Currency
Marketocracy ETF Portfolio: April 12, 2008
Marketocracy, in their own words, is:
"""Marketocracy Data Services is a research company whose mission is to find the best investors in the world and then track, analyze, and evaluate their trading activity. The company's affiliate, Marketocracy Capital Management, is the investment advisor for the Marketocracy family of mutual funds and uses the research generated by Marketocracy Data Services."""
This isn't an endorsement for Marketocracy, but last October, I started a portfolio there as part of the activities for a club here at the University of Michigan. While I'd originally intended it to be allocated strictly from the Select Sector SPDR ETFs, Marketocracy rules led me to increase the scope of the fund to include commodities, currencies, and geography-based ETFs.
You can view the portfolio performance at this link: www.marketocracy.com/cgi-bin/WebObjects/Portfolio.woa/ps/FundPublicPage/source=DeDoDkLbEhAdLcIhMaKiAbDd
| RETURNS | S&P500 RETURNS | RETURNS VS S&P500 | |
|---|---|---|---|
| Last Week | -1.80% | -2.69% | 0.88% |
| Last Month | 3.36% | 1.98% | 1.39% |
| Last 3 Months | 0.42% | -4.36% | 4.78% |
| Last 6 Months | -2.34% | -13.76% | 11.42% |
| Last 12 Months | N/A | N/A | N/A |
| Last 2 Years | N/A | N/A | N/A |
| Last 3 Years | N/A | N/A | N/A |
| Last 5 Years | N/A | N/A | N/A |
| Since Inception | -1.63% | -12.48% | 10.85% |
| (Annualized) | -3.08% | -22.38% | 19.31% |
My largest positions at the moment are DUG @ 14%, SHV @ 11%, UPW @ 7%, and EWA @ 5%. I doubled my exposure in DUG, the double short Oil & Gas fund, this week as it hit a new 52-week low, despite downgrades in both the funds' constitutents and projected consumption. I'll be looking to lighten the position in the short-term treasuries SHV in the coming month for bottom plays, possibly in the double long financials ETF UYG or some mixture of country ETFs.
- Michael J Bommarito II's blog
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ETF Market Summary: Week Ending June 15th 2007
On the week, 21 of 26 categories ended up. Of these 21 categories, 17 ended up at least 1%, with the largest gains seen in Russia, Latin America, and China. Of those 5 categories that were in the red, only 2 were down more than 0.3% - short funds, on the wrong end of the market this week, and real estate funds, still plagued by the on-going subprime and rate worries.
It's interesting as well to note that the categories with the highest correlation to the S&P after retail were Russia and MSCI. Those with the lowest correlations after short funds were currency, convertible, and call-write funds, as is typically the case.
Dollar-Weighted Category Return
| Category | Day | Week | Month | YTD | Day $ | Week Correlation to SPY |
| Short | -1.46% | -3.36% | -4.69% | -1.84% | 1484 | -87.48% |
| Real Estate | 1.38% | -1.03% | -0.18% | -0.08% | 452 | 78.95% |
| Convertible | 0.30% | -0.32% | -2.24% | 0.02% | 16 | 58.95% |
| Japan | 0.91% | -0.20% | 2.38% | 0.37% | 243 | 78.41% |
| Retail | 0.25% | -0.05% | 2.81% | 2.07% | 324 | 98.67% |
| Infrastructure | 1.02% | 0.15% | -6.22% | 5.65% | 5 | 89.58% |
| Currency | 0.44% | 0.20% | 0.83% | 0.52% | 22 | 34.88% |
| Call/Write | 0.61% | 0.46% | 3.16% | 2.25% | 5 | 68.27% |
| Asia | 0.81% | 0.83% | 1.08% | 1.36% | 26 | 88.08% |
| Consumer Goods & Services | 0.40% | 0.98% | 1.09% | 0.32% | 172 | 75.78% |
| Healthcare | 0.75% | 1.04% | -0.56% | 0.92% | 71 | 81.96% |
| Transports | 0.43% | 1.15% | -0.61% | 11.57% | 68 | 92.41% |
| MSCI | 0.81% | 1.39% | 1.33% | 9.90% | 377 | 96.58% |
| Commodities & Resources | 0.67% | 1.47% | 0.79% | 0.42% | 332 | 71.76% |
| Mid Cap | 0.67% | 1.54% | 2.39% | 0.51% | 901 | 86.57% |
| Dividend | 0.92% | 1.61% | -0.84% | 0.60% | 62 | 92.87% |
| Large Cap | 0.53% | 1.74% | 1.39% | 0.38% | 1884 | 90.72% |
| Small Cap | 1.21% | 1.81% | 4.41% | 0.24% | 7668 | 77.82% |
| Biotech | 1.32% | 2.37% | 1.75% | 0.67% | 169 | 88.89% |
| Europe | 1.73% | 3.09% | 1.64% | 0.46% | 250 | 91.06% |
| Utilities | 1.38% | 3.58% | -4.23% | 0.75% | 631 | 74.58% |
| Energy | 1.51% | 4.77% | 6.58% | 1.54% | 1212 | 90.13% |
| Emerging Markets | 2.26% | 4.97% | 4.93% | 1.16% | 2042 | 76.41% |
| China | 2.40% | 6.05% | 6.17% | 0.87% | 538 | 83.60% |
| Latin America | 2.33% | 6.06% | 7.51% | 9.74% | 78 | 89.87% |
| Russia | 1.51% | 6.06% | 4.05% | -6.44% | 20 | 97.80% |
- Michael J Bommarito II's blog
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ETF Market Summary: Week Ending June 8th 2007
Dollar-Weighted Category Performance
On the week's dollar-weighted performance, only 2 of 26 categories ended the week black - short funds and China funds, returning a respective 2.87% and 1%. Another 3 categories ended the week only marginally red, falling at most 0.36% percent - currency funds, Japan funds, and broad Asia funds.
The remaining 21 categories were down at least 1% (call/write) and, at worst, nearly 7% (infrastructure). Of these categories, the average return was nearly 3% down.
With the week at last done, there still does not seem to be a single non-psychological motivator for the broad market losses. Both gold and oil ended the week down, but stock and bond market returns do not seem to match what we would expect in such a week.
One possibility I offer as a suggestion is that foreign investors, having enjoyed the past two months, view the current dollar strength as a local maximum. The US Dollar Index, having dropped throughout the market rally, is believed by most to continue to decline in the medium-term. Given this, then regardless of their investment type, the current dollar high would provide them the best return after conversion to their home currency, thus explaining an otherwise unexplainable lack of historical correlation between asset classes.
| Sector | Day | Week | Month | YTD | Day $ | Week Correlation to SPY |
| Infrastructure | 2.15% | -6.79% | -4.30% | 5.67% | 5 | 94.81% |
| Utilities | 0.76% | -5.52% | -6.26% | 0.50% | 877 | 89.42% |
| Latin America | 2.61% | -4.28% | 5.79% | 7.28% | 111 | 98.16% |
| Transports | 1.46% | -3.82% | -0.33% | 10.30% | 161 | 96.55% |
| Europe | 1.26% | -3.57% | 1.05% | 0.34% | 273 | 96.52% |
| Commodities & Resources | -1.57% | -3.48% | -1.92% | 0.31% | 700 | 9.22% |
| Real Estate | 1.48% | -3.31% | -3.01% | -0.04% | 527 | 77.09% |
| Emerging Markets | 1.77% | -3.07% | 2.71% | 0.74% | 1843 | 83.71% |
| Dividend | 0.98% | -2.88% | -1.04% | 0.44% | 58 | 83.73% |
| Biotech | 0.77% | -2.80% | -0.60% | 0.22% | 269 | 92.96% |
| Russia | 1.42% | -2.76% | -2.09% | -8.86% | 9 | 97.60% |
| Healthcare | 0.40% | -2.49% | -0.72% | 0.80% | 87 | 90.49% |
| Mid Cap | 1.32% | -2.38% | 1.22% | 0.44% | 1148 | 95.66% |
| MSCI | 1.09% | -2.31% | 1.05% | 8.39% | 412 | 97.78% |
| Convertible | 0.63% | -2.30% | -2.27% | 0.04% | 22 | 58.30% |
| Small Cap | 1.30% | -2.19% | 1.54% | 0.18% | 7887 | 81.62% |
| Consumer Goods & Services | 1.09% | -2.05% | 0.89% | 0.25% | 110 | 82.23% |
| Large Cap | 1.23% | -1.91% | 1.45% | 0.31% | 2974 | 96.27% |
| Retail | 1.11% | -1.46% | 2.37% | 2.09% | 370 | 95.01% |
| Energy | 0.42% | -1.46% | 6.46% | 1.20% | 1483 | 70.09% |
| Call/Write | 0.46% | -0.96% | 1.62% | 2.08% | 4 | 74.01% |
| Asia | 1.24% | -0.36% | 1.27% | 1.27% | 36 | 80.25% |
| Japan | 0.48% | -0.15% | 1.53% | 0.38% | 240 | 76.60% |
| Currency | -0.22% | -0.10% | 0.76% | 0.48% | 45 | 30.22% |
| China | 2.52% | 0.99% | 6.15% | -0.13% | 420 | 86.71% |
| Short | -2.50% | 2.87% | -2.10% | -1.47% | 2086 | -95.33% |
- Michael J Bommarito II's blog
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ETF Market Summary: Thursday May 24th, 2007
Dollar-Weighted ETF/CEF Category Return
| Sector | Day | Week | Month | YTD | Day $ | Week Correlation to SPY |
| Latin America | -3.22% | -2.24% | 3.96% | 5.83% | 92 | 84.55% |
| Russia | -2.98% | -3.50% | -8.40% | -8.81% | 21 | 78.36% |
| China | -2.83% | -4.77% | 0.78% | -0.94% | 708 | 71.77% |
| Emerging Markets | -2.40% | -1.86% | 0.05% | 0.58% | 2260 | 71.14% |
| Utilities | -2.30% | -3.42% | -2.43% | 0.81% | 776 | 71.43% |
| Asia | -2.19% | -2.34% | -0.74% | 0.98% | 60 | 55.23% |
| Energy | -1.83% | -0.14% | 3.85% | 1.07% | 1937 | 75.77% |
| Mid Cap | -1.67% | -0.13% | -0.04% | 0.40% | 1174 | 78.47% |
| Infrastructure | -1.61% | -5.18% | -1.50% | 7.65% | 5 | 75.45% |
| Real Estate | -1.59% | -1.68% | -7.62% | -0.15% | 995 | 11.61% |
| Europe | -1.40% | -0.02% | -0.09% | 0.38% | 182 | 79.40% |
| Commodities & Resources | -1.35% | -0.40% | -3.12% | 0.33% | 535 | 63.87% |
| Small Cap | -1.33% | 1.44% | -1.09% | 0.15% | 8310 | 59.35% |
| Transports | -1.33% | -1.64% | -0.86% | 10.42% | 42 | 78.18% |
| Dividend | -1.32% | -1.10% | -0.08% | 0.57% | 45 | 66.53% |
| Biotech | -1.20% | 0.35% | -4.25% | 0.34% | 106 | 58.96% |
| MSCI | -0.96% | -0.06% | 0.08% | 8.39% | 483 | 86.22% |
| Call/Write | -0.91% | -0.38% | -1.62% | 1.23% | 5 | 45.74% |
| Convertible | -0.72% | -0.67% | -0.25% | 0.21% | 20 | 44.14% |
| Consumer Goods & Services | -0.69% | 0.05% | -0.56% | 0.25% | 166 | 78.62% |
| Large Cap | -0.65% | -0.16% | 2.47% | 0.32% | 4093 | 91.94% |
| Japan | -0.53% | 0.31% | -0.98% | 0.10% | 304 | 15.57% |
| Currency | -0.45% | -0.23% | -0.51% | 0.40% | 22 | 48.16% |
| Healthcare | -0.41% | 0.48% | 0.57% | 1.05% | 89 | 70.94% |
| Retail | 0.22% | 1.03% | -1.44% | 1.45% | 610 | 52.94% |
| Short | 2.63% | 0.62% | 1.78% | -1.24% | 2062 | -70.96% |