Saturday, March 28, 2009

ETF Rewind - Week 13 (03/27/09)

(Click Image to Enlarge/ Glossary)

Several economic data points suggesting a slowing in the pace of our nation's economic decline, together with more details on the TALF Program, provided the fuel for another broad-based advance that left the markets up for the third week in a row and uniformly positive on the month (NASDAQ - Treasury Unveils Program).

The S&P 500 (SPY) finished the week higher by +6.4%, now up +11.2% over the last four weeks. In fact, the technology laden NASDAQ 100 closed higher on the year -- not a small feat given where the markets were at only a short while ago. Said data points included Existing and New Home Sales, Durable Goods Orders, and Gross Domestic Product.

While encouraging in many respects, not all the data points were rosy, including a worse than expected decline in Personal Income (even as Spending rose -- hmm...). With first quarter earnings nearly on deck, analysts will no doubt be pondering how these early indicators may translate to a trough earnings scenario, as well as to the prospective pace of growth ahead. I expect there will be heavy brooding over this point in the coming weeks by a market that has so quickly rebounded from its recent lows.

Week Fourteen of 2009 features another busy week of key economic reports, culminating in the closely watched Jobs Report, as follows:

Changing topics, much has been written about the value of tracking price versus longer-term moving averages. Research has shown that semi-active portfolio management using more difficult to "game" secular trends -- is helpful in reducing draw-downs and volatility, while also enhancing returns and assisting in identifying the strongest performing indices for rotational purposes.

Mebane Faber, a fellow asset manager, author of World Beta, and proponent of long-term rotational timing methods, reports that his readers have very few resources to easily track this key statistic. (He has written an excellent introductory white-paper on the topic, which may be found here. I will post additional research links next week [here].)

I am therefore pleased to announce the addition of this metric to the Weekly ETF Rewind. Note under the "Price Change" header the new "10-Month" column. This provides the percentage difference between the last closing price and the trailing simple moving average of the prior ten 20-day end periods (not the 200-day moving average, although both may be effective). The next column shows the "Rank" order of these results across all thirty or so tracking indices. Positive differences are indicated as green, while negative differences are shown as red. Are you surprised by the top ranked security (DBP +6.0%)? How about the fifth (QQQQ -11.3%)?

I hope that longer-term investors find this to be a helpful addition. This, and many more key statistics, are provided nightly for over 170 ETFs by ETF Rewind Pro. A weekend-only version is also available.

Enjoy your weekend!

Never Investment Advice


NashvilleCat said...

Hello Jeff,

I found you thru Dr Brett(who I just recently found also) and just wanted to say hello and express my thanks for your efforts. I appreciate getting your tweets and find them helpful..though sometimes I get them somewhat delayed(?).

I trade ES mini's, doing lots of sim trading and working to get my skills and perceptions up to speed.. so, again, I appreciate your take on things during the day.. and the blog post are quite interesting as well..its all good !

Best Regards,

Nashville Cat

Jeff Pietsch CFA Esq said...

Thank you, Cat. Perhaps you will join our chatroom next week, Regards, Jeff

bzbtrader said...

RE the CXO link. . .I have the highest regard for CXO, but this is a case where they only looked at one timing model and, as expected, the results are not attractive. Taking a scalper mentality towards the guru picks yields much more impressive results, as I tried to point out in last week's chat rooom. Keeping in mind that only 3% of the market volume is retail traders, the thinly traded stocks touted by the variious gurus on CNBC do typically show a surge in volume and price although that pump may only last a few minutes to an hour. Astute traders can, in fact, capture dimes and quarters off these pops and then reload for the next trade setup. Some prop shops aggressively play the reverse side of the coin.