Portable Alpha Daily

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Friday, February 02, 2007

Colts Win

I’d like to point out that I’ve updated the PDF files for the AAS Model Portfolios through the end of December. Those files can be viewed by clicking on the portfolio name within the performance table in the right-hand margin.

We’re extremely happy with the performance of the Model Stock Portfolio for 2006. The portfolio ended the year up 18.34%, beating the S&P 500 by 472 bps. Additionally, the portfolio is off to an excellent start in 2007, up 3.68% YTD while only being 56.61% invested. We’re hoping to increase the long allocation over the next days and weeks.

However, the four model fund portfolios underperformed the market with an average return of 9.74% for the year. This can be attributed to a bearish / defensive allocation in Q106, which unfortunately led to an average loss of over 10% through March 31, 2006. The four model fund portfolios rebounded throughout the remainder of the year though, up an average of 22.81% versus 9.54% for the S&P 500.

Thursday’s Links from Abnormal Returns.

New SEC Hedge Fund rule hit a nerve.

Adam on low option volatility.

10 reasons why accredited investors are reducing hedge fund exposure.

Larry has some ideas on how to invest in office condos.

Good trade execution from Dr. Brett.

Kirk on leveraged ETF’s, one of my favorite tools.

And finally my Super Bowl prediction…Colts 27 Bears 21

Short-Term Technical Indicators

Investor Sentiment

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

Asset Allocation – AAS Model Portfolios are between 56.25% and 75% long currently.

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

Top Rated Major Market Derivative – No buy recommended major market investments

Top Rated Style-Box Derivative – No buy recommended style-box investments

Top Rated Sector Derivative – iShares Dow Jones U.S. Telecom (IYZ 1/26/07)

Today’s Top “Buy” Recommended Stocks

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

CPI Corp. (CPY 1/23/07)

Precision Castparts Corp. (PCP 9/20/06)

Navistar International Corp. (NAV 9/12/06)

Rock-Tenn Co. (RKT 4/27/06)

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

MEMC Electronic Materials, Inc (WFR 1/8/07)

Savient Pharmaceuticals Inc. (SVNT 8/9/06)

Carpenter Technology Corp. (CRS 1/31/07)

Energizer Holdings Inc. (ENR 1/26/07)

Today’s Top “Sell” Recommended Stocks

Plexus Corp. (PLXS 12/29/06)

Advanced Micro Devices Inc. (AMD 9/27/06)

Whole Foods Market Inc. (WFMI 11/2/06)

Brightpoint Inc. (CELL 9/19/06)

Rogers Corp. (ROG 12/6/06)



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