Mousetrap 7/31/2011

[Timothy Clontz]

To avoid confusion I've corrected the formula for annualized return.

I've corrected it to be:

Position Date Return Days Call
BKI 5/31/2011 6.66% 61 Hold
CFI 6/22/2011 7.17% 39 Buy
SE 6/27/2011 2.12% 34 Hold
AWR 7/5/2011 -2.65% 26 Hold
CLH 7/6/2011 -1.03% 25 Hold
GCI 7/14/2011 -6.25% 17 Hold

Average Return 1.00%
Annualized Return 10.89% (calculated by average return * 365.25 / average days held)

Last week I noted that my positive annualized return of better than 90% would be drastically reduced in the following week – and that’s exactly what happened.

This is a long only strategy, and merely rotates around industries. Unless congress completely implodes this week, the annualized number should return to positive territory by next weekend.

Of course, I may be over estimating congress (and they may be underestimating the market). Unfortunately, none of us have any control over that. We can only follow whatever method we use and ride out good hands and bad. Last week was a bad hand.

We are certainly due a bounce.

At this point it’s up to Reid. Boehner did all he could do. He gave one plan. Reid demanded a compromise, so Boehner gave him a compromise.

If Reid demands a compromise ON the compromise… then this will be a black week indeed.

The fate of the world is now in the hands of Harry Reid.

Maybe I should stockpile some food…

[Timothy Clontz]

Position Date Bought Return Days Call
BKI 5/31/2011 9.64% 62 Hold
CFI 6/22/2011 9.21% 40 Buy
SE 6/27/2011 2.53% 35 Hold
AWR 7/5/2011 -2.70% 27 Hold
CLH 7/6/2011 -0.90% 26 Hold
GCI 7/14/2011 -7.64% 18 Hold

Average Return 1.69%
Annualized Return 17.81%

Back in positive territory. Very strange day today. My hedged account, which lost money all last week, gained all of it back today. The Mousetrap (above) did well also.

Hopefully the can kicked down the road will calm things for a few months. I dread the resumption of the debate during the dangerous fall season, though. Can't be helped, I suppose.

Long live the moment!

Tim

[Timothy Clontz]

Starting to get some metrics now that we're on a downdraft:

Position Date Bought Return Days Call
BKI 5/31/2011 4.68% 63 Hold
CFI 6/22/2011 11.01% 41 Buy
SE 6/27/2011 -0.04% 36 Hold
AWR 7/5/2011 -3.76% 28 Hold
CLH 7/6/2011 -3.10% 27 Hold
GCI 7/14/2011 -11.68% 19 Hold

Average Return -0.48%
Annualized Return -4.93%
Annualized S&P -39.28%
Annualized Performance 34.35%

Obviously a -0.48% loss is a bad thing, but in the same time period the S&P lost -6.78%. Annualized the Mousetrap model is showing a -4.93% rate, but the S&P is showing a -39.28% rate for the same period: 5/31/2011 to today.

The relative performance of the Mousetrap versus the S&P, then, shows a 34.35% advantage.

Small consolation, but the beginnings of what I hope to be a successful test of the model.

Tim

[Timothy Clontz]

Position Date Bought Return Days Call
BKI 5/31/2011 -2.78% 64 Hold
CFI 6/22/2011 15.58% 42 Buy
SE 6/27/2011 -0.57% 37 Hold
AWR 7/5/2011 -2.45% 29 Hold
CLH 7/6/2011 7.52% 28 Hold
GCI 7/14/2011 -11.90% 20 Hold

Mousetrap Return 0.90%
S&P Return -6.31%

Mousetrap Annualized 8.97%
S&P Annualized -36.00%

Annualized Advantage 44.97%

Good to see the return back to positive today. The model extended its advantage today over the S&P, but it's still too early in the test for the metrics to stabilize.

Current buy slot is CFI.

[Timothy Clontz]

Position Date Return Days Call
BKI 5/31/2011 -4.32% 65 Hold
CFI 6/22/2011 11.73% 43 Hold
SE 6/27/2011 -5.14% 38 Hold
AWR 7/5/2011 -2.99% 30 Hold
CLH 7/6/2011 0.90% 29 Hold
GCI 7/14/2011 -16.83% 21 Hold

Mousetrap Return -2.78%
S&P Return -8.68%

Mousetrap Annualized -26.91%
S&P Annualized -84.14%

Annualized Advantage 57.23%

I’m actually flat for the week because of a lot of hedged positions (I run three concurrent strategies). But the Mousetrap strategy is finally down -2.78%.

I’ve also adjusted the relative S&P losses to factor all of the equivalent prices for when I entered the Mousetrap positions. So, I’m only showing the S&P at a -8.68% loss.

In any case, I’m quite pleased to report that the model is presently outperforming the S&P at an annualized rate of 57.23%. While that’s a big change from yesterday – we DID just have the 9th largest day’s drop in history. While I do suspect we should have some kind of bounce because of the extreme oversold conditions, it probably won’t be a return of the bull market.

Both of my broad timing models have projected a bear since February 14th, but the market simply refused to collapse while Bernanke was able to keep printing money. He may do so again (he IS independent of the President and Congress). But unless he does so it’s safe to anticipate a continued market decline after a little dead cat bounce.

In any case, the Mousetrap model is an untimed model. It does not care if we are in a bull or bear market, but simply rotates positions based on their technical and fundamental positions.

You'll note that all of the positions listed are a Hold.

I may open a new position tomorrow, and will post immediately if I do so.

Tim

[Timothy Clontz]

Added AGO to the Mousetrap portfolio at 12.36.