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25 years experience in Quant research, portfolio management, and stock market data analytics. 15 years experience in index trading / ETF strategist. Mean revision / time series studies applied towards general market trends with a focus on long term format.
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Market Map
  • Market Map Allocates To SPY, QQQ

    As another predefined date for asset allocation action as defined * by the Market Map model has been reached, at this time the model is indicating an allocation from long bonds (position allocated on 07/11/2014; a 75% allocation in the iShares 20+ Year Treasury Bond ETF (NYSEARCA:TLT)) to 100% allocation SPDR Trust ETF (NYSEARCA:SPY) or Powershares QQQ Trust ETF (NASDAQ:QQQ). This action takes place on 09/29/2014.

    (click to enlarge)

    The model identified 11 previous instances of allocation to equities in the investment timeline since 1924.

    (click to enlarge)

    The equity allocations within the full record of model allocation changes can be seen here.

    The next allocation date will be 01/19/2015.

    * Objective # 3. To make infrequent asset allocation changes occurring on fixed, predefined dates during the course of market cycles. See objectives.

    Disclosure: The author has no positions in any stocks mentioned, but may initiate a long position in QQQ over the next 72 hours. The author wrote this article themselves, and it expresses their own opinions. The author is not receiving compensation for it. The author has no business relationship with any company whose stock is mentioned in this article.

    Disclosure: The author has no positions in any stocks mentioned, but may initiate a long position in QQQ over the next 72 hours.

    Sep 27 9:43 PM | Link | Comment!
  • Market Map Model 2 With Sell In May Goes To Cash

    As the Market Map model identified 2014 as having a "Neutral" risk profile, using the popular "Sell in May" strategy combined with the Market Map model (as profiled in the previous instapost seekingalpha.com/instablog/1109542-market-map/2322502-market-map-model-1-with-sell-in-may), assets would now be allocated from equities to cash.

    The table below shows returns of the basic "Sell in May" strategy (allocate assets towards equities on November 1 and towards cash on May 1 of an applicable year) combined with the MM model "2" * since 1950. We will see if the algorithm calls for allocation towards long dated bonds in July.

    table

    BOND allocation 75%Dividends reinvest
    entry dateexit date% return$1 becomes
    S&P500cash equiv  
        
       $1
    05/01/5005/01/5361.2%2
    11/01/5305/01/56118.2%4
    11/01/5605/01/570.0%4
    11/01/5705/01/6050.3%5
    Bond 07/05/6010/01/602.00%5
    11/01/6005/01/6121.7%7
    11/01/6205/01/6557.7%10
    11/01/6505/02/661.6%11
    11/01/6605/01/6827.7%13
    11/01/6805/01/691.1%14
    11/01/6905/01/70-9.3%12
    11/01/7005/01/7340.6%17
    11/01/7305/01/74-6.1%16
    11/01/7405/01/7752.3%25
    11/01/7705/01/783.9%26
    11/01/7805/01/8160.4%41
    11/01/8105/04/82-3.2%40
    Bond 9/03/8210/01/824.10%42
    11/01/8205/01/8421.5%51
    11/01/8405/01/8790.2%96
    11/01/8705/01/9049.7%144
    11/01/9005/01/9235.2%194
    Bond 7/10/9210/01/922.40%199
    11/01/9205/01/97101.8%402
    Bond 7/11/9710/01/974.90%422
    11/01/9705/01/9819.2%503
    Bond 7/02/9810/01/987.20%539
    11/01/9805/01/9917.3%632
    Bond 7/02/9910/01/990.80%637
    11/01/9905/01/005.6%673
    Bond 7/6/0010/01/002.60%690
    11/01/0005/01/01-13.2%599
    Bond 7/6/0110/01/015.60%633
    11/01/0105/01/02-1.0%626
    Bond 7/5/0210/01/0211.20%696
    11/01/0205/01/0865.7%1154
    Bond 7/03/0810/01/083.30%1192
    11/01/0805/01/1040.6%1676
    Bond 7/09/1010/01/104.90%1758
    11/01/1005/01/1111.9%1967
    Bond 7/08/1110/01/1116%2282
    11/01/1105/01/1458.4%3615
    Bond 7/11/14 ?   
      CAGR14.13%
        
      Max Draw D-31.4%
      2008 - 09 

    Chart 1 shows the growth trajectory of the S&P500 using the MM model vs. Traditional "Sell in May" with MACD entry and exit filter **

    Chart 1

    (click to enlarge)

    Charts 2 and 3 show all return statistics when Market Map model identified years with: 1) favorable risk - 1st six months of the year, 2) neutral risk, and 3) high risk

    Chart 2 (click to enlarge)

    Chart 3

    (click to enlarge)

    * uses algorithm to identify long bond allocation opportunity in the 3rd quarter of years that the model allocate from equities to cash see seekingalpha.com/article/1779032-market-map-model-2-enhancing-returns-with-bonds

    ** forbestadvice.com/Money/Gurus/SyHarding/index.html

    Apr 30 10:09 PM | Link | Comment!
  • Market Map Risk Profile Years Vs. Negative Januarys

    Every year at the end of January, the financial press brings up what is known as the "January barometer"en.wikipedia.org/wiki/January_barometer. As the Market Map model doesn't utilize the "January barometer" in it's algorithms, it is interesting to examine the "Risk Profile" years (as presented in the article linked at the end of this instablog) in the context of the "January barometer".

    The following tables show all risk profiles and the correlated performance of years when the month of January was negative.

    Table 1 shows "Neutral Risk Profile" years

    Neutral Risk years  
       
    excl. dividendsNegative
    Yearyear return

    January

    years

       
    192611.5% 
    192737.1% 
    192847.5% 
    1937-38.73% 
    1939-5.34%-5.34%
    1953-6.60%-6.60%
    1957-14.30%-14.30%
    1960-3.00%-3.00%
    19655.60% 
    1966-13.10% 
    19687.70%7.70%
    1973-17.40%-17.40%
    1977-11.50%-11.50%
    19841.40%1.40%
    199826.70% 
    2014??????
       
    Cum27.5%-49.0%
    Avg1.8%-6.1%

    Table 2 shows "Favorable Risk Profile" years

    Table 2

    Favorable 
    market  
    trend years 
    excl. divs Negative
     ReturnJanuary
       
       
    192427.1% 
    192525.8% 
    1932-14.81% 
    193344.93% 
    1934-5.00% 
    193540.00% 
    193630.08% 
    193823.58% 
    1941-17.92% 
    194212.64% 
    194319.39% 
    194413.68% 
    194530.08% 
    1947-1.96% 
    19482.00%2.00%
    19499.15% 
    195027.80% 
    195116.30% 
    195211.80% 
    195445.00% 
    195526.40% 
    195838.10% 
    19598.50% 
    196123.10% 
    196318.90% 
    196416.70% 
    196720.10% 
    197110.80% 
    197215.60% 
    197531.50% 
    197619.10% 
    197912.30% 
    198020.00% 
    198317.30% 
    198526.30% 
    198614.60% 
    198812.40% 
    198927.30% 
    199126.30% 
    19937.10% 
    1994-1.50% 
    199534.10% 
    199620.30% 
    200326.40%26.40%
    20049.00% 
    20053.00%3.00%
    200613.60% 
    20073.50% 
    200921.30%21.30%
    201213.4% 
    201329.6% 
       
       
    Cum904.0%52.7%
    Avg17.7%

    13.2%

       

    Table 3 shows "High Risk Profile" years

    Table 3

    High Risk years 
       
       
       
    excl. dividends 
    Yearyear return
       
    1930-28.84% 
    1931-47.06% 
    1940-14.52%-14.52%
    19562.60%2.60%
    1962-11.80%-11.80%
    1969-11.40%-11.40%
    19700.10%0.10%
    1974-29.70%-29.70%
    19781.10%1.10%
    1981-5.40%-5.40%
    198214.80%14.80%
    1990-6.60%-6.60%
    2000-13.00%-13.00%
    2001-23.40% 
    2002-38.50%-38.50%
    2008-10.10%-10.10%
       
       
    Cum-221.7%-122.4%
    Avg-13.9%-9.4%

    As we can see, negative Januarys are not correlated with negative returns during "Favorable Risk Profile" years. On the flip side, negative Januarys are highly correlated with negative market performance during "High Risk Profile" years. As the model has indicated 2014 as a "neutral risk profile" year and has allocated capital to "cash" seekingalpha.com/article/1965171-market-map-model-allocates-to-cash, we can expect a somewhat negative slant to the year's performance, statistically.

    Risk Profile article seekingalpha.com/article/1738582-market-map-model-1-risk-profiles

    Feb 02 10:47 PM | Link | Comment!
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