March 2010 COP Report 4/12/2010
Investment Gang
Last month I mentioned that the COP momentum data was not really providing valuable information because the market was not actually showing any consistent momentum or trends. That was what you might call an eyeball assessment. This month I updated and ran the Research Model (which I had not done for several months) to see how the model handled investments in this period that I had commented about. I turns out that the model showed the same results as my concerns. Attached is a color coded chart of one part of the model’s output. Before you look at it let me explain the colors. Each cell represents one month for each of the 51 different asset classes. Think of the model as your investments. Where a month for a given asset class is blue, you are not invested. Then a yellow month shows that that asset emerged into the top 15. Of course you did not know it so you do not own it when it is yellow. But, because it is yellow you buy that asset the very next day on the first of the month. Green shows that you own an asset that is in the top 15 so you are doing well. The month that an asset drops out of the top 15 it is colored orange. You did not know it would drop so you still own it in the orange month. An asset that is orange in a given month can be a loser or it could have just dropped to 16th rank or so – but you own it. Maybe that is bad or just not as good as owning in the green. Now look at the chart for the last few months. Mostly yellow and orange in January and February. That means that the model traded heavily each month and rarely hit a really profitable green month. The model could not lock into a trend. One of the strengths of this model is that in years such as 2001, 2002 and 2008 the model quickly got out of the losers and found some valuable asset even if it was cash. This has not been the case for the last few months. It may be getting better since most of the top 15 this month are consistent with last months report.
Best, Mal
|
2009 |
2009 |
2009 |
2009 |
2009 |
2010 |
2010 |
2010 |
|
|
8 |
9 |
10 |
11 |
12 |
1 |
2 |
3 |
|
|
11 |
32 |
42 |
8 |
22 |
46 |
14 |
21 |
S&P500>SPDRs |
|
66 |
66 |
40 |
66 |
65 |
2 |
66 |
66 |
Cat:
Bear-Market |
|
32 |
39 |
17 |
32 |
32 |
34 |
26 |
34 |
Cat:
Conservative Allocation |
|
16 |
23 |
23 |
25 |
17 |
38 |
12 |
29 |
Cat:
Convertibles |
|
37 |
4 |
13 |
5 |
12 |
58 |
39 |
8 |
Cat:
Diversified Emerging Mkts |
|
30 |
27 |
55 |
26 |
23 |
48 |
25 |
12 |
Cat:
Diversified Pacific/Asia |
|
31 |
30 |
5 |
36 |
37 |
15 |
27 |
31 |
Cat:
Emerging Markets Bond |
|
4 |
5 |
7 |
16 |
29 |
56 |
65 |
18 |
Cat:
Europe Stock |
|
14 |
19 |
47 |
21 |
30 |
59 |
62 |
24 |
Cat:
Foreign Large Blend |
|
24 |
16 |
41 |
14 |
24 |
55 |
57 |
17 |
Cat:
Foreign Large Growth |
|
7 |
20 |
49 |
28 |
33 |
57 |
63 |
27 |
Cat:
Foreign Large Value |
|
8 |
6 |
18 |
20 |
25 |
51 |
58 |
15 |
Cat:
Foreign Small/Mid Growth |
|
3 |
7 |
19 |
30 |
34 |
42 |
61 |
11 |
Cat:
Foreign Small/Mid Value |
|
28 |
26 |
3 |
35 |
18 |
3 |
28 |
32 |
Cat:
High Yield Bond |
|
23 |
8 |
16 |
44 |
36 |
8 |
21 |
39 |
Cat:
High Yield Muni |
|
42 |
45 |
11 |
42 |
62 |
9 |
55 |
61 |
Cat:
Intermediate Government |
|
38 |
43 |
8 |
41 |
59 |
6 |
33 |
40 |
Cat:
Intermediate-Term Bond |
|
13 |
64 |
65 |
65 |
27 |
11 |
23 |
10 |
Cat:
Japan Stock |
|
15 |
28 |
46 |
12 |
19 |
47 |
13 |
20 |
Cat:
Large Blend |
|
26 |
25 |
48 |
10 |
16 |
54 |
11 |
19 |
Cat:
Large Growth |
|
9 |
29 |
43 |
13 |
26 |
43 |
16 |
16 |
Cat:
Large Value |
|
34 |
1 |
2 |
2 |
8 |
65 |
15 |
22 |
Cat:
Latin America Stock |
|
35 |
42 |
51 |
38 |
66 |
5 |
64 |
65 |
Cat:
Long Government |
|
22 |
38 |
9 |
40 |
61 |
4 |
36 |
38 |
Cat:
Long-Term Bond |
|
10 |
17 |
57 |
19 |
9 |
41 |
6 |
7 |
Cat:
Mid-Cap Blend |
|
20 |
15 |
58 |
18 |
6 |
50 |
4 |
9 |
Cat:
Mid-Cap Growth |
|
5 |
14 |
54 |
17 |
10 |
37 |
7 |
6 |
Cat:
Mid-Cap Value |
|
25 |
34 |
39 |
23 |
28 |
39 |
22 |
30 |
Cat:
Moderate Allocation |
|
33 |
36 |
4 |
39 |
35 |
7 |
31 |
36 |
Cat:
Multisector Bond |
|
40 |
41 |
52 |
43 |
58 |
13 |
29 |
63 |
Cat:
Muni tiol Interm |
|
39 |
33 |
50 |
48 |
55 |
12 |
24 |
44 |
Cat:
Muni tiol Long |
|
47 |
46 |
44 |
47 |
57 |
17 |
35 |
64 |
Cat:
Muni tiol Short |
|
63 |
10 |
15 |
4 |
13 |
61 |
34 |
23 |
Cat:
Pacific/Asia ex-Japan Stk |
|
46 |
48 |
20 |
46 |
60 |
14 |
56 |
62 |
Cat:
Short Government |
|
41 |
44 |
10 |
45 |
56 |
10 |
37 |
42 |
Cat:
Short-Term Bond |
|
12 |
13 |
62 |
31 |
4 |
40 |
3 |
5 |
Cat:
Small Blend |
|
21 |
12 |
64 |
27 |
2 |
45 |
5 |
4 |
Cat:
Small Growth |
|
6 |
9 |
61 |
34 |
5 |
35 |
2 |
2 |
Cat:
Small Value |
|
43 |
18 |
66 |
9 |
15 |
63 |
19 |
14 |
Cat:
Specialty-Communications |
|
2 |
24 |
59 |
37 |
38 |
36 |
20 |
3 |
Cat:
Specialty-Fincial |
|
19 |
37 |
63 |
7 |
14 |
1 |
17 |
26 |
Cat:
Specialty-Health |
|
45 |
22 |
12 |
3 |
11 |
60 |
18 |
28 |
Cat:
Specialty-tural Res |
|
64 |
2 |
53 |
1 |
64 |
66 |
10 |
35 |
Cat:
Specialty-Precious Metals |
|
1 |
3 |
21 |
6 |
3 |
49 |
1 |
1 |
Cat:
Specialty-Real Estate |
|
17 |
11 |
56 |
11 |
1 |
62 |
9 |
13 |
Cat:
Specialty-Technology |
|
29 |
35 |
60 |
22 |
7 |
52 |
59 |
37 |
Cat:
Specialty-Utilities |
|
44 |
47 |
14 |
49 |
39 |
16 |
38 |
45 |
Cat:
Ultrashort Bond |
|
27 |
31 |
22 |
24 |
31 |
44 |
32 |
33 |
Cat:
World Allocation |
|
36 |
40 |
6 |
33 |
63 |
18 |
60 |
43 |
Cat:
World Bond |
|
18 |
21 |
45 |
15 |
21 |
53 |
30 |
25 |
Cat:
World Stock |
|
65 |
65 |
1 |
29 |
20 |
64 |
8 |
41 |
Commodities |
|
48 |
49 |
24 |
50 |
40 |
19 |
40 |
46 |
Cash
@ 2.4%/Yr |
|
49 |
50 |
25 |
51 |
41 |
20 |
41 |
47 |
Cash
@ 2.4%/Yr |
|
50 |
51 |
26 |
52 |
42 |
21 |
42 |
48 |
Cash
@ 2.4%/Yr |
|
51 |
52 |
27 |
53 |
43 |
22 |
43 |
49 |
Cash
@ 2.4%/Yr |
|
52 |
53 |
28 |
54 |
44 |
23 |
44 |
50 |
Cash
@ 2.4%/Yr |
|
53 |
54 |
29 |
55 |
45 |
24 |
45 |
51 |
Cash
@ 2.4%/Yr |