Rick

MOO IMBALANCE 250 MLN SELL-SIDE

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I asked the question, what does the term “MOO IMBALANCE 250 MLN SELL-SIDE” mean and how can I see what the current values is? Let’s break it down:

  1. MOO (Market-on-Open) Order:
    • A MOO order is executed at the opening price of a security as soon as the market opens or shortly after it opens for trading.
    • It is a non-limit order, meaning its execution price matches the security’s opening price.
    • MOO orders are commonly used by investors and traders to participate in the market right at the beginning of the trading day.
  2. Imbalance:
    • An imbalance occurs when there is a significant difference between the buy-side (demand) and sell-side (supply) orders for a particular stock.
    • In your case, the sell-side imbalance indicates that there are more sell orders than buy orders for a specific security.
  3. 250 MLN:
    • This likely represents the magnitude of the imbalance. In this context, it means there is a sell-side imbalance of 250 million shares.

To check the current values of MOO imbalances, you can refer to specific financial platforms or exchanges that provide real-time information. Here are a few options:

Remember that these sources provide real-time data, and you can explore them to stay informed about market imbalances and other relevant information.

Learn more 1 marketchameleon.com 2 nyse.com 3 nasdaq.com 4 marketbeat.com


Rick

High Octane Trading using Leveraged ETF’s

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Trading leveraged ETFs can be dangerous, especially when you over-trade or leverage your position size too big for your account. Most of the leveraged ETFs warn about holding these positions long-term and suggest that they should only be used for day trading. Despite those warnings, traders have held these ETFs longer terms.

As a general guideline, trading triple leveraged index ETFs will have a full position using only 1/3 of the portfolio. This assumes that the remaining 2/3rds of your account is in cash or as an alternative trade the Tactical Asset Allocation’s Income Strategy which uses a Dual Momentum algorithm to determine its monthly position. As of July 2021, the income strategy has averaged 8.35% per year for 11 years of history with 0.01 correlation, virtually no correlation, to the S&P 500.

This blog will explore how the Tactical Asset Allocation’s Leveraged Strategy performs compared to just holding UPRO the S&P 500 triple leverage ETF. The first point of comparison is how the buy and hold strategy compared to the Leveraged Strategy. The image shows the US Market Correlation of ProShares UltraPro S&P5000 ETF UPRO is 0.99 or in other words, very correlated with the US market. In contrast, the Tactical Asset Allocation’s Leveraged Strategy has a 0.43 Us Market Correlation, which is just slightly correlated. The Leveraged Strategy has an average 11-year return of 53.18%, as starting balance of $100,000 in 11 years grows to $8,802,856. Several other measures indicate this strategy has advantages like less volatility, outperformed on the best and worse years, only 59% of the max drawdown, and a Sharpe Ratio of 1.28 versus 0.90, which is a measure of the risk-adjusted return.

Sign up for Cromer Wealth Management’s Tactical Asset Allocation membership to get the current allocations. These trades are available to Gold members.

Leverage ETF Strategy
Leveraged ETF Strategy 11-year Results
Rick

Efficient Frontier

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In finance, the efficient frontier is a graphical representation of the set of portfolios that offer the highest expected return for a given level of risk or the lowest risk for a given level of expected return. This concept was introduced by Harry Markowitz in his 1952 paper “Portfolio Selection,” which laid the foundation for modern portfolio theory (MPT).

Bonds are typically considered to have some risk because they are not completely risk-free. While bonds are generally seen as less risky than stocks, they are not without risk, and this is why they are included on the efficient frontier graph. Here are some key reasons why bonds are considered to have some risk:

  1. Interest Rate Risk: Bonds are sensitive to changes in interest rates. When interest rates rise, the value of existing bonds typically falls, and when rates fall, bond values rise. This is known as interest rate risk or market risk, and it affects the total return of a bond portfolio.
  2. Credit Risk: Bonds are also subject to credit risk, which is the risk that the issuer may default on interest or principal payments. Bonds with lower credit ratings are more likely to default and, therefore, have higher credit risk.
  3. Inflation Risk: Bonds may also be exposed to inflation risk. If the yield on a bond does not keep pace with inflation, the real (inflation-adjusted) return on the bond may be negative.
  4. Liquidity Risk: Some bonds may be less liquid than others, meaning they cannot be easily bought or sold without significantly affecting their market price. This can create a risk for investors who need to sell bonds quickly.
  5. Reinvestment Risk: When bonds generate interest payments, the investor needs to decide how to reinvest that income. If interest rates are lower when the bond matures or when the interest payment is received, the investor may not be able to reinvest at the same rate, potentially lowering overall returns.

Here are some links to related topics for further reading:

  1. Modern Portfolio Theory: Learn more about the foundational concepts behind the efficient frontier and portfolio optimization.
  2. Risk and Return: Understand the relationship between risk and return in investing.
  3. Interest Rate Risk: Explore the concept of interest rate risk and how it affects bond prices.
  4. Credit Risk: Learn about credit risk and how it impacts the risk profile of bonds.
  5. Inflation Risk: Understand the concept of inflation risk and its implications for bond investors.
  6. Liquidity Risk: Explore the risks associated with the liquidity of bond investments.
  7. Reinvestment Risk: Learn about reinvestment risk and its effects on bond returns.

In summary, bonds are included on the efficient frontier to reflect the fact that they are not risk-free investments. Their risk profile, including interest rate risk, credit risk, and other factors, makes them an important component of a diversified investment portfolio and contributes to the overall shape of the efficient frontier.

Rick

A New Dual Momentum Trading Strategy

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For next month’s allocations, I will be introducing another trading strategy. It is derived from the current dmSingle strategy. This strategy has about a twelve-year historical backtest. This strategy attempts to be in the right market index at the right time and into a risk-off strategy if the market indexes are not performing well.

28.26% CAGR,
1.19 Sharpe Ratio
0.05 US Mkt Correlation

The new one is called dmSingle2. This new strategy should be traded as an alternative to dmSingle because in many ways is similar to its original rules. I consider dmSingle2 to be more conservative and has a much longer historical backtesting period of 19 years, which includes the 2008/09 financial crises.

dmSingle2 Equity Growth Performance

Normally I would like all the statistics of the original strategy. But, it didn’t include trading during the financial crisis sell-off. I will add the new strategy to our strategy matrix. Look at how it performs combined with the other strategies to determine how much you want to allocate to this strategy. I believe the results will be more meaningful when combined with the Model strategies which have historical test periods of up to 49 years.

Rick

Performance Returns Of The Model Portfolios

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Tactical Asset Allocation membership includes several different strategies, three of those are what I call the Model Portfolios. Back-tested results of these strategies go back more than 30 years. So how are they doing this year? The following shows April’s allocation and its month-to-date and year-to-date performance results.

Sign up for Cromer Wealth Management’s Tactical Asset Allocation membership to get the current allocations. These trades are available to Gold members.

Model: Rick’s Model #3

Very conservative investment, currently, 40% of this strategy is safely in cash.

Since we are about 1/3 into the year, assuming similar results for the other 2/3rds of the year, this model has a projected return of 8%

Model: Rick’s Model #4

Conservative Investment, end-of-month max drawdown during 2008/09 financial crises was only 10.7%.

Since we are about 1/3 into the year, assuming similar results for the other 2/3rds of the year, this model has a projected return of 17%.

Model: Rick’s Model #5

Conservative Investment, end-of-month max drawdown during 2008/09 financial crises was only 10.7%. Currently, 67% of this strategy is safely in cash.

Since we are about 1/3 into the year, assuming similar results for the other 2/3rds of the year, this model has a projected return of 18%.

Model 5 Equity Growth Performance

Rick

Managing Risk using Income Strategy

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This month, I’m going to look at the Tactical Asset Allocation bond income strategy. We will compare the performance of this strategy to the ETF IEF. The new combination has outperformed IEF consistently over the past 10 years and is not correlated at all to the S&P 500 index. This allows you to load up on these positions with the hope that a big market sell-off will not hurt this trade.

The graph below represents this new model (the blue plot) compared to IEF (the red plot).  What this graph shows is that the new model has more than double the average return of IEF with a much better Sharpe Ratio. As an example here are the April 2021 allocations.

17.56% SPDR Blmbg Barclays Convert Secs ETF (CWB)
82.44% SPDR Blmbg Barclays High Yield Bd ETF (JNK)

Sign up for Cromer Wealth Management’s Tactical Asset Allocation membership to get the current allocations. These trades are available to Bronze and Gold members.

Income products, IEF versus Alternative Investments
Performance of IEF alternative