Post #866 by FlyingCircus on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Asset Class 	    Signal	Last	Since	# wks	Top6	Symbol	Price	MA	Slope	To MA	Rank
US LC	              IN	IN	2/1/23	30	X	SPY	450.35	420.96	Up	1.070	1
US LC Momentum	      IN	IN	6/23/23	10	X	MTUM	147.2	141.57	Down	1.04	2
US SC	              IN	IN	6/2/23	13		IWM	188.61	183.86	Up	1.03	10
US SC Mom./Growth     IN	IN	6/2/23	13		IJT	116.64	112.59	Up	1.04	6
For. Developed	      IN	IN    11/11/22  41	X	EFA	71.53	70.58	Down	1.013	4
For. Dev. SmallCap    CHG	OUT	8/11/23	3		SCZ	59.18	59.69	Up	0.992	6
Emerging	      IN	IN	3/31/23	22		EMXC	51.27	50.72	Up	1.011	8
Real Estate	      OUT	OUT	8/4/23	4		VNQ	82.38	81.81	5	1.007	12
Foreign Real Estate	CHG	OUT	8/4/23	4		RWX	25.3	25.35	Down	0.998	12
Total Bond	      CHG	OUT	8/4/23	4		BND	71.75	71.99	Down	1.00	9
10Y US Gov	      OUT	OUT	8/4/23	4		IEF	94.8	96.23	Down	0.99	11
Global High Yield	IN	IN	1/6/23	34	X	JNK	92.46	89.28	Down	1.04	3
Preferred	       CHG	OUT	3/10/23	25		PGX	11.19	11.25	Up	0.99	14
Cash/ST				                 	X	BIL	91.86	91.64		1.002	5
DMFI MODEL						JNK	8/31/23

Brief interpretations: Only 4 asset classes have better or equivalent momentum* to Cash ("investable"): US Large Caps, US Momentum, Foreign Developed (~EFA), and Global High Yield. Although other asset classes are above their 8 month moving averages, they have weaker relative strength than cash as repped by BIL.

Using the Dual Momentum Fixed Income approach with Baltassar's improved 4 month lookback, the strongest fixed income allocation is Global High Yield (~JNK, ~SPHY lower fees).

*My calculation of momentum is an equally weighted average of 1,3,6 and 12 month price performance.

FC

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