Everything seems nice and shiney! Cleveland FED seems most pessimistic, I am keeping score of all three in my internal market timing score.
Total put-call ratio is 1.04 while EMA120 is 0.98 – which means market is bearish. Historically when total put/call ratio EMA120 was 1.0 corrections of 10-20% or more happened.
The momentum in ZIV is going a bit down meaning more volatility. I will probably reduce my holding in ZIV and go for HACK instead.
Both SPY and QQQ are ranging and the action is happening in the sectors instead.
Below list have been sorted using minimum correlation value, 3 month momentum and minimum volality. Also ETFs with negative 12 month return have been dropped.
Fred Piard at seekingalpha has written about his thoughts on having a buy-and-hold part of his portfolio even though he considers himself a dynamic investor.
Now for his ALFA-FXG-FXH-PJP part I have created a backtest from 31, May, 2012 using quantopian with yearly rebalancing.
Benchmark (SPY) gives total 69.19% return while the above gives 119.6% return which is approximately 19% per year. Not bad but then again this is in the bullmarket.
Biotech and healthcare have given excellent returns in the last few years and probably will outperform SPY in the future.
This is an easy way to beat SPY with no doing on your part.
Please note that currently as of today the co-direction values of ALFA-FXH, ALFA-PJP are 0.69 and 0.67 respectively meaning we are roughly investing in the same moves up and down. This could however change if the holdings of the ETFs change.
Personally I try to minimize the co-direction values in order to diversify my portfolio.