CIF- CLOSED MFS Intermediate High Income
PCI- CLOSED Pimco Dynamic Credit Income
GLV- CLOSED Clough Global Allocation-C
BWG- CLOSED Legg Masn BW Global Income Opps
HNW- CLOSED Pioneer Diversified High Inc Tr
NEV- CLOSED Nuveen Enhanced Municipal Value
TTP- CLOSED Tortoise Pipeline & Energy
DSL- CLOSED DoubleLine Income Solutions
Update Available – Version 1.6.0.1
We released a new version to day with many many updates and new features. See the list of new features here.
One of the new updates might cause an issue with the FT Rebalance automatic update. If you’re having issues, try the manual update via this link:
http://update.ftrebalance.com/downloadpro/FTRebalanceWPF.application
This link will download a file. Once the download completes, run the file and the update will go through. If you’re still having problems give us a call at (225) 266-9907
Also, we’ve got a new webpage and you’re on it! Explore around and see what’s new.
Update/New Tickers Nov 12, 2013
ACT – Actavis PLC
ADES – Advanced Emissions Solutions Inc
ATX – Costa Inc Class A
BANC – Banc of California Inc
BBRY – BlackBerry Ltd
BEAT – BioTelemetry Inc
CGG – CGG ADR
CIDM – Cinedigm Corp
CMLP – Crestwood Midstream Partners LP
CYTK – Cytokinetics Inc
DF – Dean Foods Company
DRL – Doral Financial Corp
FOSL – Fossil Group Inc
GBNK – Guaranty Bancorp
HCI – HCI Group Inc
IQNT – Inteliquent Inc
JMBA – Jamba, Inc.
KCG – KCG Holdings Inc Class A
LBTYA – Liberty Global PLC Class A
LBTYB – Liberty Global PLC Class B
LBTYK – Liberty Global PLC
NBG – National Bank of Greece ADR
NBS – Neostem, Inc.
NWS – News Corporation Class B
NWSA – News Corporation Class A
PTGI – Primus Telecommunications Group, Inc.
PULS – Pulse Electronics Corp
RMGN – RMG Networks Holding Corp
SCBT – First Financial Holdings Inc
SRC – Spirit Realty Capital Inc
TZOO – Travelzoo, Inc.
UNTD – United Online, Inc.
USU – USEC Inc.
WIN – Windstream Holdings, Inc.
ATHL – ATHLON ENERGY INC COM
BURL – BURLINGTON STORES INC COM
DRII – DIAMOND RESORTS INTL INC COM
ESRT – EMPIRE ST RLTY TR INC CL A
FUEL – ROCKET FUEL INC COM
GOGO – GOGO INC COM
KODK – EASTMAN KODAK CO COM NEW
NDLS – NOODLES & CO CL A
PBPB – POTBELLY CORP COM
RMAX – RE MAX HLDGS INC CL A
STL – Sterling Bancorp
TCS – CONTAINER STORE GROUP INC COM
TWTR – TWITTER INC COM
OLED Universal Display
CTG Computer Task Group
New stock tickers added Nov 12, 2013
AAMC – Altisource Asset Management Corporation
AAOI – Applied Optoelectronics Inc
ABGB – Abengoa SA ADR repr Class B
ACLZ – Accelerize New Media, Inc.
ADHD – Alcobra Ltd
ADXS – Advaxis Incorporated
AEGA – Forever Valuable Collectibles, Inc.
AERI – Aerie Pharmaceuticals Inc
AGIO – Agios Pharmaceuticals Inc
AHT WI – Ashford Hospitality Trust, Inc.
ALMG – Alamogordo Financial Corp
AMBC – Ambac Financial Group Inc
AMBI – Ambit Biosciences Corp
AMH – American Homes 4 Rent Class A
ANIP – ANI Pharmaceuticals Inc
ANTH – Anthera Pharmaceuticals, Inc.
AR – Antero Resources Corp
ARCX – Arc Logistics Partners LP
ARDC – Ares Dynamic Credit Allocation Fund Inc
ARP – Atlas Resource Partners LP
ASC – Ardmore Shipping Corp
ASKE – Alaska Pacific Energy Corp.
ASTM – Aastrom Biosciences, Inc.
ATRM – Aetrium Incorporated
BAXS – Baxano Surgical Inc
BCRH – Blue Capital Reinsurance Holdings Ltd
BEP – Brookfield Renewable Energy Partners LP
BGI – Birks Group Inc
BIND – Bind Therapeutics Inc
BIOA – BioAmber Inc
BLUE – bluebird bio Inc
BNFT – Benefitfocus Inc
BOXC – Brookfield Canada Office Properties
BRSS – Global Brass & Copper Holdings Inc
BRX – Brixmor Property Group Inc
BTHE – Boston Therapeutics Inc
BWFG – Bankwell Financial Group Inc
BYBK – Bay Bancorp Inc
CADC – China Advanced Construction Materials Group, Inc.
CANN – Advanced Cannabis Solutions Inc
CAPP – Capstone Financial Group Inc
CARO – Carolina Financial Corp
CBRX – Columbia Laboratories, Inc.
CCCR – China Commercial Credit Inc
CCH – Coca-Cola HBC AG ADR
CDW – CDW Corp
CEQP – Crestwood Equity Partners LP
CHMI – Cherry Hill Mortgage Investment Corp
CHYR – ChyronHego Corp
CINJ – Cinjet, Inc.
CLAC – Capitol Acquisition Corp II
CLCN – Creative Learning Corp
CLSN – Celsion Corporation
CNAT – Conatus Pharmaceuticals Inc
CNHI – CNH Industrial NV
COB – CommunityOne Bancorp
COLE – Cole Real Estate Investments Inc
COMM – CommScope Holding Co Inc
COTY – Coty Inc Class A
COVS – Covisint Corp
CPS – Cooper-Standard Holdings Inc
CPSE – CapStone Bank (Raleigh, NC)
CPTA – Capitala Finance Corp
CPXX – Celator Pharmaceuticals Inc
CRTO – CRITEO ADR
CSG – Chambers Street Properties
CSTM – Constellium NV Class A
CTRL – Control4 Corp
CUBI – Customers Bancorp Inc
CUDA – Barracuda Networks, Inc.
CVT – Cvent Inc
CXP – Columbia Property Trust, Inc.
DATA – Tableau Software Inc Class A
DOC – Physicians Realty Trust
DOOR – Masonite International Corp
DXM – Dex Media Inc
DYNR – DynaResources, Inc.
EAGL – Silver Eagle Acquisition Corp
ECHI – eCareer Holdings Inc
ECOM – ChannelAdvisor Corp
ECTE – Echo Therapeutics, Inc.
EIGI – Endurance International Group Holdings Inc
EMES – Emerge Energy Services LP
ENCR – Ener-Core Inc
ENIP – Endeavor IP Inc
EOPT – Eos Petro Inc
EPZM – Epizyme Inc
ESBA – Empire State Realty Trust Inc Operating Partnership Units Series -ES-
ESNT – Essent Group Ltd
ESPR – Esperion Therapeutics Inc
EVHC – Envision Healthcare Holdings Inc
EVOK – Evoke Pharma Inc
EVRY – EveryWare Global Inc
FATE – Fate Therapeutics Inc
FCSC – Fibrocell Science Inc
FEYE – FireEye Inc
FI – Frank’s International NV
FISH – Marlin Midstream Partners LP
FISK – Empire State Realty Trust Inc Operating Partnership Units Series -250-
FMI – Foundation Medicine Inc
FNRG – ForceField Energy Inc
FOX – Twenty-First Century Fox Inc Class B
FOXA – Twenty-First Century Fox Inc Class A
FOXF – Fox Factory Holding Corp
FPRX – Five Prime Therapeutics Inc
FROT – Falconridge Oil Technologies Corp
FRSFY – First Republic Bank (San Francisco, CA) ADR
FSFR – Fifth Street Senior Floating Rate Corp
FTD – FTD Companies Inc
FVRG – ForeverGreen Worldwide Corporation
GAWK – Gawk Inc
GDEF – Global Defense & National Security Systems Inc
GELT – General Agriculture Corp
GFOX – Gray Fox Petroleum Corp
GGRE – Go Green Directories, Inc.
GIMO – Gigamon Inc
GLCH – Gleacher & Co, Inc.
GLPI – Gaming and Leisure Properties, Inc.
GRAM – Grana y Montero SAA ADR
GTT – Global Telecom & Technology, Inc.
GULD – Gold Hill Resources Inc
GWPH – GW Pharmaceuticals PLC ADR
HART – Harvard Apparatus Regenerative Technology Inc
HCAP – Harvest Capital Credit Corp
HDS – HD Supply Holdings Inc
HDY – HyperDynamics Corporation
HTBX – Heat Biologics Inc
HYNLZ – Henley Limited
ICEL – Cellular Dynamics International Inc
ICLD – InterCloud Systems Inc
IKGH – Iao Kun Group Holding Company Ltd
IMII – Inception Mining Inc
IRT – Independence Realty Trust Inc
ISYG – Insynergy Products Inc
ITBC – Integrity Bancshares, Inc.
JAXB – Jacksonville Bancorp Inc
JGW – JGWPT Holdings Inc Class A
JONE – Jones Energy Inc Class A
JTPY – JetPay Corp
KMDA – Kamada Ltd.
KPTI – Karyopharm Therapeutics Inc.
LDOS – Leidos Holdings Inc
LDRH – LDR Holding Corp
LEAF – Springleaf Holdings Inc
LGIH – LGI Homes Inc
LIFS – Life Stem Genetics Inc
LIME – Lime Energy Co.
LIN – LIN Media LLC
LIQD – Liquid Holdings Group Inc
LITB – LightInTheBox Holding Co Ltd ADR
LOOK – LookSmart, Ltd.
LPCN – Lipocine Inc
LXFT – Luxoft Holding Inc Class A
MARA – Marathon Patent Group Inc
MBII – Marrone Bio Innovations Inc
MBIS – Mediabistro Inc
MDDD – Makism 3D Corp
MEP – Midcoast Energy Partners LP Class A
MFDB – Mutual Federal Bancorp, Inc.
MGNX – Macrogenics Inc
MIFC – Magnolia Lane Income Fund
MIXT – MiX Telematics Ltd ADR
MKTO – Marketo Inc
MMI – Marcus & Millichap, Inc.
MMMB – MamaMancini`s Holdings Inc
MNK – Mallinckrodt PLC
MONT – Montage Technology Group Ltd
MOST – MobileSmith Inc
MPAY – Mobetize Corp
MPVC – Modern PVC Inc
MRTX – Mirati Therapeutics Inc
MUSA – Murphy USA Inc
MVNR – Mavenir Systems Inc
MWRX – MedWorth Acquisition Corp
MYCC – ClubCorp Holdings Inc
MYSK – Myskin, Inc.
MZOR – Mazor Robotics Ltd ADR
NBCB – First NBC Bank Holding Co
NCBS – Nicolet Bankshares Inc
NCFT – Norcraft Companies Inc
NERO – Neuromama Ltd
NES – Nuverra Environmental Solutions Inc
NEWL – Newlead Holdings Ltd.
NMED – New Media Insight Group, Inc.
NMIH – NMI Holdings Inc Class A
NNVC – Nanoviricides, Inc.
NRCIA – National Research Corporation Class A
NRCIB – National Research Corporation Class B
NROM – Noble Roman’s, Inc.
NRZ – New Residential Investment Corp
NSTG – NanoString Technologies Inc
NVEE – NV5 Holdings Inc
NXTD – Nxt-ID Inc
NYLD – NRG Yield Inc
OCIP – OCI Partners LP
OCIR – OCI Resources LP
OCOO – Oconn Industries Corp
OCRX – Ocera Therapeutics Inc
OGCP – Empire State Realty Trust Inc Operating Partnership Units Series -60-
OHRP – Ohr Pharmaceutical, Inc.
OMED – OncoMed Pharmaceuticals Inc
ONTX – Onconova Therapeutics Inc
ONVO – Organovo Holdings Inc
OPHC – OptimumBank Holdings, Inc.
OPHT – Ophthotech Corp
OPLI – OphthaliX Inc
ORAN – ORANGE ADR
ORM – Owens Realty Mortgage Inc
OTEL – Otelco, Inc. Class A
OUTR – Outerwall Inc
PAGP – Plains GP Holdings LP Class A
PARR – Par Petroleum Corp
PBIP – Prudential Bancorp Inc. of Pennsylvania
PEGI – Pattern Energy Group Inc Class A
PEIX – Pacific Ethanol, Inc.
PESI – Perma-Fix Environmental Services, Inc.
PETX – Aratana Therapeutics Inc
PGEM – Ply Gem Holdings Inc
PGRX – Prospect Global Resources, Inc.
PINC – Premier Inc Class A
PSXP – Phillips 66 Partners LP
PTCT – PTC Therapeutics Inc
PTLA – Portola Pharmaceuticals Inc
PUGE – Puget Technologies Inc
QEGY – Quantum Energy, Inc.
QEPM – QEP Midstream Partners LP
QPAC – Quinpario Acquisition Corp
QRHC – Quest Resource Holding Corp
QRRY – Quarry City Savings & Loan Association
QTS – QTS Realty Trust Inc Class A
QTWW – Quantum Fuel Systems Technologies Worldwide
QUMU – Qumu Corp
QUNR – Qunar Cayman Islands Ltd ADR repr Class B
RCAP – RCS Capital Corp Class A
REXR – Rexford Industrial Realty Inc
RGDO – Regado Biosciences Inc
RIOB – Rio Bravo Oil Inc
RNA – Prosensa Holding N.V.
RNG – RingCentral Inc. Class A
RTSO – Geo Point Technologies, Inc.
SAEX – SAExploration Holdings Inc
SAIC – Science Applications International Corp
SALE – RetailMeNot Inc
SAMG – Silvercrest Asset Management Group Inc Class A
SCAI – Surgical Care Affiliates Inc
SFES – Safestitch Medical, Inc.
SFM – Sprouts Farmers Market Inc
SFXE – SFX Entertainment Inc
SGM – Stonegate Mortgage Corporation
SNNY – Sunnyside Bancorp Inc
SNTID – Senesco Technologies, Inc.
SPCB – SuperCom Ltd
SPDC – Speed Commerce Inc
SPHS – Sophiris Bio Inc
SPNI – Sputnik Enterprises, Inc.
SPPR – Supertel Hospitality, Inc.
SPUP – Sipup Corp
SQBG – Sequential Brands Group Inc
SRLP – Sprague Resources LP
SRNE – Sorrento Therapeutics, Inc.
SSLT – Sesa Sterlite Ltd ADR
STAF – Staffing 360 Degrees Solutions Inc
STCK – Stock Building Supply Holdings Inc
STRP – Straight Path Communications Inc
SUNE – SunEdison Inc
TALR – Talon Real Estate Holding Corp
TCFC – The Community Financial Corp
TEP – Tallgrass Energy Partners LP
THST – Truett-Hurst Inc Class A
TIPT – Tiptree Financial Inc
TNXP – Tonix Pharmaceuticals Holding Corp
TPRE – Third Point Reinsurance Ltd
TRCB – Two River Bancorp
TRMR – Tremor Video Inc
TSRE – Trade Street Residential Inc
TXTR – Textura Corp
UBIC – UBIC Inc ADR
UCP – UCP Inc Class A
VCYT – Veracyte Inc
VEEV – Veeva Systems Inc Class A
VEND – Fresh Healthy Vending International Inc
VJET – voxeljet AG ADR
VLRS – Controladora Vuela Compania de Aviacion SAB de CV ADR Class A
VMEM – Violin Memory Inc
VNSN – Vansen Pharma Inc
VOIP – VOIP Talk, Inc.
VRDR – Verde Resources, Inc.
VSB – Crescent Financial Bancshares Inc
VSCP – VirtualScopics, Inc.
WAVX – Wave Systems Corporation Class A
WCIC – WCI Communities Inc
WIX – Wix.com Ltd
WLH – William Lyon Homes
WMTN – Westmountain Gold Inc
WNRL – Western Refining Logistics LP
WPCS – WPCS International, Inc.
WUBA – 58.com Inc ADR repr Class A
WWAV B – The Whitewave Foods Company
XGTI – xG Technology Inc
XLRN – Acceleron Pharma Inc
XON – Intrexon Corp
XTLB – XTL Biopharmaceuticals, Ltd. ADR
YDKN – Yadkin Financial Corp
YUME – YuMe Inc
ZLCS – Zalicus, Inc.
ZPPBD – Zippy Bags Inc.
FT Rebalance vs Accutrack
Abstract:
In this discussion we will set up two popular relative strength investing strategies: FT Rebalance momentum and FT4web AccuTrack. Then we will discuss advantages of multi-fund momentum trading with FT Rebalance compared to the two fund AccuTrack strategy.
Analysis
As stated in the abstract, we’ll be comparing the FT Rebalance momentum model and the FT4web AccuTrack model. First we need to lay out the two main differences in the strategies.
1)
FT Rebalance’s is an asset allocation strategy where FT4web AccuTrack is a market timing strategy.
In simple terms, FT Rebalance’s momentum strategy will reallocate assets every quarter (Jan 1, April 1, July 1, and Oct 1). So we have 4 trades a year at the end of each quarter.
FT4web AccuTrack model will trade based on signals generated by the AccuTrack technical indicator (ie when the red fund has more strength relative to the green line: invest in the red. When the green line has more strength relative to the red line: invest in the green.)
So, FT Rebalance will reallocate to the strongest assets on preset intervals (every quarter i.e. 4 trades a year). FT4web AccuTrack will reallocate intermittently when the relative strength of the two funds cross or switch.
2)
FT Rebalance will invest in the best of three funds (VFINX, VINEX, and VIIFX). FT4web AccuTrack will invest in the best of two funds (VFINX and VINEX).
AccuTrack: The two fund strategy
AccuTrack is a popular relative strength trading strategy used by many FastTrackers. In FT4web, AccuTrack and the J chart will trade between two funds based on relative strength (find more info on AccuTrack here).
A standard relative strength strategy could be trading between a domestic fund (VFINX) and an international fund (VINEX).
10 year chart
In the chart above we see that the two fund model worked great during the first five years (7/2003-7/2007) with an annualized gain of 28.95%. But when the market began to turn sour in late 2007 the two fund strategy shows its major weakness: no diversity. Both international and domestic markets took a hit and as a result this strategy lost an annualized 22.10% from 7/2007 – 7/2009.
While the strategy recovered in late 2009 returning an annualized 18.21% from 7/2009 to 7/2013, the 10 years between 7/2003- 7/2013 was a quite a ride. As we see in the first chart in the post (pink line), the strategy had a max draw of 60.28 percent and an standard deviation of 5.8% (just less than the 5.94% of the S&P 500 for the same period).
FT Rebalance Momentum: Best of three funds
In the simple model illustrated below, instead of using a relative analysis of two funds, VFINX and VINEX, we added one more fund VFIIX (Vanguard GNMA) to the mix. VFIIX adds a conservative risk and low correlation fund element to our strategy.
Now, instead of moving our assets to the best of two funds, we will move our assets to the best of three funds.
10 year chart
As we can see in the red line above, adding one more fund to the relative analysis greatly improves long-term performance of the strategy, mainly by giving us a conservative asset like VFIIX to retreat to in down markets (all of 2008, 3Q10, 3Q11).
If we look at the period between 7/2007 and 7/2009 we have a positive annualized return of 2.22%, compared to a -22.10% return of the FT4web AccuTrack model for the same time period.
The lack of diversity hurt the AccuTrack model, as it could only choose between the VFINX and VINEX, both of which were declining in during 7/2007-7/2009. In contrast, having VFIIX as an option in the FT Rebalance momentum model, we can see that the red line smooths out during 7/2007-7/2009 as the model moves to VFIIX.
Summary
This is a very simple illustration of two different relative strength models. As the above analysis shows, incorporating more diversity (three funds vs two) into a strategy can have a strong positive impact, especially on limiting downside risk.
Additionally, we’ve seen a simple strategy that makes 4 trades a year with index style funds can have incredible results.
The next step after this would be to create a family with more than three members. Try 4, 5, or 6 well chosen, diversified funds. Also, try increasing the # to buy to 2, 3, or 4. This will increase your total number of funds held, which could temper volatility. Or, try using the sharpe model to limit the drawdowns.
Leave a comment below or email daniel@fasttrack.net with any questions
FT Rebalance Model Setup
Family:
VFINX- Vanguard S&P 500 Index Fund
VFIIX- Vanguard GNMA,
VINEX- Vanguard International Explorer
VFIIX- Vanguard GNMA,
VINEX- Vanguard International Explorer
Parameters:
Date Range:
7/11/2003 – 7/11/2013
FT Rebalance Build:
1.5.0.8