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Here Comes March: An Update On The Modified GMR System And An Analysis Of An Even Simpler Stock-Bond Rotation Strategy

|Includes:EDV, EEM, EPP, FEZ, ILF, SHY, ProShares Ultra S&P 500 ETF (SSO)

As February wanes, I thought to post a brief update on where my modified version of Grossman's GMR is sitting. You can see a discussion on my modified system here.

First off, I got published! You can see my new SA article on an analysis of a simple stock-bond rotation strategy. Someone already accused it of being an ad, which makes me laugh because what would I be advertising?! I'm just a guy who likes to yack about investing.

For the modified GMR, if the month ended today we would see the following three-month performances for the ETFs in the system:

SSO FEZ EEM ILF EPP EDV
3.6% 2.5% -6.1% -9.7% -0.3% 5.0%
Click to enlarge

EDV is in the lead and it has been for most of the month. SSO has 1.4% to catch up on, and it would be well within current volatility levels for SSO to beat out EDV by month's end. The cash-stop correlation between SSO and EDV is at about -0.98, which is about as low as it gets. We will not get a cash stop for March.

I'll post the modified GMR signal when it hits.

-M

Disclosure: I am long SSO.

Stocks: SSO, FEZ, EEM, ILF, EPP, EDV, SHY