As is the case at the beginning of each year, the Momentum Index shown in my weekly StatSheet is being reset.
Since it consists of an average of the 4wk, 8wk, 12wk and YTD momentum numbers, the YTD figure is obviously lower at the beginning of each year contributing to a reduced overall M-Index number.
Keep in mind that the ranking number by itself is meaningless; it only has value when compared to other funds/ETFs. This change will be effective with the next StatSheet dated 1/7/10, which will be mailed in this Friday’s weekly update.
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Ulli, here is a post from today's Big Picture that, as an investment advisor with your bent, I'm sure you'll find interesting:
2009 Investing Mea Culpas
Of particular interest will be section headings "Improving the Sell Discipline" and "Too Much Cash". His "Possible solution:"s are some things you've been advancing for how many years now? 😉
Good evening Ulli, as always, thanx for your blog and help and incites. Much appreciated. And I should probably stay quiet, but thought I would try one more time seeings as you brought up about the M index resetting. My perspective is that YTD continually skews or changes the M index in a non parallel manner over the continuum of 12 months. I used the word weighted last time, I know you didn't like that word. But at the end of January the M index is 4wk, ytd(4wk), 8 wk, 12 wk, double weighting the 4wk constant, at the end of February(approximately) we have 4wk, 8wk, ytd(8 wk) 12 wk, double weighting the 8 wk constant, and in 12 weeks ytd double weights the 12 wk constant, and after that it does the non parallel/skew thing the rest of the year. I just thought if you really want 4 constants/factors in the M index, you might trade ytd for a 4 or 5 or 6 month constant factor.
Just my point of view, it probably doesn't matter much either way as you said, it is just for comparison. Anyway, you don't need to answer this, nor print it. Thanx for everything, and Happy/properous New Year, Regards Mo.
Brennan,
Yes, I recall your comments from before. As you said in the end, it really does not matter since it only has value when one fund gets compared with another, which is why I kept the index as is.
I appreciate your suggestion.
Ulli…
If the markets, both domestic and international should have a considerable correction, any thoughts on what asset class might have the largest drawdown? Generally I think its those up the most. At this time it would seem to be emerging markets, nasdaq tech and small cap).
Anon,
I'll reply via a blog post on that matter next week.
Ulli…