September 2011 COP Report 10/11/2011

Investment Gang

Again, the dreary outlook provided in the last several reports has just continued to get worse.  There are even fewer asset classes that managed to have momentum measurements above zero and in the more risky sub classes there are none.

Longer dated bonds have done well since the Fed announced their “Twist” strategy QE3.  And of course, Bear Market funds have done well.

I have updated the Research Model performance results.  (See “NEW:” on the web site.)  It continues to do quite well in 2011 year to date.  This is somewhat surprising give the high volatility.  However the Fed’s move was announced well in advance causing the effect to run over a couple of months and the model stuck with the long bonds for a couple of months.  The models results are very interesting.  For example the model put 1/8^th of the funds into cash for October.  That has not happened since 2008.

Best, Mal