Mosaic Blue details are flushed out a bit more in this week’s update. Note the portfolio components. The precise allocation of capital to each position depends on our risk comfort level and this example reflects a balance of commodities, tech and bonds. Similar results can be achieved applying other sector proxies but the robustness of option chains in these particular issues resonates with my trading style. These are dividend adjusted results but performance can be enhanced significantly by selling OTM calls 1 or 2 standard deviations out. The Risk Managed version of Mosiac maintains only long positions, like the base model, but goes to cash as times when the equity curve falls below the RSQ benchmark, thereby avoiding divergent momentum trends in the underlying ETF components.Mosaic was engineered to be a scalable investment model so, depending on available capital position sizing can be adjusted from a threshold of approximately $12K for the basic Mosaic to a option trading model requiring $44K. From that point capital deployment can simply be incremental. Given the liquidity of the components a very large portfolio can be maintained with little slippage and minimal commission expenses.
The last 30 trading days have produced a 6% gain in Mosaic Blue and 4% in the Risk Managed model. Just for entertainment purposes we’ve applied the XL Forecast algorithm to our various data series to generate a rough look forward of 2012 expectations…these values are labeled as “2012 Target” and “% Target Gain” . The forecasts reflect current momentum in the market although any number of factors may cause a radical realignment of these values as the year progresses….so, like it says, ‘Just for entertainment..”
