Portable Alpha Daily

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Friday, September 08, 2006

Large Cap Core and Real Estate

Today could prove interesting since Wall Street won’t have significant economic releases to motivate trading. Pre-market futures are indicating a higher open, and I’d really like to see an increase in volume going into next week.

Short-Term Technical Indicators
Continue to illustrate the relative decline and weakness of the broad markets this week. Declines in the NYSE Advance-Decline Line, the DJIA 21-Day Breadth and 21-Day Volume ratios over the last week support the bearish sentiment. Overnight, the DJIA MACD crossed below its 9-Day Moving Average. On a very short-term basis, the markets don’t look too inviting.

Long-Term Market Model
Bullish as of August 23rd.

Investor Sentiment
The VIX and VXN continue to gain. All three Put / Call ratios are higher than last week’s levels, although the Total and Equity Put / Call ratios declined overnight. The economic reports released this week aren’t as favorable as investors hoped, which I believe is the underlying cause of the recent decline, and not a fundamental weakness in the market. We should get a better understanding of investor sentiment over the next few days, which are bereft of significant economic reports until next Fridays CPI.

Asset Allocation
75% to 85% equities within the actively managed portion of the overall investment portfolio. 15% to 25% cash or bonds.

Beta Exposure

Today’s Top Major Market Derivative
Dow Jones Industrial Diamond Trust (DIA)

Portable Alpha Generation

Today’s Top Style-Box Derivative
Large Cap Core (JKD)

Today’s Top Sector
Real Estate (IYR)

Today’s Highlighted Investments

Today’s top rated Large Cap Core investments with initial “Buy” recommendation dates:
  1. Phelps Dodge Corp. (PD) – 8/11/2006
  2. Apple Computer Inc. (AAPL) – 8/10/2006
  3. NVIDIA Corp. (NVDA) – 8/8/2006
  4. Devon Energy Corp. (DVN) – 9/1/2006 (caution: DVN is extremely volatile currently)
Today’s top rated Real Estate investments with initial “Buy” recommendation dates:
  1. Essex Property Trust Inc. (ESS) – 4/19/2006
  2. Vornado Realty Trust (VNO) – 7/13/06
  3. Public Storage Inc. (PSA) – 7/6/06
  4. Glenborough Realty Trust Inc. (GLB) – 7/7/2006


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