No. of Recommendations: 14
Asset Class Signal Last Since # wks Top6 Symbol Price MA Slope To MA Rank
US LC IN IN 2/1/23 30 X SPY 450.35 420.96 Up 1.070 1
US LC Momentum IN IN 6/23/23 10 X MTUM 147.2 141.57 Down 1.04 2
US SC IN IN 6/2/23 13 IWM 188.61 183.86 Up 1.03 10
US SC Mom./Growth IN IN 6/2/23 13 IJT 116.64 112.59 Up 1.04 6
For. Developed IN IN 11/11/22 41 X EFA 71.53 70.58 Down 1.013 4
For. Dev. SmallCap CHG OUT 8/11/23 3 SCZ 59.18 59.69 Up 0.992 6
Emerging IN IN 3/31/23 22 EMXC 51.27 50.72 Up 1.011 8
Real Estate OUT OUT 8/4/23 4 VNQ 82.38 81.81 5 1.007 12
Foreign Real Estate CHG OUT 8/4/23 4 RWX 25.3 25.35 Down 0.998 12
Total Bond CHG OUT 8/4/23 4 BND 71.75 71.99 Down 1.00 9
10Y US Gov OUT OUT 8/4/23 4 IEF 94.8 96.23 Down 0.99 11
Global High Yield IN IN 1/6/23 34 X JNK 92.46 89.28 Down 1.04 3
Preferred CHG OUT 3/10/23 25 PGX 11.19 11.25 Up 0.99 14
Cash/ST X BIL 91.86 91.64 1.002 5
DMFI MODEL JNK 8/31/23
Brief interpretations: Only 4 asset classes have better or equivalent momentum* to Cash ("investable"): US Large Caps, US Momentum, Foreign Developed (~EFA), and Global High Yield. Although other asset classes are above their 8 month moving averages, they have weaker relative strength than cash as repped by BIL.
Using the Dual Momentum Fixed Income approach with Baltassar's improved 4 month lookback, the strongest fixed income allocation is Global High Yield (~JNK, ~SPHY lower fees).
*My calculation of momentum is an equally weighted average of 1,3,6 and 12 month price performance.
FC
