Long-term value portfolio update

Here is the latest update on my long-term value model portfolio. As a reminder, the long-term value model portfolio is constructed using my a technical timing indicator as a base to find potential investments. I initially touched upon the model portfolio and the long-term technical indicator here. A public profile of the model can also be found via Marketocracy here.

Since inception earlier this year, the model portfolio is modestly underperforming the S&P 500. Since the beginning of July, the model portfolio is up 6.34% vs. a gain of 7.4% on the market. The performance gap has closed considerably since mid-July, when the gap hovered around a 5 percentage point deficit. As stated previously, I would expect the model to underperform the market in the short-term, considering the portfolio is composed mainly of stocks that had been beaten down.

Currently, the model portfolio is more heavily weighted towards Industrial companies followed by a heavy weighting in consumer discretionary stocks.  The largest holding in the model portfolio is Ann Inc at 3.2% of the portfolio followed by Stillwater Mining at 3.15% and Foster Wheeler at 3.1%. The largest underperformer is Walter Energy with a 15% loss since inception. I will reduce holdings once they break 20% to the downside.

Color Name Portion Consumer Discretionary 17% Consumer Staples 5% Energy 13% Financials 5% Health Care 12% Industrials 22% Information Technology 15% Materials 10% Telecommunications 2%

The portfolio's BETA is currently 0.91 and has a R-squared with the market of 0.47. These figures and the overall performance derive an alpha over 30%. One note of caution of these statistics, they are calculated over a short-time period will likely fluctuate going forward.