Saturday, November 17, 2007


I copied and pasted the following from a post on Bill Rempel's blog.

Because I buy long-term and Bill buys short-term, his conclusions of what to buy are almost exactly the opposite of mine. As I have recounted on many occasions, I can find a large number of long-term traders who have gotten very wealthy in the markets but I have a hard time finding short-term traders who make and keep lots of money in the markets. Many short term traders are "in the business". They often earn their living off of commissions. Bill is one smart fellow and I very much enjoy his blog.

Rotational combines component rotation and asset class rotation to hold a small basket of ETFs or ETNs, selecting the handful with the most momentum from a representative sampling of classes and components.

Throughout this article, when I refer to momentum, I am referring to an exponentially smoothed measure based solely on price movement.

I may or may not make notes about the macro implications of trends in these categories. If I do, they will appear below each category's list of members. Noting the existence of a theme behind the trend does not necessarily mean I agree with the theme. It is important to remember that these themes are unimportant to the execution of the plan. The plan is strictly mechanical in nature, and these notes are merely postulations about the possible reasons behind the price movements.

Every member of this category that has a valid smoothed momentum measurement has positive momentum. As a group, every member of this category has increased in momentum over the last four weeks. The biggest momentum gainer is also the current momentum leader.

Treasuries 20+ Yrs (TLT), +2.9
Emerging Mkt Debt (ESD), +2.6
Treasuries _7-10 Yrs (IEF), +1.9
Low-Grade Corporate (HYG), +1.5
Mortgage Backed Securities (MBB), +1.3
Treasuries _1-3 Yrs (SHY), +1.1
High-Grade Corporate (LQD), +0.8
International Treasury (BWX), too new for measurement

Click the link above for the full post on Bill Rempel's blog.