Long-Term Value Portfolio Update for Week Ending 1/18/13

The Long-Term Value Portfolio had another winning week in the most recently ended week, gaining1.4 percentage points on the week. This gains is some 40 basis points better than the market's gain of nearly 100 basis points.

The gain on the week was the result of gains in the financial, tech, and telecom sectors, only partially offset by relative losses in the material and utilities. As for individual names, KKD was the best performer followed by HOLI, KMT, and GDI while the worst performers were RVBD, CHK, and CLF.

Since inception, the portfolio has gained 12% or 290 basis points more than market over the same time period. Year-to-date, the portfolio has gained 4.7 percentage points or 50 basis points more than the market's gain.

VIX-Trading Portfolio Update for Week Ending 1/18/13

I am sticking with the double-long exposure in the VIX-Trading Portfolio. For the most recently ended week, the portfolio gained 1.7 percentage points or 80 basis points more than S&P 500. This performance helped narrow the gap relative to the market both since inception (down 641 basis points) and year-to-date (a 330 basis point detriment). The chart below shows the performance loss and gain since the turn of the year.

Looking at the latest model results, the weighted average, standardized VIX has been falling since the beginning of the year, down to a -0.83 currently. from just above the zero mark earlier in January. This has been on the large decline in the VIX, currently sitting at 12.46. The current VIX reading is good for a standardized reading of just about -2.1, down from a 3.9 at the end of December. As I have constructed the model, buy triggers are established at two points. First, when the weighted average standardized VIX is below -1.50 but greater than -2. and when the weighted average standardized VIX is between -1.5 and 1 and the current standardized VIX is below -1.45. The model still points to a long position in the market, hence the exposure to the double long S&P 500 ETF. I toyed with the notion of reducing this exposure, but other factors convinced me to remain with it. For instance, the price/volume diffusion index I have been developing.

Short-Trading Portfolio Update for Week Ending 1/81/13

The Short-Trading Portfolio's performance took it on the chin again this week, as the market continues to gain upside momentum. For the week, the portfolio lost 60 basis points in value relative to a nearly 100 basis point gain on the S&P 500. The performance detriment is clearly seen in the chart below.

The loss on the week was tacked on to the negative comparisons to the market on both a year-to-date and since inception basis, losing 370 basis points and 790 basis points, respectively.

Long-Trading Portfolio Update for Week Ending 1/18/13

For the most recently traded week, the Long-Trading portfolio gained 2.1% on the back of better performance from the coal stocks. This compares with the market's gain of nearly 100 basis points. So far this year, the portfolio remains in a negative position relative to the market with a deficit of 480 basis point, much of which can seen in the chart below.

Since inception, the portfolio's performance remains far above the market with a 940 basis point relative gain.

High Volume High 1/18/13 Edition

Wondering if some investor did not get a whiff of some transaction here. The one name that made the new high volume high list announced a buyout offer for the company in the closing hours Friday afternoon.

Volume Off the High 1/18/13 Edition

Four names for your considerations. There is HIO, a closed end fund that is trading above NAV. The percentage decline is not great but the volume is picking up here. We also have AXP, which reported quarterly earnings that fell 47%. Again, not a larger percentage decline but the volume is picking up. Then there is AZZ, which makes products going into electricity construction and galvanized steel. The company reported earnings that missed Street estimates and the stock was punished. Finally, there is ITIP. Again, not a large percentage decline, but someone seems to be existing in a hurry. This is interesting as the ETF replicates international inflation protected securities, excluding the US.

Back Shortly Carrying Gifts

I have been unavailable to post for the last few days, be it because of work, traveling, family duties, etc. My time has also been consumed building and testing a new model. It may or may not be something new, but in 20+ years following investments I have never seen anything similar. Essentially, a price/volume (supply/demand) diffusional index.