Portable Alpha Daily

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Friday, December 22, 2006

Long-Term Market Model Weakens Further

The Long-Term Market Model weakened further after yesterday’s close with two more NASDAQ-related components shifting into negative territory. That coupled with sector weakness and the low number of AAS “buy” recommended securities unfortunately means increased allocations into money market investments.

We’re just not seeing any buying opportunities emerge to replace those securities sold, so rather than force the issue we’ve decided to take some profits and sit on the sidelines. Boring…yes; prudent…hopefully. As much as I dislike raising cash, it beats losing returns. Ideally we’ll get some “buy” recommendations on the inverse funds within the next few days, which we can then use to hedge our long positions.

I’ll post the AAS Top Six Investments as of December 15th over the weekend. Other than that, I want to wish all of my readers a very merry and safe Christmas and I’ll see you bright and early Tuesday morning!

Short-Term Technical Indicators – Each short-term technical indicator weakened after yesterday’s session.

Long-Term Market Model – Bearish since December 8th.

Investor Sentiment - The VIX and VXN edged higher yesterday and all three Put / Call Ratios lost ground.

Asset Allocation – 75% invested within the actively-managed, alpha producing portion of the overall portable alpha portfolio.

Beta Exposure and Portable Alpha Generation
Date = Date of AAS “Buy” or “Short/Sell” Recommendation

Top Rated Major Market Derivative – NYSE 100 (NYC 11/6/06)

Top Rated Style-Box Derivative – iShares Morningstar Large Cap Value (JKF 11/29/06)

Top Rated Sector Derivative – No “Buy” Recommended Sectors Today

Today’s Top “Buy” Recommended Stocks

Veritas DGC Inc. (VTS 7/28/06)

Robbins & Myers Inc. (RBN 8/10/06)

NBTY, Inc. (NTY 12/5/06)

Volt Information Sciences, Inc. (VOL 11/6/06)

Joy Global Inc. (JOYG 11/13/06)

Bradley Pharmaceuticals Inc. (BDY 8/25/06)

ElkCorp (ELK 12/4/06)

Albemarle Corp. (ALB 8/9/06)

Martin Marietta Materials Inc. (MLM 11/6/06)

Credence Systems Corp. (CMOS 11/6/06)

Today’s Top “Sell” Recommended Stocks

SanDisk Corp. (SNDK 10/20/06)

Jabil Circuit Inc. (JBL 11/15/06)

EGL Inc. (EAGL 10/18/06)

Chico’s FAS Inc. (CHS 12/6/06)

LCA-Vision Inc. (LCAV 6/7/06)


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