Strategy Weekly – January 30, 2011

Posted on January 30, 2011 by Geoffrey Ching

This is a summary of several strategies available on vectorgrader.com for those who just visit the blog or who prefer receiving an email.

Market Model

Market Rotation / TAA

Market	ETF	ETF Ticker	Rank
Small Cap Stocks	iShares Russell 2000 Index Fund	IWM	1
Real Estate	iShares Cohen & Steers Realty Majors Index Fund	ICF	2
Commodities	PowerShares DB Commodity Index Fund	DBC	3
Large Cap Stocks	iShares S&P 500 Index Fund	IVV	4
Emerging Markets	Vanguard Emerging Mkts ETF	VWO	5
Gold	iShares Gold Trust	IAU	6
International Stocks	iShares MSCI EAFE Index Fund	EFA	7
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY	8
Long Term Treasuries	iShares Barclays 20+ Year Treasury Bond Fund	TLT	9

Sector Rotation

Market	ETF	ETF Ticker	Rank
Energy	Vanguard Energy ETF	VDE	1
Materials	Vanguard Materials ETF	VAW	2
Industrials	Vanguard Industrials ETF	VIS	3
Consumer Discretionary	Vanguard Consumer Discret ETF	VCR	4
Information Technology	Vanguard Information Tech ETF	VGT	5
Telecommunications	Vanguard Telecommun Serv ETF	VOX	6
Financials	Vanguard Financials ETF	VFH	7
Consumer Staples	Vanguard Consumer Staples ETF	VDC	8
Utilities	Vanguard Utilities ETF	VPU	9
Health Care	Vanguard Health Care ETF	VHT	10

Bond Rotation

Market	ETF	ETF Ticker	Rank
High Yield Bonds	SPDR Barclays Capital High Yield Bond ETF	JNK	1
Emerging Market Bonds	iShares JPMorgan USD Emerging Markets Bond Fund	EMB	2
International Government Bonds	SPDR Barclays Capital International Treasury Bond ETF	BWX	3
Short Term Corporate Bonds	iShares Barclays 1-3 Year Credit Bond Fund	CSJ	4
Treasury Notes	iShares Barclays 7-10 Year Treasury Bond Fund	IEF	5
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY	6

Currency Rotation

Currency	Similar ETF	ETF Ticker	Total Rank	Interest Rate Rank	Valuation Rank	Momentum Rank
Australian Dollar	CurrencyShares Australian Dollar Trust	FXA	1	1	8	1
New Zealand Dollar	WisdomTree Dreyfus New Zealand Dollar	BNZ	2	2	5	4
Swedish Krona	CurrencyShares Swedish Krona Trust	FXS	3	3	7	3
Canadian Dollar	CurrencyShares Canadian Dollar Trust	FXC	4.5	4.5	4	6
Euro	CurrencyShares Euro Trust	FXE	4.5	4.5	3	7
United States Dollar	iShares Barclays Short Treasury Bond	SHV	6	7.5	1	8
British Pound	CurrencyShares British Pound Sterling Tr	FXB	7	6	2	9
Swiss Franc	CurrencyShares Swiss Franc Trust	FXF	8	7.5	9	2
Japanese Yen	CurrencyShares Japanese Yen Trust	FXY	9	9	6	5

Commodity ETF Momentum and Roll Yield Rankings

Posted on January 22, 2011 by Geoffrey Ching

A little over a month ago, I ranked the commodities for which there are corresponding ETFs by momentum and roll yield. Below, I’ve updated the table with a few changes.

Momentum and roll yield are two of the most commonly discussed strategies relating to commodity future investing. These two factors are the two factors that determine commodity selection in the Summerhaven Dynamic Commodity Index, the underlying index for the United States Commodity Index Fund (USCI). The Summerhaven Dynamic Commodity Index holds the seven commodities with the highest roll yield, and the seven commodities not already selected with the highest 12 month price change. This is a bit closer to the screening approach than the ratings or “one number” approach that I prefer.

Changes:

I used spot commodity data instead of ETF/ETN data for comparing momentum. Commodity ETF/ETN price performance has the effect of the past roll yield in it. In some instances strong contango or backwardation was counted twice, once in the momentum ranking and once in the roll yield ranking.
Instead of using just the 12 month price change for comparing momentum, I used both the 12 month and 6 month price change.
I added Brent Crude.

Strategy Weekly – January 16

Posted on January 16, 2011 by Geoffrey Ching

This is a summary of several strategies available on vectorgrader.com for those who just visit the blog or who prefer receiving an email.

Market Model

Market Rotation / TAA

Small Cap Stocks	iShares Russell 2000 Index Fund	IWM
Commodities	PowerShares DB Commodity Index Fund	DBC
Real Estate	iShares Cohen & Steers Realty Majors Index Fund	ICF
Large Cap Stocks	iShares S&P 500 Index Fund	IVV
Emerging Markets	Vanguard Emerging Mkts ETF	VWO
Gold	iShares Gold Trust	IAU
International Stocks	iShares MSCI EAFE Index Fund	EFA
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY
Long Term Treasuries	iShares Barclays 20+ Year Treasury Bond Fund	TLT

Sector Rotation

Energy	Vanguard Energy ETF	VDE
Materials	Vanguard Materials ETF	VAW
Consumer Discretionary	Vanguard Consumer Discret ETF	VCR
Industrials	Vanguard Industrials ETF	VIS
Information Technology	Vanguard Information Tech ETF	VGT
Telecommunications	Vanguard Telecommun Serv ETF	VOX
Financials	Vanguard Financials ETF	VFH
Consumer Staples	Vanguard Consumer Staples ETF	VDC
Health Care	Vanguard Health Care ETF	VHT
Utilities	Vanguard Utilities ETF	VPU

Bond Rotation

High Yield Bonds	SPDR Barclays Capital High Yield Bond ETF	JNK
Emerging Market Bonds	iShares JPMorgan USD Emerging Markets Bond Fund	EMB
Short Term Corporate Bonds	iShares Barclays 1-3 Year Credit Bond Fund	CSJ
Treasury Notes	iShares Barclays 7-10 Year Treasury Bond Fund	IEF
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY
International Government Bonds	SPDR Barclays Capital International Treasury Bond ETF	BWX

Currency Rotation

Currency	Similar ETF	ETF Ticker	Total Rank	Interest Rate Rank	Valuation Rank	Momentum Rank
New Zealand Dollar	WisdomTree Dreyfus New Zealand Dollar	BNZ	1	2	5	2
Australian Dollar	CurrencyShares Australian Dollar Trust	FXA	2	1	8	1
Swedish Krona	CurrencyShares Swedish Krona Trust	FXS	3	3	7	3
Canadian Dollar	CurrencyShares Canadian Dollar Trust	FXC	4	4.5	4	5
British Pound	CurrencyShares British Pound Sterling Tr	FXB	5	6	2	7
United States Dollar	iShares Barclays Short Treasury Bond	SHV	6.5	7.5	1	8
Euro	CurrencyShares Euro Trust	FXE	6.5	4.5	3	9
Swiss Franc	CurrencyShares Swiss Franc Trust	FXF	8	7.5	9	4
Japanese Yen	CurrencyShares Japanese Yen Trust	FXY	9	9	6	6

Country Rotation – January 2011

Posted on January 8, 2011 by Geoffrey Ching

This is an update to the country rotation strategy I outlined a while ago. It ranks stock markets of developed markets and a few major emerging markets by valuation and momentum.

Over the last month this strategy has performed well with the top 5 countries returning 3.08% and the bottom 5 countries returning only 1.41%.

Methodology: First, the countries are sorted by each of the metrics individually (Valuation: median earnings yield and p/s; Momentum: the sum of the most recent 12, 6, and 3 month performance), assigning a score of 1 to the top country, 2 to the 2nd from the top, 3 to the third from the top, and so on. The scores of the underlying metrics are then added up, and re-sorted.

Strategy Weekly – January 3

Posted on January 3, 2011 by Geoffrey Ching

This is a summary of several strategies available on vectorgrader.com for those who just visit the blog or who prefer receiving an email.

Market Model

Market Rotation / TAA

Small Cap Stocks	iShares Russell 2000 Index Fund	IWM	1
Real Estate	iShares Cohen & Steers Realty Majors Index Fund	ICF	2
Commodities	PowerShares DB Commodity Index Fund	DBC	3
Gold	iShares Gold Trust	IAU	4
Emerging Markets	Vanguard Emerging Mkts ETF	VWO	5
Large Cap Stocks	iShares S&P 500 Index Fund	IVV	6
International Stocks	iShares MSCI EAFE Index Fund	EFA	7
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY	8
Long Term Treasuries	iShares Barclays 20+ Year Treasury Bond Fund	TLT	9

Sector Rotation

Materials	Vanguard Materials ETF	VAW	1
Energy	Vanguard Energy ETF	VDE	2
Consumer Discretionary	Vanguard Consumer Discret ETF	VCR	3
Industrials	Vanguard Industrials ETF	VIS	4
Telecommunications	Vanguard Telecommun Serv ETF	VOX	5
Information Technology	Vanguard Information Tech ETF	VGT	6
Financials	Vanguard Financials ETF	VFH	7
Consumer Staples	Vanguard Consumer Staples ETF	VDC	8
Health Care	Vanguard Health Care ETF	VHT	9
Utilities	Vanguard Utilities ETF	VPU	10

Bond Rotation

High Yield Bonds	SPDR Barclays Capital High Yield Bond ETF	JNK	1
Emerging Market Bonds	iShares JPMorgan USD Emerging Markets Bond Fund	EMB	2
International Government Bonds	SPDR Barclays Capital International Treasury Bond ETF	BWX	3
Treasury Notes	iShares Barclays 7-10 Year Treasury Bond Fund	IEF	4
Short Term Corporate Bonds	iShares Barclays 1-3 Year Credit Bond Fund	CSJ	5
Short Term Treasuries	iShares Barclays 1-3 Year Treasury Bond Fund	SHY	6

Currency Rotation

Currency	Similar ETF	ETF Ticker	Total Rank	Interest Rate Rank	Valuation Rank	Momentum Rank
Australian Dollar	CurrencyShares Australian Dollar Trust	FXA	1.5	1	8	1
New Zealand Dollar	WisdomTree Dreyfus New Zealand Dollar	BNZ	1.5	2	5	3
Canadian Dollar	CurrencyShares Canadian Dollar Trust	FXC	3	4.5	4	6
Swedish Krona	CurrencyShares Swedish Krona Trust	FXS	4	3	7	5
United States Dollar	iShares Barclays Short Treasury Bond	SHV	5	7.5	1	7
British Pound	CurrencyShares British Pound Sterling Tr	FXB	6	6	2	8
Euro	CurrencyShares Euro Trust	FXE	7	4.5	3	9
Swiss Franc	CurrencyShares Swiss Franc Trust	FXF	8	7.5	9	2
Japanese Yen	CurrencyShares Japanese Yen Trust	FXY	9	9	6	4