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Update On Modified GMR; It Sure Has Been A While

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

You all may remember the modified version of Frank Grossman's global rotation strategy that I wrote about here in early 2014. I posted signals on it for a while but got busy with my day job and, frankly, got tired of posting. My apologies, but I see that many of you have been able to follow the system yourselves using your own methods.

For 2015, I added ZIV and BKLN to my rotation to improve diversifiation. I also reduced the stop to 0.5 from 0.75 because I felt it provided a better risk profile for me (lower returns, lower drawdowns).

This year, the system has done fairly well according to the table below:

Month Signal Trade YTD
Jan-15 SHY 0.63% 100.63%
Feb-15 EDV -9.12% 91.45%
Mar-15 EDV 1.45% 92.78%
Apr-15 FEZ 2.06% 94.69%
May-15 ZIV 6.51% 100.85%
Jun-15 BKLN -1.14% 99.70%
Jul-15 ZIV 6.35% 106.03%
Aug-15 SHY -0.05% 105.98%
Sep-15 EDV 2.21% 108.32%
Oct-15 SHY 0.04% 108.36%

Up 8.3% compared to SPY, which is down about 1.5% on the year.

Im working on another article charting the effects of an absolute momentum filter in a diversified portfolio that is regularly rebalanced. Stay tuned.

Disclosure: I am/we are long TLT.