in their own words, is:

"""Marketocracy Data Services is a research company whose mission is to find the best investors in the world and then track, analyze, and evaluate their trading activity. The company's affiliate, Marketocracy Capital Management, is the investment advisor for the Marketocracy family of mutual funds and uses the research generated by Marketocracy Data Services."""

This isn't an endorsement for Marketocracy, but last October, I started a portfolio there as part of the activities for a club here at the University of Michigan.  While I'd originally intended it to be allocated strictly from the Select Sector SPDR ETFs, Marketocracy rules led me to increase the scope of the fund to include commodities, currencies, and geography-based ETFs.

You can view the portfolio performance at this link: www.marketocracy.com/cgi-bin/WebObjects/Portfolio.woa/ps/FundPublicPage/source=DeDoDkLbEhAdLcIhMaKiAbDd

Mine m100 S&P 500 DJIA Nasdaq
  RETURNS S&P500 RETURNS RETURNS VS S&P500
Last Week  -1.80% -2.69% 0.88%
Last Month  3.36% 1.98% 1.39%
Last 3 Months  0.42% -4.36% 4.78%
Last 6 Months  -2.34% -13.76% 11.42%
Last 12 Months  N/A N/A N/A
Last 2 Years  N/A N/A N/A
Last 3 Years  N/A N/A N/A
Last 5 Years  N/A N/A N/A
Since Inception  -1.63% -12.48% 10.85%
(Annualized)  -3.08% -22.38% 19.31%

 

 

 

 

 

 

 

 

 

 

My largest positions at the moment are DUG @ 14%, SHV @ 11%, UPW @ 7%, and EWA @ 5%.  I doubled my exposure in DUG, the double short Oil & Gas fund, this week as it hit a new 52-week low, despite downgrades in both the funds' constitutents and projected consumption.  I'll be looking to lighten the position in the short-term treasuries SHV in the coming month for bottom plays, possibly in the double long financials ETF UYG or some mixture of country ETFs.

ETF Market Summary: Week Ending June 15th 2007

Posted June 16th, 2007 by Michael J Bomma...

    On the week, 21 of 26 categories ended up.  Of these 21 categories, 17 ended up at least 1%, with the largest gains seen in Russia, Latin America, and China.  Of those 5 categories that were in the red, only 2 were down more than 0.3% - short funds, on the wrong end of the market this week, and real estate funds, still plagued by the on-going subprime and rate worries.

    It's interesting as well to note that the categories with the highest correlation to the S&P after retail were Russia and MSCI.  Those with the lowest correlations after short funds were currency, convertible, and call-write funds, as is typically the case.

Dollar-Weighted Category Return

 

Category Day Week Month YTD Day $ Week Correlation to SPY
Short -1.46% -3.36% -4.69% -1.84% 1484 -87.48%
Real Estate 1.38% -1.03% -0.18% -0.08% 452 78.95%
Convertible 0.30% -0.32% -2.24% 0.02% 16 58.95%
Japan 0.91% -0.20% 2.38% 0.37% 243 78.41%
Retail 0.25% -0.05% 2.81% 2.07% 324 98.67%
Infrastructure 1.02% 0.15% -6.22% 5.65% 5 89.58%
Currency 0.44% 0.20% 0.83% 0.52% 22 34.88%
Call/Write 0.61% 0.46% 3.16% 2.25% 5 68.27%
Asia 0.81% 0.83% 1.08% 1.36% 26 88.08%
Consumer Goods & Services 0.40% 0.98% 1.09% 0.32% 172 75.78%
Healthcare 0.75% 1.04% -0.56% 0.92% 71 81.96%
Transports 0.43% 1.15% -0.61% 11.57% 68 92.41%
MSCI 0.81% 1.39% 1.33% 9.90% 377 96.58%
Commodities & Resources 0.67% 1.47% 0.79% 0.42% 332 71.76%
Mid Cap 0.67% 1.54% 2.39% 0.51% 901 86.57%
Dividend 0.92% 1.61% -0.84% 0.60% 62 92.87%
Large Cap 0.53% 1.74% 1.39% 0.38% 1884 90.72%
Small Cap 1.21% 1.81% 4.41% 0.24% 7668 77.82%
Biotech 1.32% 2.37% 1.75% 0.67% 169 88.89%
Europe 1.73% 3.09% 1.64% 0.46% 250 91.06%
Utilities 1.38% 3.58% -4.23% 0.75% 631 74.58%
Energy 1.51% 4.77% 6.58% 1.54% 1212 90.13%
Emerging Markets 2.26% 4.97% 4.93% 1.16% 2042 76.41%
China 2.40% 6.05% 6.17% 0.87% 538 83.60%
Latin America 2.33% 6.06% 7.51% 9.74% 78 89.87%
Russia 1.51% 6.06% 4.05% -6.44% 20 97.80%

ETF Market Summary: Week Ending June 8th 2007

Posted June 10th, 2007 by Michael J Bomma...

Dollar-Weighted Category Performance

    On the week's dollar-weighted performance, only 2 of 26 categories ended the week black - short funds and China funds, returning a respective 2.87% and 1%.  Another 3 categories ended the week only marginally red, falling at most 0.36% percent - currency funds, Japan funds, and broad Asia funds.

    The remaining 21 categories were down at least 1% (call/write) and, at worst, nearly 7% (infrastructure).  Of these categories, the average return was nearly 3% down.

    With the week at last done, there still does not seem to be a single non-psychological motivator for the broad market losses.  Both gold and oil ended the week down, but stock and bond market returns do not seem to match what we would expect in such a week. 

    One possibility I offer as a suggestion is that foreign investors, having enjoyed the past two months, view the current dollar strength as a local maximum.  The US Dollar Index, having dropped throughout the market rally, is believed by most to continue to decline in the medium-term.  Given this, then regardless of their investment type, the current dollar high would provide them the best return after conversion to their home currency, thus explaining an otherwise unexplainable lack of historical correlation between asset classes.

Sector Day Week Month YTD Day $ Week Correlation to SPY
Infrastructure 2.15% -6.79% -4.30% 5.67% 5 94.81%
Utilities 0.76% -5.52% -6.26% 0.50% 877 89.42%
Latin America 2.61% -4.28% 5.79% 7.28% 111 98.16%
Transports 1.46% -3.82% -0.33% 10.30% 161 96.55%
Europe 1.26% -3.57% 1.05% 0.34% 273 96.52%
Commodities & Resources -1.57% -3.48% -1.92% 0.31% 700 9.22%
Real Estate 1.48% -3.31% -3.01% -0.04% 527 77.09%
Emerging Markets 1.77% -3.07% 2.71% 0.74% 1843 83.71%
Dividend 0.98% -2.88% -1.04% 0.44% 58 83.73%
Biotech 0.77% -2.80% -0.60% 0.22% 269 92.96%
Russia 1.42% -2.76% -2.09% -8.86% 9 97.60%
Healthcare 0.40% -2.49% -0.72% 0.80% 87 90.49%
Mid Cap 1.32% -2.38% 1.22% 0.44% 1148 95.66%
MSCI 1.09% -2.31% 1.05% 8.39% 412 97.78%
Convertible 0.63% -2.30% -2.27% 0.04% 22 58.30%
Small Cap 1.30% -2.19% 1.54% 0.18% 7887 81.62%
Consumer Goods & Services 1.09% -2.05% 0.89% 0.25% 110 82.23%
Large Cap 1.23% -1.91% 1.45% 0.31% 2974 96.27%
Retail 1.11% -1.46% 2.37% 2.09% 370 95.01%
Energy 0.42% -1.46% 6.46% 1.20% 1483 70.09%
Call/Write 0.46% -0.96% 1.62% 2.08% 4 74.01%
Asia 1.24% -0.36% 1.27% 1.27% 36 80.25%
Japan 0.48% -0.15% 1.53% 0.38% 240 76.60%
Currency -0.22% -0.10% 0.76% 0.48% 45 30.22%
China 2.52% 0.99% 6.15% -0.13% 420 86.71%
Short -2.50% 2.87% -2.10% -1.47% 2086 -95.33%

ETF Market Summary: Thursday May 24th, 2007

Posted May 25th, 2007 by Michael J Bomma...

Dollar-Weighted ETF/CEF Category Return

Sector Day Week Month YTD Day $ Week Correlation to SPY
Latin America -3.22% -2.24% 3.96% 5.83% 92 84.55%
Russia -2.98% -3.50% -8.40% -8.81% 21 78.36%
China -2.83% -4.77% 0.78% -0.94% 708 71.77%
Emerging Markets -2.40% -1.86% 0.05% 0.58% 2260 71.14%
Utilities -2.30% -3.42% -2.43% 0.81% 776 71.43%
Asia -2.19% -2.34% -0.74% 0.98% 60 55.23%
Energy -1.83% -0.14% 3.85% 1.07% 1937 75.77%
Mid Cap -1.67% -0.13% -0.04% 0.40% 1174 78.47%
Infrastructure -1.61% -5.18% -1.50% 7.65% 5 75.45%
Real Estate -1.59% -1.68% -7.62% -0.15% 995 11.61%
Europe -1.40% -0.02% -0.09% 0.38% 182 79.40%
Commodities & Resources -1.35% -0.40% -3.12% 0.33% 535 63.87%
Small Cap -1.33% 1.44% -1.09% 0.15% 8310 59.35%
Transports -1.33% -1.64% -0.86% 10.42% 42 78.18%
Dividend -1.32% -1.10% -0.08% 0.57% 45 66.53%
Biotech -1.20% 0.35% -4.25% 0.34% 106 58.96%
MSCI -0.96% -0.06% 0.08% 8.39% 483 86.22%
Call/Write -0.91% -0.38% -1.62% 1.23% 5 45.74%
Convertible -0.72% -0.67% -0.25% 0.21% 20 44.14%
Consumer Goods & Services -0.69% 0.05% -0.56% 0.25% 166 78.62%
Large Cap -0.65% -0.16% 2.47% 0.32% 4093 91.94%
Japan -0.53% 0.31% -0.98% 0.10% 304 15.57%
Currency -0.45% -0.23% -0.51% 0.40% 22 48.16%
Healthcare -0.41% 0.48% 0.57% 1.05% 89 70.94%
Retail 0.22% 1.03% -1.44% 1.45% 610 52.94%
Short 2.63% 0.62% 1.78% -1.24% 2062 -70.96%

Reply to Random Roger's "Week of May 13th" - Rainy Day Funds, Just In Case

Posted May 12th, 2007 by Michael J Bomma...

    I was watching Roger Nusbaum's look ahead into next week and his advice really struck a chord with my current feelings.  Maybe I'm just stubbornly cautious, but how some people justify large weights for non-speculative portfolios in volatile sectors, countries, or industries is beyond me.  I decided to focus on options for each of the categories he mentioned, so here's the break down of the ETFs/CEFs that I'm going to look at.

    The following table summarizes a number of parameters.  All numbers are calculated with the adjusted close over the intersection of the symbols' ranges to be fair - that is, if one of the funds has traded over 50 sessions only, the funds are only compared over those 50 sessions. 

The Fed's Latest Decision and Momentum in the House: What It Means for ETFs

Posted May 9th, 2007 by Michael J Bomma...

    As the Fed released their latest statement in the last hour, markets have responded cautiously, quickly dropping below the morning open but slowly climbing back to previous intraday levels. Though the continued mention of inflation concerns is not surprising, this likely rules out any rate drop in the near future.  Without this rate drop, the stock market will likely need to find fresh momentum elsewhere.

United Kingdom ETF and the Pound: How to Play the Currency Trend

Posted April 22nd, 2007 by Michael J Bomma...

    As Carl Delfeld at ETF XRAY and Tom Lydon at ETF Trends have recently discussed, the pound has appreciated considerably in recent months as a result of persisting inflation in the British economy.  Although the results of such currency appreciation can be mixed depending on trade deficit in an economy, the general consensus has been that this should provide an overall boost to the ETF's holdings despite a trade deficit of approximately 4.3 billion pounds.  In order to better determine the historical relation between the Pound and the iShares MCSI UK Index, I have analyzed the return correlation of a number of relevant variables.